Pre-Market IV Report November 16, 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: ORCL VKTX FL EBIX SAVE DWAC APLD SIRI BITF ANF BOIL GME IMVT KOLD HUT JWN AUPH M MARA
Stocks expected to have increasing option volume: WMT PANW CSCO BABA AMAT ROST HOOD
Intel (INTC) 30-day option implied volatility is at 30; compared to its 52-week range of 27 to 48 as share price above $40.
Straddle prices into quarter results
Walmart (WMT) November 170 straddle is priced for a move of 4% into the expected release of quarter results today before the bell.
Alibaba (BABA) November 87 straddle is priced for a move of 6% into the expected release of quarter results today before the bell.
Applied Materials (AMAT) November 155 straddle is priced for a move of 4% into the expected release of quarter results today after the bell.
Ross Stores (ROST) November 124 straddle is priced for a move of 5% into the expected release of quarter results today after the bell.
Williams-Sonoma (WSM) November 160 straddle is priced for a move of 7% into the expected release of quarter results today.
Bath & Body Works (BBWI) November 32 straddle is priced for a move of 9.5% into the expected release of quarter results today before the bell.
Gap Stores (GPS) November 14 straddle is priced for a move of 9% into the expected release of quarter results today after the bell.
Macy’s (M) November 12.50 straddle is priced for a move of 13% into the expected release of quarter results today before the bell.
Beazer Homes (BZH) November 31 straddle is priced for a move of 9.5% into the expected release of quarter results today after the bell.
BJ’s Wholesale (BJ) November 70 straddle is priced for a move of 8% into the expected release of quarter results before the bell on November 17. Call put ratio 9.2 calls to 1 put.
Novo Nordisk (NVO) November weekly call option implied volatility is at 42, November is at 31; compared to its 52-week range of 20 to 67.
Eli Lilly & Co. (LLY) November weekly call option implied volatility is at 40, November is at 31; compared to its 52-week range of 18 to 39. Call put ratio 2.1 calls to 1 put.
Crypto themed stocks option IV as Bitcoin trades above $37,375
Coinbase (COIN) 30-day option implied volatility is at 72; compared to its 52-week range of 58 to 132 as Bitcoin trades above $37,375.
Marathon Patent Group (MARA) 30-day option implied volatility is at 114; compared to its 52-week range of 89 to 167.
Riot Blockchain (RIOT) 30-day option implied volatility is at 102; compared to its 52-week range of 84 to 129. Call put ratio 3 calls to 1 put.
Microstrategy, Inc. (MSTR) 30-day option implied volatility is at 71; compared to its 52-week range of 55 to 142 as Bitcoin trades above $37,375.
Option implied volatility for cybersecurity companies into Palo Alto Networks (PANW) results
Palo Alto Networks (PANW) 30-day option implied volatility is at 47; compared to its 52-week range of 25 to 54 into quarter results.
F5 Networks (FFIV) 30-day option implied volatility is at 18; compared to its 52-week range of 17 to 41.
Okta, Inc. (OKTA) 30-day option implied volatility is at 63; compared to its 52-week range of 32 to 94.
CrowdStrike Holdings Inc. (CRWD) 30-day option implied volatility is at 49; compared to its 52-week range of 33 to 71 into Palo Alto Networks (PANW) quarter results.
Fortinet (FTNT) 30-day option implied volatility is at 27; compared to its 52-week range of 24 to 86.
Vertiv Holdings (VRT) 30-day option implied volatility is at 52; compared to its 52-week range of 40 to 93 ahead of its November 29 meeting with investors. Call put ratio 3.3 calls to 1 put.
Options with decreasing option implied volatility: APPS SE APP TWLO GRPN AAOI LYFT YETI AMC
Increasing unusual option volume: CRMD ENTG CENX GGAL SKIN SABR DQ SONO CTLT
Increasing unusual call option volume: GGAL CENX CRMD DQ CTLT SKIN CEG
Increasing unusual put option volume: IOT SABR IOT BMBL VSTO BBWI ACAD RILY EDR BDX
Popular stocks with increasing volume: TGT PLTR INTC DIS BAC PFE COIN C
Active options: TSLA NVDA AAPL AMZN MSFT AMD BABA META TGT MARA PLTR INTC DIS BAC PFE COIN SE NFLX C
Global S&P Futures mixed in premarket, Nikkei up 2.5%, DAX mixed, WTI Crude oil recently at $76.50, natural gas up 1%, gold at $1970
