Pre-Market IV Report June 23, 2021

Pre-Market IV Report June 23, 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: ATOS NFLX TWTR NKE HYG TAL BBIG CVAC EDU INO EDU UA IBM WHR

Stocks expected to have increasing option volume: FDX NKE BB ACN KBH FUL SHAK KMX

The ‘FANG’ stocks option implied volatility

Facebook (FB) 30-day option implied volatility is at 24; compared to its 52-week range of 22 to 55.

Apple (AAPL) 30-day option implied volatility is at 21; compared to its 52-week range of 19 to 62.

Netflix (NFLX) 30-day option implied volatility is at 35; compared to its 52-week range of 23 to 69.

Alphabet (GOOG) 30-day option implied volatility is at 20; compared to its 52-week range of 19 to 49.

Amazon (AMZN) 30-day option implied volatility is at 22; compared to its 52-week range of 21 to 64.

Microsoft (MSFT) 30-day option implied volatility is at 21; compared to its 52-week range of 17 to 49.

Event option IV

Equinix (EQIX) 30-day option implied volatility is at 25; compared to its 52-week range of 23 to 38 into hosting an analyst day today.

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 today.

GlaxoSmithKline (GSK) 30-day option implied volatility is at 19; compared to its 52-week range of 17 to 44 into 2021 analyst day today.

General Electric (GE) 30-day option implied volatility is at 30; compared to its 52-week range of 28 to 67. GE date for its 1-for-8 reverse stock split to be effective post-close of trading is July 30. The shares will start trading on a split-adjusted basis on August 2.

Micron Technology (MU) 30-day option implied volatility is at 39; compared to its 52-week range 34 to 61 into expected release of quarter results on June 30.

iShares Russell 2000 ETF (IWM) 30-day option implied volatility is at 20; compared to its 52-week range 19 to 43. Call put ratio 1 call to 3 puts into rebalance on June 25.

fuboTV Inc. (FUBO) 30-day option implied volatility is at 96; compared to its 52-week range of 82 to 239. Call put ratio 8.6 calls to 1 put into FUBO is set to join the broad-market Russell 3000® Index at the conclusion of the 2021 Russell indexes annual reconstitution, effective after the U.S. market opens on June 28, according to a preliminary list of additions posted June 4.

Tupperware Brands (TUP) 30-day option implied volatility is at 68; compared to its 52-week range of 52 to 159 after announces $250M share repurchase plan. Call put ratio 5.6 calls to 1 put.

Straddle prices into expected release of quarter results this week

H.B. Full (FUL) July 65 straddle priced for a move of +/- 7.5% into the expected release of quarter results today.

KB Home (KBH) July 43 straddle priced for a move of +/- 11% into the expected release of quarter results today.

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

Steelcase (SCS) July 15 straddle priced for a move of +/- 13% into the expected release of quarter results today after the bell.

Winnebago (WGO) July 65 straddle priced for a move of +/- 12% into the expected release of quarter results today.

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 13.5 straddle priced for a move of +/- 14.5% into the expected release of quarter results on June 24.

Darden (DRI) July 135 straddle priced for a move of +/- 10% into the expected release of quarter results before the bell on June 24.

FedEx (FDX) June weekly 297.50 straddle priced for a move of +/- 6% into the expected release of quarter results after the bell on June 24.

Nike (NKE) June weekly 132 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 117 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 +/- 4.5% into the expected release of quarter results before the bell on June 25.

Options with decreasing option implied volatility: RBLX NVAX DASH DOCU BBBY
Increasing unusual option volume: SBH WISH EPZM WGO BURL WWR DDD
Increasing unusual call option volume: SBH ENG EWJ WISH HLF XLC BIG DDD
Increasing unusual put option volume: XLC EWJ UMC ASAN WISH WGO BG ATOS
Popular stocks with increasing volume: PLUG F BB ROKU SPCE
Active options: AAPL TSLA AMC WISH CLOV PLUG NIO AMZN FB NVDA AMD MSFT BAC F ATOS RIOT BB ROKU SPCE TRCH
Global S&P Futures recently mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at 73.40, natural gas mixed, gold at $1783 an ounce