Pre-Market IV Report November 20, 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: EYPT REPL COGT MOR EDIT YPF EC EXAS EGAN PNT GEN SAVE VMW IMGN YPF AUPH PBR UUP
Stocks expected to have increasing option volume: MSFT ARGT A ZM URBN BBY SBUX AMC
Option IV for share price’s near 52-week highs, Treasury yields near two-month lows
Broadcom (AVGO) 30-day option implied volatility is at 38; compared to its 52-week range of 23 to 57 as share price near 52-week high.
Ross Stores (ROST) 30-day option implied volatility is at 18; compared to its 52-week range of 15 to 39 as share price near 52-week high.
Ferrari N.V (RACE) 30-day option implied volatility is at 19; compared to its 52-week range of 17 to 30 as share price near 52-week high.
Williams-Sonoma (WSM) 30-day option implied volatility is at 28; compared to its 52-week range of 26 to 59 as share price near 52-week high.
Abercrombie & Fitch (ANF) 30-day option implied volatility is at 74; compared to its 52-week range of 33 to 70 as share price near 52-week high.
Wingstop (WING) 30-day option implied volatility is at 28; compared to its 52-week range of 28 to 94 as share price near 52-week high.
DraftKings (DKNG) 30-day option implied volatility is at 41; compared to its 52-week range of 41 to 80 as share price near 52-week high.
Visa (V) 30-day option implied volatility is at 15; compared to its 52-week range 15 to 32 of as share price near 52-week high.
Micron (MU) 30-day option implied volatility is at 31; compared to its 52-week range of 30 to 51 as share price near 52-week high.
Gap, Inc. (GPS) 30-day option implied volatility is at 45; compared to its 52-week range of 37 to 90 as share price near 52-week high.
American Eagle Outfitters (AEO) 30-day option implied volatility is at 52; compared to its 52-week range of as share price near 52-week high of 32 to 68 as share price near 52-week high.
Straddle prices into quarter results
NVIDIA (NVDA) November weekly 492 straddle is priced for a move of 7.5% into the expected release of quarter results after the bell on November 21.
Lowe’s Cos. (LOW) November weekly 205 straddle is priced for a move of 4.5% into the expected release of quarter results before the bell on November 21.
Medtronic (MDT) November weekly 75 straddle is priced for a move of 3.5% into the expected release of quarter results before the bell on November 21.
Analog Devices (ADI) November weekly 185 straddle is priced for a move of 4% into the expected release of quarter results before the bell on November 21.
Autodesk (ADSK) November weekly 217 straddle is priced for a move of 6% into the expected release of quarter results before the bell on November 21.
Baidu (BIDU) November weekly 108 straddle is priced for a move of 6.5% into the expected release of quarter results before the bell on November 21
HP (HPQ) November weekly 28 straddle is priced for a move of 6% into the expected release of quarter results before the bell on November 21.
Best Buy (BBY) November weekly 68 straddle is priced for a move of 7% into the expected release of quarter results before the bell on November 21.
Burlington Store (BURL) November weekly 136 straddle is priced for a move of 11% into the expected release of quarter results before the bell on November 21.
iQIYI (IQ) November weekly 5 straddle is priced for a move of 15% into the expected release of quarter results before the bell on November 21.
American Eagle (AEO) November weekly 19.50 straddle is priced for a move of 10.5% into the expected release of quarter results before the bell on November 21.
Abercrombie (ANF) November weekly 74 straddle is priced for a move of 14% into the expected release of quarter results before the bell on November 21.
Kohl’s (KSS) November weekly 25.50 straddle is priced for a move of 13% into the expected release of quarter results before the bell on November 21.
Nordstrom (JWN) November weekly 15 straddle is priced for a move of 14% into the expected release of quarter results after the bell on November 21.
Hibbett Sports (HIBB) December 55 straddle is priced for a move of 14% into the expected release of quarter results before the bell on November 21.
Deere (DE) into the expected release of quarter results before the bell on November 22.
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.
Global Xftse Argentina 20 Etf (ARGT) 30-day option implied volatility is at 37; compared to its 52-week range of 20 to 46 into elections.
Options with decreasing option implied volatility: HE M AAP SE STNE TGT ONON PANW TSN BBWI ROST GT
Increasing unusual option volume: PNT MCHI PAGP VGK PTEN BLNK FUTU REPL CHPT KR FSR HOUS
Increasing unusual call option volume: ETRN PAGP XP ARMK EC EMB CRDO
Increasing unusual put option volume: DBX CAL PSEC SABR GPS IP OZK RILY
Popular stocks with increasing volume: BAC GPS INTC COIN SOFI CSCO XOM
Active options: TSLA NVDA AAPL AMZN AMD MSFT BABA PLTR INTC META GOOGL BAC GPS GOOG MARA CHPT COIN SOFI CSCO XOM
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $76.50, natural gas down 2%, gold at $1981
