Pre-Market IV Report March 28, 2022

Pre-Market IV Report March 28, 2022

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: BRCC TLRY CGC RIG PSTH NILE SNDL PROG BBIG ACB VRM

Stocks expected to have increasing option volume: MU LULU T CHWY TSLA

Stocks in headlines

Tesla (TSLA) 30-day option implied volatility is at 56; compared to its 52-week range of 36 to 84 into will suspend production at Shanghai plant, Bloomberg report.

AT&T (T) 30-day option implied volatility is at 23; compared to its 52-week range of 15 to 32 into declares stock dividend to effect WarnerMedia (DISCA) spin-off.

Meta Platforms (FB) 30-day option implied volatility is at 41; compared to its 52-week range of 21 to 51.

Stock option implied volatility for BofA analyst Vivek Arya stocks in “MANGO”, a FANG equivalent

Marvell Technology Inc (MRVL) 30-day option implied volatility is at 47; compared to its 52-week range of 29 to 79.

Broadcom Inc (AVGO) 30-day option implied volatility is at 29; compared to its 52-week range of 20 to 46.

Advanced Micro Devices Inc (AMD) 30-day option implied volatility is at 50; compared to its 52-week range of 29 to 73.

Analog Devices Inc (ADI) 30-day option implied volatility is at 30; compared to its 52-week range of 21 to 44.

NVIDIA Corp (NVDA) 30-day option implied volatility is at 48; compared to its 52-week range of 31 to 70.

GLOBALFOUNDRIES Inc (GFS) 30-day option implied volatility is at 75; compared to its 52-week range of 60 to 108. Call put ratio 3.7 calls to 1 put.

ON Semiconductor Corp (ON) 30-day option implied volatility is at 46; compared to its 52-week range of 33 to 69. Call put ratio 1 call to 1.5 puts.

Straddle prices for stocks expected to report quarterly results

Dave & Busters (PLAY) April weekly 43 straddle priced for a move of +/- 12% into the expected release of quarter results today after the bell.

TPG (TPG) April 30 straddle priced for a move of +/- 14% into the expected release of quarter results on March 28. Call put ratio 8 calls to 1 put.

XPeng (XPEV) April weekly 28 straddle priced for a move of +/- 12% into the expected release of quarter results today.

Chewy (CHWY) April weekly 46 straddle priced for a move of +/- 16% into the expected release of quarter results after the bell on March 29.

Lululemon (LULU) April weekly 320 straddle priced for a move of +/- 8% into the expected release of quarter results after the bell on March 29.

Micron (MU) April weekly 78 straddle priced for a move of +/- 9% into the expected release of quarter results after the bell on March 29.

Lovesac (LOVE) April 45 straddle priced for a move of +/- 20% into the expected release of quarter results before the bell on March 29.

PVH (PVH) April 85 straddle priced for a move of +/- 13% into the expected release of quarter results after the bell on March 29.

RH (RH) April weekly 350 straddle priced for a move of +/- 13% into the expected release of quarter results after the bell on March 29.

Five Below (FIVE) April weekly 162.50 straddle priced for a move of +/- 9% into the expected release of quarter results before the bell on March 30.

Paychex (PAYX) April weekly 130 straddle priced for a move of +/- 5.5% into the expected release of quarter results before the bell on March 30.

BlackBerry (BB) April weekly 7.5 straddle priced for a move of +/- 15% into the expected release of quarter results on March 31. Call put ratio 12 calls to 1 put.

Autodesk (ADSK) 30-day option implied volatility is at 34; compared to its 52-week range of 24 to 60 into hosting a virtual investor meeting on March 29.

SolarEdge (SEDG) 30-day option implied volatility is at 63; compared to its 52-week range of 42 to 85 into hosting a virtual investor meeting on March 29.

Crane (CR) 30-day option implied volatility is at 28; compared to its 52-week range of 23 to 48 into hosting a virtual investor meeting on March 30.

SunPower (SPWR) 30-day option implied volatility is at 70; compared to its 52-week range of 58 to 94 into hosting a analyst day on March 31.

Options with decreasing option implied volatility: BABA JD FXI BIDU IMPP SST AM MTTR NVS PDD
Increasing unusual option volume: CLVR MULN NILE HMHC EQT PTEN RIG
Increasing unusual call option volume: CLVR MULN EQT NILE
Increasing unusual put option volume: UMC EZU BAX DNUT
Popular stocks with increasing volume: AMC T F INTC OXY
Active options: AAPL TSLA TLRY NVDA AMD FB AMC SNDL NIO GME BAC BABA AMZN MSFT T F INTC RIG OXY EQT
Global S&P Futures mixed to lower in premarket, Nikkei mixed to lower, DAX unchanged, WTI Crude oil recently at $108, natural gas mixed, gold at $1935 an ounce