Pre-Market IV Report November 27, 2023

Pre-Market IV Report November 27, 2023

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Pre-Market IV Report November 27, 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: REPT EYPT IRBT KALV MRC YPF MANU CSX SGEN DWAC

Stocks expected to have increasing option volume: IRBT INTU WDAY CRWD GM CCI GDDY MMC

Option IV into Cyber Monday

SPDR S&P Retail ETF (XRT) 30-day option implied volatility is at 23; compared to its 52-week range of 20 to 37. Call put ratio 1 call to 1.5 puts into Cyber Monday.

Amazon (AMZN) 30-day option implied volatility is at 24; compared to its 52-week range of 25 to 55 into Cyber Monday.

Target (TGT) 30-day option implied volatility is at 22; compared to its 52-week range of 21 to 48 into Cyber Monday.

Walmart (WMT) 30-day option implied volatility is at 13; compared to its 52-week range of 12 to 27 into Cyber Monday.

Movers

Crown Castle (CCI) 30-day option implied volatility is at 20; compared to its 52-week range of 20 to 73 into Elliott to engage with Crown Castle after building $2B stake, WSJ says.

iRobot Corp. (IRBT) 30-day option implied volatility is at 83; compared to its 52-week range of 24 to 120 amid FTC and EU reviewing Amazon (AMZN) acquisition of iRobot. Call put ratio 1.5 calls to 1 put.

Marsh & McLennan (MMC) 30-day option implied volatility is at 12; compared to its 52-week range of 12 to 77 as share price near record high.

Straddle prices into quarter results

PDD Holdings (PDD) December weekly 118 straddle is priced for a move of 9% into the expected release of quarter results today.

Zscaler (ZS) December weekly 192 straddle is priced for a move of 8% into the expected release of quarter results after the bell on November 27.

Intuit (INTU) December weekly 565 straddle is priced for a move of 6.5% into the expected release of quarter results after the bell on November 28.

Workday (WDAY) December weekly 235 straddle is priced for a move of 6.5% into the expected release of quarter results after the bell on November 28.

CrowdStrike (CRWD) December weekly 210 straddle is priced for a move of 7.5% into the expected release of quarter results after the bell on November 28.

Hewlett Packard (HPE) December 15 straddle is priced for a move of 7.5% into the expected release of quarter results after the bell on November 28.

NetApp (NTAP) December weekly 75 straddle is priced for a move of 7.5% into the expected release of quarter results after the bell on November 28.

Options with decreasing option implied volatility: JWN SYM BURL ZM KSS IMGN ANF
Increasing unusual option volume: BKKT IRBT BKKT VNOM
Increasing unusual call option volume: IRBT BKKT ACI PZZA EC BITF
Increasing unusual put option volume: BMBL AVXL FTCH IRBT HRTZ
Popular stocks with increasing volume: COIN PLTR BABA DIS C BAC RIVN VALE PYPL
Active options: TSLA NVDA AAPL AMZN MARA COIN AMD MSFT PLTR META RIOT GOOGL BABA DIS C GOOG BAC RIVN VALE PYPL
Global S&P Futures mixed to lower in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $74.50, natural gas down 4%, gold at $2013

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