Pre-Market IV Report November 9, 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: GTLB CHWY MDB DOCU DG RILY RPHM CTOS DWAC ACDC SPR IMO LLY CD ENS PNT VNOM SPLK
Stocks expected to have increasing option volume: DIS ARM BYND LYFT MGM AFRM TTWO TWLO BILL APP BE AMC CART NCLH GDRX SIX DNUT BYND LI YETI PLUG TPR CPRI MS
Option IV for NVO into weight loss data
Novo Nordisk (NVO) November weekly call option implied volatility is at 37, November is at 45; compared to its 52-week range of 20 to 67 as share price near record high into expected release of weight loss data.
Eli Lilly & Co. (LLY) November weekly call option implied volatility is at 39, November is at 45; compared to its 52-week range of 18 to 39 as share price near record high. Call put ratio 3.2 calls to 1 put amid Zepbound headlines.
Oil option IV as WTI crude oil trades below $75
United States Oil Fund (USO) 30-day option implied volatility is at 38; compared to its 52-week range of 24 to 49. Call put ratio 5 calls to 1 put as WTI crude oil trades below $75.
Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 23; compared to its 52-week range of 18 to 39 as $WTI crude oil trades below $75. Call put ratio 1 call to 7.4 puts.
SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day option implied volatility is at 29; compared to its 52-week range of 23 to 50 as WTI crude oil trades below $75. Call put ratio 1 call to 2 puts.
Straddle prices into quarter results
Li Auto (LI) November weekly 39.50 straddle is priced for a move of 8% into the expected release of quarter results today before the bell.
Capri (CPRI) November 47.50 straddle is priced for a move of 5% into the expected release of quarter results today after the bell.
Tapestry (TPR) November weekly 27 straddle is priced for a move of 9% into the expected release of quarter results today.
YETI (YETI) November weekly 40 straddle is priced for a move of 12% into the expected release of quarter results today before the bell.
Plug Power (PLUG) November weekly 6 straddle is priced for a move of 13% into the expected release of quarter results today.
Krispy Kreme (DNUT) November 12.50 straddle is priced for a move of 13% into the expected release of quarter results today before the bell on November 9.
Movers
Bill.com (BILL) 30-day option implied volatility is at 47; compared to its 52-week range of 38 to 100 in talks over $1.95B Melio takeover, Bloomberg reports, citing people with knowledge of the matter.
Options with decreasing option implied volatility: CVNA AYX HLF IEP DOCN BILL ARRY RBLX RNG FSLY SRPT TOST AUPH ELF UPST SQ TDS NET ROKU
Increasing unusual option volume: FNGS INVZ ESTA DM USM BMBL HEAR GSM RILY DVA APD INOD
Increasing unusual call option volume: USM INVZ ESTA HEAR BMBL DM UWMC DVA UPWK REAL TTWO SPR IBM MGNI SFL
Increasing unusual put option volume: RILY BMBL PAYC DVA XRX EDR MODG WPC BMRN VST FOUR TOST
Popular stocks with increasing volume: RIVN RBLX UPST WBD LCID HOOD PLTR AAL AFRM
Active options: TSLA AAPL NVDA RIVN AMD RBLX UPST AMZN MSFT WBD LCID HOOD PLTR META GOOGL ENVX AAL AFRM AMC
Global S&P Futures mixed in premarket, Nikkei up 1%, DAX mixed, WTI Crude oil recently at $76, natural gas mixed, gold at $1954
