Pre-Market IV Report March 22, 2023

Pre-Market IV Report March 22, 2023

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: DWAC VKTX FRG STGW

Stocks expected to have increasing option volume: SPY QQQ RUT ARKK NKE GME LAZR CAMP SNAP META FRC

Option IV into FOMC decision

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 19; compared to its 52-week range of 15 to 31.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 23; compared to its 52-week range of 22 to 40.

iShares Russell 2000 ETF (IWM) 30-day option implied volatility is at 26; compared to its 52-week range of 20 to 37.

Semis option IV into FOMC decision

NVIDIA (NVDA) 30-day option implied volatility is at 48; compared to its 52-week range of 45 to 82.

Advanced Micro Devices, Inc. (AMD) 30-day option implied volatility is at 50; compared to its 52-week range of 44 to 73.

Intel (INTC) 30-day option implied volatility is at 37; compared to its 52-week range of 26 to 59.

Qualcomm (QCOM) 30-day option implied volatility is at 34; compared to its 52-week range of 32 to 58 as shares rally 1.6%.

Micron Technology (MU) 30-day option implied volatility is at 46; compared to its 52-week range of 36 to 62.

Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 32; compared to its 52-week range of 29 to 49.

Interest rates products option IV into FOMC

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 43; compared to its 52-week range of 32 to 60.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 22; compared to its 52-week range of 17 to 30.

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 12; compared to its 52-week range of 8 to 33.

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 12; compared to its 52-week range of 9 to 23.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 13; compared to its 52-week range of 10 to 19.

First Republic Bank (FRC) 30-day option implied volatility is at 335; compared to its 52-week range of 24 to 407 as shares at record low. Call put ratio 1 call to 1.2 puts on 496K contracts.

Straddle prices into quarter results

Chewy (CHWY) March weekly 40 straddle priced for a move of 11.5% into the expected release of quarter results today after the bell.

KB Homes (KBH) April 35 straddle priced for a move of 12% into the expected release of quarter results today after the bell.

Accenture (ACN) March weekly 257straddle priced for a move of 4% into the expected release of quarter results before the bell on March 23.

General Mills (GIS) April 80 straddle priced for a move of 6% into the expected release of quarter results before the bell on March 23.

Darden (DRI) April 150 straddle priced for a move of 8% into the expected release of quarter results before the bell on March 23.

FactSet Research (FDS) April 420 straddle priced for a move of 7% into the expected release of quarter results before the bell on March 23.

Options with decreasing option implied volatility: PCT FITB S PATH TAL STNE KEY AXSM
Increasing unusual option volume: FRC INVH DPST ZION UBS ONON
Increasing unusual call option volume: DPST TIP ONON TFC KRE KD KBE
Increasing unusual put option volume: ONON INVH UBS RAD SLG DM
Popular stocks increasing options volume: FRC BAC COIN MARA AMC CS F BABA INTC SHCW NIO
Global S&P Futures mixed in premarket, Nikkei up 1.5%, DAX mixed, WTI Crude oil recently at $69, natural gas down 3%, gold at $1945