Pre-Market IV Report July 2, 2024

Pre-Market IV Report July 2, 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: SAVA IRBT CHWY ZI HLF

Stocks expected to have increasing option volume: PARA WBD DIS CHWY GME

Movers

Apple (AAPL) 30-day option implied volatility is at 24; compared to its 52-week range of 16 to 31 amid Macworld headlines of “AirPods with frickin cameras”. The 2026 upgrade will reportedly enable in-air gesture controls as Apple works to integrate more devices with Vision Pro reports Macworld. Option volume of 1.4M contracts compares to 90-day average of 877K contracts.

Amazon (AMZN) 30-day option implied volatility is at 38; compared to its 52-week range of 22 to 48 as share price at new record high.

Tesla (TSLA) 30-day option implied volatility is at 56; compared to its 52-week range of 40 to 65 into quarter sales data. Options active on 2.7M contracts compared to 90 day average of 1.8M contracts.

Headlines

Paramount Global (PARA) 30-day option implied volatility is at 46; compared to its 52-week range of 40 to 87 amid talks to explore Paramount+ Merger – CNBC and Barry Diller considering bid for controlling stake in Paramount, NYT says.

Sony (SONY) 30-day option implied volatility is at 21; compared to its 52-week range of 17 to 37.

Warner Bros. Discovery (WBD) 30-day option implied volatility is at 42; compared to its 52-week range of 36 to 65. Call put ratio 1.1 calls to 1 put on active options volume of 202K contracts. August 9 weekly 7 puts and August 9 weekly 7.5 calls active.

Movers

Snowflake (SNOW) 30-day option implied volatility is at 39; compared to its 52-week range of 33 to 67. Call put ratio 3.3 calls to 1 put with focus on August 150 calls as share price up 5% after added to Americas Conviction List at Goldman Sachs.

Birkenstock Holding (BIRK) 30-day option implied volatility is at 34; compared to its 52-week range of 32 to 76. Call put ratio 3.4 calls to 1 put with focus on July 60 and 65 calls as share price up.

Teleflex (TFX) 30-day option implied volatility is at 30; compared to its 52-week range of 20 to 73.

GSK (GSK) 30-day option implied volatility is at 22; compared to its 52-week range of 14 to 24. Call put ratio 14.7 calls to 1 put with focus on July 5 weekly 39 calls.

ICF International (ICFI) 30-day option implied volatility is at 24; compared to its 52-week range of 20 to 70 as share price up 7.8%.

Chewy (CHWY) 30-day option implied volatility is at 99; compared to its 52-week range of 37 to 128. Total option volume of 286K contracts, compared to 90 day average of 37K contracts amid wide intra-day price movement.

ANSYS (ANSS) 30-day option implied volatility is at 22; compared to its 52-week range of 14 to 69. Spreaders active in July 2024 310 puts, January 2025 310 puts, January 2026 310 puts.

Pitney-Bowes (PBI) 30-day option implied volatility is at 61; compared to its 52-week range of 33 to 93 with a focus on January 8 calls as share price up after provides update on cost rationalization programs.

Crinetics Pharmaceuticals (CRNX) 30-day option implied volatility is at 47; compared to its 52-week range of 45 to 241 amid +2200 September 50 calls trading at 50c.

iShares Gold Trust (IAU) 30-day option implied volatility is at 14; compared to its 52-week range of 10 to 25 with a focus on +20K contracts of January 39 puts.

Madison Square Garden Sports Corp. (MSGS) 30-day option implied volatility is at 20; compared to its 52-week range of 16 to 70 as share price up.

Options with decreasing option implied volatility: MU SPR FDX LEVI NKE SDOW CCL IP
Increasing unusual option volume: CMG PBI IAU MAXN
Increasing unusual call option volume: CMG PBI FGEN WOOF HCC METC
Increasing unusual put volume: CMG MAXN NVS SAVA ENB EOSE
Popular stocks with increasing volume: NKE GME PLTR CHWY RIVN MU SMCI CMG F AMC CCL NIO
Active options: NVDA TSLA AAPL AMZN AMD MARA NKE GME PLTR CHWY RIVN META MU SMCI CMG MSFT F AMC CCL NIO
Global S&P Futures mixed to higher in premarket, Nikkei up 1%, DAX mixed, WTI Crude oil recently at $84, natural gas mixed, gold at $2340