Pre-Market IV Report June 22, 2021

Pre-Market IV Report June 22, 2021

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: TRCH NKE TWTR NFLX HYG TAL EDU NUE ATOS TEVA IBM

Stocks expected to have increasing option volume: FDX NKE BB SAFM PLUG NKE MVIS SAFM SCVL MRNA WISH CRWD NKLA MRNA

Chips IV near lower end of range

Micron Technology (MU) 30-day option implied volatility is at 39; compared to its 52-week range 34 to 61. Call put ratio 2.6 calls to 1 put with focus on July 77 and 85 calls into expected release of quarter results on June 30.

Taiwan Semi (TSM) 30-day option implied volatility is at 28; compared to its 52-week range 25 to 53. Call put ratio 1 call to 1.3 puts with focus on June weekly and July weekly puts into expected release of quarter results on July 16.

Movers

ContextLogic (WISH) 30-day option implied volatility is at 177; compared to its 52-week range of 79 to 278. Call put ratio 7.6 calls to 1 put with focus on upside July calls.

Sanderson Farms (SAFM) 30-day option implied volatility is at 27; compared to its 52-week range of 26 to 58 amid WSJ says exploring sale. Call put ratio 1.4 calls to 1 put.

WTI Crude oil trends higher, WTI $73

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 29; compared to its 52-week range of 27 to 58 amid WTI Crude trades above $73. Cal put ratio 2.1 calls to 1 put.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day option implied volatility is at 43; compared to its 52-week range of 39 to 68 amid WTI crude trades above $73. Call put ratio 8.4 calls to 1 put with focus on July 115 calls.

iShares Russell 2000 ETF (IWM) 30-day option implied volatility is at 21; compared to its 52-week range 19 to 43. Call put ratio 1 call to 2.4 puts into rebalance on June 25.

IV into quarter results

BlackBerry (BB) June weekly call option implied volatility is at 150, July is at 115; compared to its 52-week range of 48 to 477 into the expected release of quarter results on June 24.Call put ratio 3.4 calls to 1 put.

FedEx (FDX) June weekly call option implied volatility is at 67, July is at 36; compared to its 52-week range of 24 to 63 into the expected release of quarter results after the bell on June 24.

Nike (NKE) June weekly call option implied volatility is at 55, July is at 31; compared to its 52-week range of 21 to 43 into the expected release of quarter results after the bell on June 24.

Equinix (EQIX) 30-day option implied volatility is at 24; compared to its 52-week range of 23 to 38 into hosting an analyst day on June 23.

Johnson & Johnson (JNJ) 30-day option implied volatility is at 15; compared to its 52-week range of 14 to 34 into hosts a conference call to discuss its ESG strategy on June 23.

GlaxoSmithKline (GSK) 30-day option implied volatility is at 20; compared to its 52-week range of 17 to 44 into 2021 analyst day on June 23. Call put ratio 3.8 calls to 1 put.

Boeing (BA) 30-day option implied volatility is at 32; compared to its 52-week range of 31 to 85 into expected release of quarter results on July 27. Call put ratio 3.2 calls to 1 put.

Straddle prices into expected release of quarter results this week

Plug Power (PLUG) June weekly 30 straddle priced for a move of +/- 10% into the expected release of quarter results today before the bell.

H.B. Full (FUL) July 70 straddle priced for a move of +/- 7.5% into the expected release of quarter results after the bell on June 23.

KB Home (KBH) July 43 straddle priced for a move of +/- 9% into the expected release of quarter results after the bell on June 23.

Rite Aid (RAD) June weekly 20.50 straddle priced for a move of +/- 20% into the expected release of quarter results on June 23.

Steelcase (SCS) July 15 straddle priced for a move of +/- 12% into the expected release of quarter results after the bell on June 23.

Winnebago (WGO) July 65 straddle priced for a move of +/- 11% into the expected release of quarter results before the bell on June 23.

Accenture (ACN) June weekly 285 straddle priced for a move of +/- 3.5% into the expected release of quarter results before the bell on June 24.

BlackBerry (BB) June weekly 13 straddle priced for a move of +/- 15% into the expected release of quarter results on June 24.

Darden (DRI) July 135 straddle priced for a move of +/- 11% into the expected release of quarter results before the bell on June 24.

FedEx (FDX) June weekly 292.50 straddle priced for a move of +/- 6% into the expected release of quarter results after the bell on June 24.

Nike (NKE) June weekly 130 straddle priced for a move of +/- 4.5% into the expected release of quarter results after the bell on June 24.

CarMax (KMX) June weekly 116 straddle priced for a move of +/- 5% into the expected release of quarter results before the bell on June 25.

Paychex (PAYX) July 105 straddle priced for a move of +/- 5% into the expected release of quarter results before the bell on June 25.

Coinbase (COIN) June weekly call option implied volatility is at 50, July is at 49; compared to its 52-week range of 46 to 81 as Bitcoin pulls back.

Options with decreasing option implied volatility: NVAX ATOS DOCU CLOV BBBY TTD WOOF ZNGA
Increasing unusual option volume: WISH ENG LSPD RWT ALKS
Increasing unusual call option volume: WISH ENG RWT LSPD XRX
Increasing unusual put option volume: STNE WISH ME BG SWBI
Popular stocks with increasing volume: PLTR NIO F BB
Active options: AMC TSLA AAPL NVDA AMD PLTR AMZN BAC NIO GE WISH C INTC MU FB F MSFT WFC SNAP BB
Global S&P Futures recently mixed in premarket, Nikkei up 3%, DAX mixed, WTI Crude oil recently at 73.08, natural gas down 2.2%, gold at $1775 an ounce