Pre-Market IV Report April 12, 2023

Pre-Market IV Report April 12, 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: WW SPRY BPT OPI ADTN EDIT GGAL ALIT PBRA TGTX SRPT TTD SONO TEVA COTY EA HZNP

Interest rate – bond option IV near low end of range into FOMC minutes

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 36; compared to its 52-week range of 32 to 60.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 19; compared to its 52-week range of 17 to 30.

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 10; compared to its 52-week range of 8 to 35.

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 10; compared to its 52-week range of 9 to 23.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 11; compared to its 52-week range of 10 to 19.
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 34.50 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 520 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 39.50 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 670 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 47 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: KMX STZ ACI CAG
Increasing unusual option volume: FRC UBS NGD WW IAG WAL PAGS PACW
Increasing unusual call option volume: UBS FRC XP NGD FHN
Increasing unusual put option volume: FRC DM APRN ZION KGC PACW
Popular stocks increasing options volume: COIN BAC MARA RIOT AMD NKLA BABA AI NIO CHPT
Active options: TSLA AMZN AAPL AMC NVDA MSFT COIN BAC MARA RIOT AMD NKLA BABA GOOGL GOOG META F AI NIO CHPT
Global S&P Futures mixed in premarket, Nikkei, DAX mixed, WTI Crude oil recently at $81.50, natural gas mixed, gold at $2024