Pre-Market IV Report July 18, 2024

Pre-Market IV Report July 18, 2024

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: JOBY GME BILL NYCB QS ABR ONON EQX SE MNDY FIVE TNA TPR STNE CSCO AMAT WMT DE

Stocks expected to have increasing option volume: TSM NFLX ISRG AXP AA DPZ ABT BX CTAS DHI TXT KEY ALK KMI UAL CCI OZK DRI CHUY AA NVDA AVGO ARM LESL COF BYND UAL ALK SLG STLD

Chip option IV, share prices up before the bell

NVIDIA (NVDA) 30-day option implied volatility is at 53; compared to its 52-week range of 32 to 68. Call put ratio 1.4 calls to 1 put.

Broadcom (AVGO) 30-day option implied volatility is at 39; compared to its 52-week range of 25 to 59. Call put ratio 1.6 calls to 1 put with focus on July 170 calls as share price down.

Arm Holdings (ARM) 30-day option implied volatility is at 80; compared to its 52-week range of 35 to 171. Call put ratio 1 call to 1.2 puts as share price down.

Super Micro Computer (SMCI) 30-day option implied volatility is at 86; compared to its 52-week range of 55 to 118. Call put ratio 1.1 calls to 1 put.

AMD (AMD) 30-day option implied volatility is at 56; compared to its 52-week range of 34 to 58. Call put ratio 1.5 calls to 1 put.

Qualcomm (QCOM) 30-day option implied volatility is at 49; compared to its 52-week range of 22 to 49.

Taiwan Semi (TSM) 30-day option implied volatility is at 52; compared to its 52-week range of 22 to 51. Call put ratio 1.1 calls to 1 put.

Intel (INTC) 30-day option implied volatility is at 50; compared to its 52-week range of 28 to 50. Call put ratio 4.4 calls to 1 put.

Micron Technology (MU) 30-day option implied volatility is at 45; compared to its 52-week range of 27 to 73. Call put ratio 1.7 calls to 1 put.

Mobileye (MBLY) 30-day option implied volatility is at 75; compared to its 52-week range of 33 to 95. Call put ratio 7.7 calls to 1 put.

Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 35; compared to its 52-week range of 22 to 36. Call put ratio 1 call to 2 puts.

LLY, NVO and VKTX option IV

Eli Lilly & Co. (LLY) 30-day option implied volatility is at 35; compared to its 52-week range of 19 to 39 after Roche reports weight loss pill data.

Novo Nordisk (NVO) 30-day option implied volatility is at 33; compared to its 52-week range of 22 to 44 after Roche reports weight loss pill data.

Viking Therapeutics (VKTX) 30-day option implied volatility is at 115; compared to its 52-week range of 50 to 234 after Roche reports weight loss pill data.

Freeport-McMoran (FCX) 30-day option implied volatility is at 41; compared to its 52-week range of 29 to 43 amid wide copper movement.

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 33; compared to its 52-week range of 25 to 40 as gold near upper end of range.

Straddle price into quarter results

Netflix (NFLX) July 645 straddle priced for a move of 8.5% into the expected release of quarter results today after the bell.

American Express (AXP) July 250 straddle priced for a move of 4% into the expected release of quarter results before the bell on July 19.

Schlumberger (SLB) July 49 straddle priced for a move of 4% into the expected release of quarter results before the bell on July 19.

The Travelers Company (TRV) July 220 straddle priced for a move of 4% into the expected release of quarter results before the bell on July 19.

Halliburton (HAL) July 36 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on July 19. Call put ratio 4.6 calls to 1 put.

Fifth Third Bancorp (FITB) July 41 straddle priced for a move of 4% into the expected release of quarter results before the bell on July 19.

Huntington Bancshares (HBAN) July 14 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on July 19.

Regions Financial (RF) July 22 straddle priced for a move of 5% into the expected release of quarter results before the bell on July 19. Call put ratio 1 call to 6 puts with focus on July 20 and 21 put spread.

Comerica (CMA) July 57.50 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on July 19.

Beyond Meat (BYND) 30-day option implied volatility is at 138; compared to its 52-week range of 63 to 209 into WSJ report of restructuring talks. Call put ratio 2 calls to 1 put with focus on July 10 calls, July 26 weekly 10 calls and puts.

Darden Restaurants (DRI) 30-day option implied volatility is at 20; compared to its 52-week range of 15 to 64 into acquires Chuy’s Holdings, Inc. in approximately $605M transaction, $37.50 per share.

Chuy’s Holdings (CHUY) 30-day option implied volatility is at 64; compared to its 52-week range of 23 to 81 into Darden Restaurants (DRI) acquires Chuy’s in a approximately $605M transaction, $37.50 per share.

Movers

GE Vernova (GEV) 30-day option implied volatility is at 61; compared to its 52-week range of 37 to 61. Call put ratio 1 call to 1.8 puts amid wide price movement.

IMAX Corp. (IMAX) 30-day option implied volatility is at 46; compared to its 52-week range of 28 to 83 amid a buyer of 4K contracts of December 21 calls for 80c.

Performance Food Group (PFGC) 30-day option implied volatility is at 29; compared to its 52-week range of 14 to 70 amid a trade of 4,520 contracts of September 70 calls for $1.60.

G-III Apparel Group (GIII) 30-day option implied volatility is at 43; compared to its 52-week range of 25 to 120 amid 2100 contracts of August 25 puts trading.

Materials Select Sector Fd (XLB) 30-day option implied volatility is at 15; compared to its 52-week range of 12 to 22 amid a spreader of August 80 puts, 85 puts, 90 puts, August 92 calls, August 94 calls, August 97 calls and August 99 calls.

Options with decreasing option implied volatility: DAL CPRI CAG PGR ALLY UNH EMB SYF PEP BLK SPR ENB
Increasing unusual option volume: AUR GXO XLB ALIT TSEM GFS SAGE AEHR EFX CP HLF
Increasing unusual call option volume: XLB AUR TSEM ALIT CP SAGE AEHR GFS DBI WTI
Increasing unusual put volume: XLB GFS LQDA CHK NXE BK JBHT HLF SHLS FIVE RF
Popular stocks with increasing volume:
Active options: NVDA TSLA AAPL AMD AMZN INTC META SOFI AVGO TSM MARA COIN MSFT GME PLTR RIVN SIRI MU BAC PFE
Global S&P Futures down in premarket, Nikkei down 2%, DAX mixed, WTI Crude oil recently at $83, natural gas mixed, gold at $2471