Pre-Market IV Report November 15, 2023
The following report is a snapshot of noteworthy changes in stock and option volumes, as well as changes in option implied volatilities. By monitoring this market data, traders can create strategies that capitalize on this often over looked information
Options with increasing option implied volatility: X ORCL VKTX ISPR PRTA ALIT ACI VMW RKT NGS PNT IONS WD CSCO
Stocks expected to have increasing option volume: WMT TGT TJX M PANW CSCO
Option IV amid sharp rally
Microsoft (MSFT) 30-day option implied volatility is at 20; compared to its 52-week range of 19 to 37. Call put ratio 3 calls to 1 put into Microsoft Ignite event today.
Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 14; compared to its 52-week range of 12 to 37 amid sharp rally.
SPDR S&P Regional Banking ETF (KRE) 30-day option implied volatility is at 30; compared to its 52-week range of 20 to 81. Call put ratio 3.2 calls to 1 put amid sharp rally.
SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 12; compared to its 52-week range of 11 to 24 amid sharp rally.
PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 17; compared to its 52-week range of 16 to 30 amid sharp rally.
iShares Russell 2000 (RUT) 30-day option implied volatility is at 20; compared to its 52-week range of 16 to 30. Call put ratio 1 call to 1.1 puts on 145K contracts amid sharp rally.
Technology Select Sector Spdr Fund (XLK) 30-day option implied volatility is at 17; compared to its 52-week range of 17 to 30 as share price near record high.
Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 25; compared to its 52-week range of 24 to 39.
ARK Innovation ETF (ARKK) 30-day option implied volatility is at 36; compared to its 52-week range of 33 to 63. Call put ratio 1.8 calls to 1 put.
Ishares U.S. Home Construction Etf (ITB) 30-day option implied volatility is at 25; compared to its 52-week range of 20 to 37 amid sharp rally.
iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 19; compared to its 52-week range of 13 to 26. Call put ratio 2.6 calls to 1 put.
United States Oil Fund (USO) 30-day option implied volatility is at 34; compared to its 52-week range of 24 to 49. Call put ratio 2.1 calls to 1 put as WTI crude trades $77.80.
Straddle prices into quarter results
Cisco (CSCO) November 53 straddle is priced for a move of 4.5% into the expected release of quarter results today after the bell.
Palo Alto Networks (PANW) November 260 straddle is priced for a move of 8.5% into the expected release of quarter results today after the bell.
Target (TGT) November 111 straddle is priced for a move of 7.5% into the expected release of quarter results today before the bell.
Walmart (WMT) November 167.50 straddle is priced for a move of 4% into the expected release of quarter results before the bell on November 16.
Alibaba (BABA) November 84 straddle is priced for a move of 6% into the expected release of quarter results before the bell on November 16.
Applied Materials (AMAT) November 155 straddle is priced for a move of 4% into the expected release of quarter results after the bell on November 16.
Ross Stores (ROST) November 125 straddle is priced for a move of 5% into the expected release of quarter results after the bell on November 16.
Williams-Sonoma (WSM) November 157.50 straddle is priced for a move of 7% into the expected release of quarter results on November 16.
Bath & Body Works (BBWI) November 31 straddle is priced for a move of 9% into the expected release of quarter results before the bell on November 16.
Gap Stores (GPS) November 13.50 straddle is priced for a move of 9% into the expected release of quarter results after the bell on November 16.
Macy’s (M) November 12 straddle is priced for a move of 13% into the expected release of quarter results before the bell on November 16.
Beazer Homes (BZH) November 31 straddle is priced for a move of 9.5% into the expected release of quarter results after the bell on November 16.
Options with decreasing option implied volatility: GRPN UPST TH APPS SE ARRY RBLX BROS TOST TWLO TTD AAOI LYFT AMC AFRM ENVX YETI U
Increasing unusual option volume: ELAN XP ENTG RILY PTEN SKIN
Increasing unusual call option volume: INVZ SKIN IJR BITX PBRA ELAN DVA XP
Increasing unusual put option volume: NU RILY IOT ASTS XP TAN ICLN PAYC ZI
Popular stocks with increasing volume: PLTR BAC C BABA SNAP PFE UBER SOFI
Active options: TSLA NVDA AAPL AMZN MSFT AMD PLTR META BAC NU SE F GOOGL C BABA SNAP PFE PLUG UBER SOFI
Global S&P Futures mixed in premarket, Nikkei up 2.5%, DAX mixed, WTI Crude oil recently at $77.50, natural gas up 1%, gold at $1975
