Pre-Market IV Report April 11, 2023

Pre-Market IV Report April 11, 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: EBIX MCRB BYND PLTK TWOU ICPT UPST ABR U TTD LAZR RBLX HZO CELH MWA LMND RETA SRPT TOST BILL LYFT HBI ABR

Stocks expected to have increasing option volume: ACI KMX TKRY HEXO

Option IV movers

Sarepta Therapeutics (SRPT) 30-day option implied volatility is at 78; compared to its 52-week range of 39 to 78. Call put ratio 5 calls to 1 put into advisory committee meeting for SRP-9001 on May 12.

HEXO Corp. (HEXO) 30-day option implied volatility is at 140; compared to its 52-week range of 20 to 209. Call put ratio 32 calls to 1 put into Tilray (TLRY) to acquire all issued, outstanding common shares of Hexo.

Tilray (TLRY) 30-day option implied volatility is at 102; compared to its 52-week range of 67 to 162 into the expected release of quarter results. Call put ratio 4.2 calls to 1 put into Q3 results, FY23 guidance and to acquire all issued, outstanding common shares of Hexo (HEXO).

Ebix (EBIX) 30-day option implied volatility is at 143; compared to its 52-week range of 78 to 168 in wide price movement. Call put ratio 2.7 calls to 1 put on 14K contracts.

Energy Option IV Movers

Phillips 66 (PSX) 30-day option implied volatility is at 35; compared to its 52-week range of 29 to 54.

Marathon (MRO) 30-day option implied volatility is at 45; compared to its 52-week range of 37 to 71.

Sunoco LP (SUN) 30-day option implied volatility is at 22; compared to its 52-week range of 17 to 81. Call put ratio 5.8 calls to 1 put.

Devon Energy (DVN) 30-day option implied volatility is at 42; compared to its 52-week range of 35 to 70.

Pioneer Natural Resources (PXD) 30-day option implied volatility is at 34; compared to its 52-week range of 29 to 54. Call put ratio 2.1 calls to 1 put after Exxon Mobil (XOM) has held preliminary talks with about a possible acquisition of PXD, reported The Wall Street Journal.

Valero Energy (VLO) 30-day option implied volatility is at 39; compared to its 52-week range of 34 to 61.

Marathon Petroleum (MPC) 30-day option implied volatility is at 37; compared to its 52-week range of 32 to 53.

United States Natural Gas (UNG) 30-day option implied volatility is at 85; compared to its 52-week range of 64 to 120.

Straddle prices into quarter results

Fastenal (FAST) April 52.50 straddle is priced for a move of 5% into the expected release of quarter results before the bell on April 13.

Delta (DAL) April weekly 34 straddle is priced for a move of 6% into the expected release of quarter results before the bell on April 13.

United Health Group (UNH) April weekly 515 straddle is priced for a move of 3% into the expected release of quarter results before the bell on April 14.

J P Morgan (JPM) April weekly 128 straddle is priced for a move of 3.5% into the expected release of quarter results before the bell on April 14.

Wells Fargo (WFC) April weekly 38.50 straddle is priced for a move of 4.5% into the expected release of quarter results before the bell on April 14.

BlackRock (BLK) April weekly 660 straddle is priced for a move of 4% into the expected release of quarter results before the bell on April 14.

Citgroup (C) April weekly 46.50 straddle is priced for a move of 4.5% into the expected release of quarter results before the bell on April 14.

PNC Financial (PNC) April weekly 122 straddle is priced for a move of 4% into the expected release of quarter results before the bell on April 14.

Options with decreasing option implied volatility: STZ AMC
Increasing unusual option volume: FRC EGO BTG HZO WAL
Increasing unusual call option volume: FRC EGO GGAL BTG PACW TUP WES
Increasing unusual put option volume: FRC DM HZO ACI BKLN ABR VNO
Popular stocks increasing options volume: BAC FRC SCHW BABA COIN F PLTR INTC

Active options: TSLA AAPL AMC NVDA AMZN AMD MSFT GOOGL MU META GOOG BAC MARA FRC SCHW BABA COIN F PLTR INTC
Global S&P Futures mixed in premarket, Nikkei, DAX mixed, WTI Crude oil recently at $80.50, natural gas mixed, gold at $2021