Pre-Market IV Report November 30, 2023

Pre-Market IV Report November 30, 2023

by

Pre-Market IV Report November 30, 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: GME SAVE PNT GEO CI KVUE HUM VVOS BMEA BYND TMF QS IMGN AMC HES BAM

Stocks expected to have increasing option volume: CRM SNOW HRL SNPS FIVE PSTG HES DELL HRL LZB VSCO WB DDD NTNX PVH

Tesla (TSLA) 30-day option implied volatility is at 42; compared to its 52-week range of 42 to 97 into a Cybertruck event today.

Energy movers

Hess Corp. (HES) 30-day option implied volatility is at 25; compared to its 52-week range of 21 to 50. Call put ratio 1 call to 2.2 puts.

ExxonMobil (XOM) 30-day option implied volatility is at 22; compared to its 52-week range of 19 to 38 as WTI crude trades above $78.

Chevron (CVX) 30-day option implied volatility is at 21; compared to its 52-week range of 17 to 36. Call put ratio 1 call to 3.2 puts as WTI crude trades above $78.

Phillips 66 (PSX) 30-day option implied volatility is at 23; compared to its 52-week range of 22 to 45 into says plans to continue a constructive dialogue with Elliott Investment.

Movers

Humana (HUM) 30-day option implied volatility is at 28; compared to its 52-week range of 17 to 38 after WSJ report on merger talks with Cigna (CI). Call put ratio 1.3 calls to 1 put.

Cigna Corp. (CI) 30-day option implied volatility is at 28; compared to its 52-week range of 17 to 32 after WSJ report on merger talks with Humana (HUM). Call put ratio 1.1 calls to 1 put.

Straddle prices into quarter results

Kroger (KR) December weekly 43.50 straddle is priced for a move of 5.5% into the expected release of quarter results today before the bell. Call put ratio 1 call to 2.6 puts.

Ulta Beauty (ULTA) December weekly 420 straddle is priced for a move of 8% into the expected release of quarter results today after the bell.

Dell Technologies (DELL) December weekly 75 straddle is priced for a move of 7% into the expected release of quarter results today.

Academy Sports (ASO) December weekly 50.50 straddle is priced for a move of 11% into the expected release of quarter results today before the bell.

Ambarella (AMBA) December weekly 57 straddle is priced for a move of 13% into the expected release of quarter results today after the bell.

Pager Duty (PD) December 22.50 straddle is priced for a move of 12.50% into the expected release of quarter results today after the bell.

Rover Group (ROVR) 30-day option implied volatility is at 14; compared to its 52-week range of 14 to 76 after the company agreed to be acquired by private equity funds managed by Blackstone (BX) in an all-cash transaction valued at approximately $2.3B, or $11 per share.

Options with decreasing option implied volatility: JWN FL DLTR PDD OKTA ZS CRWD NVDA BILI ADSK WDAY HE HPQ NTAP DE INTU
Increasing unusual option volume: CAN EYPT FSK BIVI SARK YUMC FTCH JBL RSP PVH
Increasing unusual call option volume: D CAN HPE TME INDA LMND FTCH UDN BAX BIVI
Increasing unusual put option volume: NAT JBL RSP VLY DOCS PSTG RILY IBKR ASO TDS HCP NTAP PCG
Popular stocks with increasing volume: GM BAC COIN PLTR F RIVN INTC SOFI AFRM PYPL
Active options: TSLA NVDA GME AAPL MSFT AMZN AMD META AMC GM BABA BAC COIN PLTR F RIVN INTC SOFI AFRM PYPL
Global S&P Futures mixed to lower in premarket, Nikkei mixed, DAX up 1%, WTI Crude oil recently at $78.50, natural gas mixed, gold at $2039

Subscribe to Rebel Roundup for your weekly digest of market highlights and free trading lessons.
We’re on a mission to empower retail traders with the tools they need to succeed.

Join a growing community of traders with Market Rebellion

Join the thousands of users daily!