Pre-Market IV Report June 29, 2021

Pre-Market IV Report June 29, 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: TWTR UAL PSAC SBUX NFLX TAL ATOS EDU EFA SPCE

Stocks expected to have increasing option volume: WFC C BAC JPM MS GS PNC USB MLHR LAZR BBBY UAL FIZ MU GIS WBA

Micron

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. Call put ratio 2.5 calls to 1 put.

Bank option implied volatility

Goldman Sachs (GS) 30-day option implied volatility is at 26; compared to its 52-week range of 22 to 48 into plans to increase dividend to $2.00 from $1.25 per share.

Wells Fargo (WFC) 30-day option implied volatility is at 35; compared to its 52-week range of 27 to 61 into plans roughly $18B in share repurchases.

Bank of America (BAC) 30-day option implied volatility is at 27; compared to its 52-week range of 24 to 52 into raises quarterly dividend 17% to 21c per share

JPMorgan (JPM) 30-day option implied volatility is at 24; compared to its 52-week range of 21 to 49 into raising quarterly dividend to $1.00 per share from 90c.

Morgan Stanley (MS) 30-day option implied volatility is at 29; compared to its 52-week range of 25 to 50 into raising quarterly dividend to 70c per share from 35c.

Citigroup (C) 30-day option implied volatility is at 36; compared to its 52-week range of 27 to 61.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 20; compared to its 52-week range of 17 to 41.

IV into events

United Airlines (UAL) 30-day option implied volatility is at 47; compared to its 52-week range of 37 to 114 into update on company growth today.

Capri Holdings Limited (CPRI) 30-day option implied volatility is at 46; compared to its 52-week range of 41 to 112 into hosting an investor day today. Call put ratio 4.1 calls to 1 put.

ConocoPhillips (COP) 30-day option implied volatility is at 35; compared to its 52-week range of 31 to 77 into market update on June 30.

Straddle prices into expected release of quarter results this week

National Beverage (FIZZ) July 47.50 straddle priced for a move of +/- 14% into the expected release of quarter results after the bell on June 29.

NovaGold (NG) July 8 straddle priced for a move of +/- 8% into the expected release of quarter results after the bell on June 29.

Bed Bath & Beyond (BBBY) July weekly 30 straddle priced for a move of +/- 16% into the expected release of quarter results before the bell on June 30.

Constellation Brands (STZ) July 230 straddle priced for a move of +/- 4% into the expected release of quarter results before the bell on June 30.

General Mills (GIS) July 60 straddle priced for a move of +/- 5% into the expected release of quarter results before the bell on June 30.

Micron (MU) July weekly 83 straddle priced for a move of +/- 6.5% into the expected release of quarter results after the bell on June 30.

McCormick (MKC) July 90 straddle priced for a move of +/- 5.5% into the expected release of quarter results before the bell on July 1.

Walgreens Boots Alliance (WBA) July weekly 52 straddle priced for a move of +/- 5% into the expected release of quarter results on July 1.

Options with decreasing option implied volatility: SPLK CLOV DOCU BBBY NKE
Increasing unusual option volume: BXMT BXP COMM CIM AVB VIAC
Increasing unusual call option volume: BXP COMM CIM WPC SEAS WISH
Increasing unusual put option volume: IVR WEN NTLA BBD PVH WISH SEAS
Popular stocks with increasing volume: AMC CCL AAL VIAC SPCE
Active options: TSLA AAPL AMC NIO WISH FB NVDA PLTR VIAC SPCE BABA CCL WKHS SOFI AMD F AAL BA CCIV SNDL