Pre-Market IV Report November 6, 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: PRTA TPC BMBL PYCR SLM VICI BKLN MOR MLTX
Stocks expected to have increasing option volume: CELH RIVN WE TRIP UBER TOST DVN
Straddle prices into quarter results and Treasury auctions
Vertex (VRTX) November weekly straddle 375 is priced for a move of 3.5% into the expected release of quarter results today after the bell.
NXP Semiconductor (NXPI) November weekly 180 straddle is priced for a move of 7% into the expected release of quarter results today after the bell.
TripAdvisor (TRIP) November weekly 15.50 straddle is priced for a move of 13% into the expected release of quarter results today after the bell.
Riot Platforms (RIOT) November weekly 11.50 straddle is priced for a move of 15% into the expected release of quarter results today after the bell.
Uber (UBER) November weekly 47.50 straddle is priced for a move of 8% into the expected release of quarter results before the bell on November 7.
Gilead (GILD) November weekly 82 straddle is priced for a move of 5% into the expected release of quarter results after the bell on November 7.
Air Products (APD) November 290 straddle is priced for a move of 5% into the expected release of quarter results before the bell on November 7.
Occidental (OXY) November weekly 64 straddle is priced for a move of 4% into the expected release of quarter results after the bell on November 7.
KKR (KKR) November weekly 61 straddle is priced for a move of 4% into the expected release of quarter results before the bell on November 7.
Coupang (CPNG) November weekly 16.50 straddle is priced for a move of 7.5% into the expected release of quarter results after the bell on November 7.
Devon (DVN) November weekly 47 straddle is priced for a move of 5% into the expected release of quarter results after the bell on November 7.
Datadog (DDOG) November weekly 82 straddle is priced for a move of 12% into the expected release of quarter results before the bell on November 7.
eBay (EBAY) November weekly 40.50 straddle is priced for a move of 7% into the expected release of quarter results after the bell on November 7.
Rivian (RIVN) November weekly 17.5 straddle is priced for a move of 12% into the expected release of quarter results after the bell on November 7.
Toast (TOST) November weekly 17.50 straddle is priced for a move of 15% into the expected release of quarter results after the bell on November 7.
Robinhood (HOOD) November weekly 9.5 straddle is priced for a move of 9% into the expected release of quarter results after the bell on November 7.
Akamai (AKAM) November 108 straddle is priced for a move of 7% into the expected release of quarter results after the bell on November 7.
TKO Group (TKO) November 85 straddle is priced for a move of 8% into the expected release of quarter results after the bell on November 7.
H&R Block (HRB) November 43 straddle is priced for a move of 7% into the expected release of quarter results after the bell on November 7.
Lucid (LCID) November weekly 4.5 straddle is priced for a move of 15% into the expected release of quarter results after the bell on November 7.
Cava (CAVA) November weekly 36 straddle is priced for a move of 10% into the expected release of quarter results after the bell on November 7.
Disney (DIS) November weekly 85 straddle is priced for a move of 7.5% into the expected release of quarter results after the bell on November 8.
Option IV for M&A
iRobot Corp. (IRBT) 30-day option implied volatility is at 59; compared to its 52-week range of 17 to 121 amid FTC and EU reviewing Amazon.com’s (AMZN) acquisition of iRobot. Call put ratio 1.8 calls to 1 put into quarter results on November 7.
U.S. Steel (X) 30-day option implied volatility is at 28; compared to its 52-week range of 28 to 61 as share price near upper end of range.
Endeavor Group Holdings Inc. (EDR) 30-day option implied volatility is at 37; compared to its 52-week range of 24 to 79. Call put ratio 1 call to 1 put with focus on active volume of 13K contracts.
VMware (VMW) 30-day option implied volatility is at 30; compared to its 52-week range of 15 to 264.
Spirit Airlines’ (SAVE) November weekly call option implied volatility is at 100, December is at 130; compared to its 52-week range of 24 to 142 amid SAVE and JetBlue (JBLU) trial versus the DOJ. Call put ratio 1.2 call to put on 41K contracts.
JetBlue (JBLU) November weekly call option implied volatility is at 96, November is at 74, December is at 75; compared to its 52-week range of 35 to 74 amid JBLU and Spirit Airlines’ (SAVE) trial versus the DOJ. Call put ratio 4.7 calls to 1 put on 197K contracts.
Health Care Select Sect Fd (XLV) and iShares Nasdaq Biotechnology (IBB) option implied volatility into ASH Meeting
Health Care Select Sect Fd (XLV) 30-day option implied volatility is at 12; compared to its 52-week range of 10 to 20 into 65th American Society of Hematology Annual Meeting and Exposition, which will take place in San Diego, California from December 9 to 12, 2023.
iShares Nasdaq Biotechnology (IBB) 30-day option implied volatility is at 17; compared to its 52-week range of 13 to 27 into ASH Meeting.
Increasing unusual option volume: AX IJR BOWL SIX ARLP BMBL ARLP
Increasing unusual call option volume: ARLP LYV IJR DB IREN SKIN CTLT IBRX BILL CFLT
Increasing unusual put option volume: BMBL AX IRM FND BILL PCT PAYC REBL
Popular stocks with increasing volume: PLTR PYPL ROKU NKLA SHOP BAC SOFI SQ C COIN DASH
Active options: TSLA AAPL NVDA PLTR AMD AMZN PYPL META MSFT ROKU NKLA SHOP GOOGL BAC SOFI SQ C MARA COIN DASH
Global S&P Futures mixed in premarket, Nikkei up 2%, DAX mixed, WTI Crude oil recently at $81.50, natural gas down 3%, gold at $1993
