Pre-Market IV Report November 28, 2023

Pre-Market IV Report November 28, 2023

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Pre-Market IV Report November 28, 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: RILY SNDX SWTX PRTA CAAP BCYC TMF PNT CORT SHIP IOVA SAVE QURE SPLK KVUE

Stocks expected to have increasing option volume: CRM WDAY CRWD HPE NTAP PDD INTU ZS SAVE IRBT RILY

AMZN near 52-week highs into AWS re:Invent.

Amazon (AMZN) 30-day option implied volatility is at 25; compared to its 52-week range of 25 to 55. Call put ratio 2 calls to 1 put into AWS re:Invent.

Roku Inc. (ROKU 30-day option implied volatility is at 47; compared to its 52-week range of 44 to 95 as share price near 52-week highs.

NVIDIA (NVDA) December weekly call option implied volatility is at 33, December is at 34; compared to its 52-week range of 35 to 68.

Intel (INTC) 30-day option implied volatility is at 28; compared to its 52-week range of 28 to 48.

Coinbase (COIN) 30-day option implied volatility is at 67; compared to its 52-week range of 59 to 130.

Movers

General Motors Co. (GM) November weekly call option implied volatility is at 44, December is at 36; compared to its 52-week range of 27 to 46 into hosting a conference call and webcast for financial analysts on Wednesday, November 29, 2023, at 8:00 a.m. ET. Call put ratio 2 calls to 1 put.

Tesla (TSLA) 30-day option implied volatility is at 42; compared to its 52-week range of 42 to 97 into a Cybertruck event at Gigafactory Texas on Thursday, November 30, 2023.

Crown Castle (CCI) 30-day option implied volatility is at 22; compared to its 52-week range of 20 to 73 after Elliott discloses $2B stake.

iRobot Corp. (IRBT) 30-day option implied volatility is at 77; compared to its 52-week range of 24 to 121 amid FTC and EU reviewing Amazon (AMZN) acquisition of iRobot. Call put ratio 1.6 calls to 1 put.

GE HealthCare (GEHC) 30-day option implied volatility is at 20; compared to its 52-week range of 18 to 36. Call put ratio 1 call to 1 put as share price pulls back.

Canadian Pacific Kansas City (CP) 30-day option implied volatility is at 19; compared to its 52-week range of 16 to 70. Call put ratio 3 calls to 1 put.

Alibaba (BABA) 30-day option implied volatility is at 30; compared to its 52-week range of 30 to 63.

Methanex (MEOH) 30-day option implied volatility is at 31; compared to its 52-week range of 29 to 62 with focus on December 40 puts.

AstraZeneca (AZN) 30-day option implied volatility is at 19; compared to its 52-week range of 18 to 31. Call put ratio 1 call to 1.3 puts.

Steel Dynamics (STLD) 30-day option implied volatility is at 27; compared to its 52-week range of 27 to 93. Call put ratio 5.3 calls to 1 put.

New Oriental Education (EDU) 30-day option implied volatility is at 40; compared to its 52-week range of 38 to 89.

TAL Education (TAL) 30-day option implied volatility is at 53; compared to its 52-week range of 50 to 124. Call put ratio 6.1 calls to 1 put with focus on January 20 calls.

iRobot Corp. (IRBT) 30-day option implied volatility is at 77; compared to its 52-week range of 24 to 121 amid FTC and EU reviewing Amazon.com’s (AMZN) acquisition of iRobot. Call put ratio 1.6 calls to 1 put.

Spirit Airlines (SAVE) December weekly call option implied volatility is at 100, December is at 180; compared to its 52-week range of 24 to 142 amid SAVE and JetBlue (JBLU) trial versus the DOJ. Call put ratio 1 call to 1.1 puts.

Straddle prices into quarter results

Intuit (INTU) December weekly 560 straddle is priced for a move of 6.5% into the expected release of quarter results today after the bell.

Workday (WDAY) December weekly 235 straddle is priced for a move of 6% into the expected release of quarter results today after the bell.

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

Hewlett Packard (HPE) December 16 straddle is priced for a move of 7.5% into the expected release of quarter results today after the bell.

NetApp (NTAP) December weekly 78 straddle is priced for a move of 7.5% into the expected release of quarter results today after the bell.

Snowflake (SNOW) December weekly 170 straddle is priced for a move of 8% into the expected release of quarter results after the bell on November 29.

Options with decreasing option implied volatility: ANF REPL JWN IMGN BURL SYM LAC DKS ZM KSS
Increasing unusual option volume: GGAL IRBT PRTA RILY DQ BKLN
Increasing unusual call option volume: DQ IRBT VOD GGAL NVS
Increasing unusual put option volume: CRWD RILY IRBT KDP BKLN HTZ FTCH SAVE GDDY ESTC
Popular stocks with increasing volume: AFRM COIN SHOP BABA ROKU SOFI PDD UBER WMT
Active options: TSLA NVDA AMZN AAPL AMD MSFT AFRM COIN PLTR META SHOP BABA ROKU MARA SOFI PDD UBER GOOGL INTC WMT
Global S&P Futures mixed to lower in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $75.50, natural gas mixed, gold at $2015

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