Pre-Market IV Report March 3, 2023

Pre-Market IV Report March 3, 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: SI SBNY PRVB SAVE AUY OSH AMC OSPN SYM NNOX AEHR PMT BKE SJR CCI VLY

Stocks expected to have increasing option volume: COST AI JWN HPE ZS AVGO DELL MRVL CHPT VERU ZS BMBL SI SBNY

TSLA & CRM option IV comes in

Tesla (TSLA) March weekly (10) call option implied volatility is at 63, March is at 62; compared to its 52-week range of 49 to 96. Call put ratio 1.3 calls to 1 put.

Salesforce (CRM) 30-day option implied volatility is at 34; compared to its 52-week range of 30 to 62 after quarter results.

Movers

Advanced Micro Devices, Inc. (AMD) 30-day option implied volatility is at 47; compared to its 52-week range of 44 to 73. Call put ratio 1.5 call to 1 put after Dan Loeb said to have stake, reports CNBC.

Silvergate Capital (SI) 30-day option implied volatility is at 281; compared to its 52-week range of 74 to 281. Call put ratio 1 call to 2.8 puts after large sell off.

Signature Bank (SBNY) 30-day option implied volatility is at 58; compared to its 52-week range of 40 to 275. Call put ratio 1 call to 7.4 puts.

Credit Suisse (CS) 30-day option implied volatility is at 52; compared to its 52-week range of 30 to 104. Call put ratio 1.1 calls to 1 put.

Spdr S&P Regional Banking Etf (KRE) 30-day option implied volatility is at 25; compared to its 52-week range of 21 to 47.

OneSpan (OSPN) 30-day option implied volatility is at 43; compared to its 52-week range of 39 to 80. Call put ratio 8.5 calls to 1 put amid M&A reports.

MP Materials (MP) 30-day option implied volatility is at 55; compared to its 52-week range of 49 to 89. Call put ratio 1.6 calls to 1 put.

Zoom (ZM) 30-day option implied volatility is at 51; compared to its 52-week range of 47 to 115.
United States Natural Gas (UNG) 30-day option implied volatility is at 75; compared to its 52-week range of 50 to 120. Call put ratio 2.1 calls to 1 put.

Ishares Msci Mexico Capped Etf (EWW) 30-day option implied volatility is at 21; compared to its 52-week range of 19 to 36.

Interest rate stocks option IV as rates near upper end of range

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 41; compared to its 52-week range of 33 to 60.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 20; 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 11; compared to its 52-week range of 8 to 33. Call put ratio 1 call to 75 puts.

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. Call put ratio 1 call to 5.6 puts.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 13; compared to its 52-week range of 9 to 19. Call put ratio 1 call to 23 puts.

Straddle prices into quarter results

Cien (CEIN) March 50 straddle priced for a move of 11% into the expected release of quarter results before the bell on March 6.

Lordstown (RIDE) March weekly 1 straddle priced for a move of 22% into the expected release of quarter results before the bell on March 6.

WW International (WW) March 5 straddle priced for a move of 25% into the expected release of quarter results after the bell on March 6.

CrowdStrike (CRWD) March weekly 124 straddle priced for a move of 12% into the expected release of quarter results before the bell on March 7.

Dick’s Sporting Goods (DKS) March weekly 130 straddle priced for a move of 8.5% into the expected release of quarter results on March 7.

Manchester United (MANU) March weekly 21 straddle priced for a move of 14% into the expected release of quarter results on March 7.

Stitch Fix (SFIX) March weekly 5 straddle priced for a move of 22% into the expected release of quarter results after the bell on March 7.

Campbells Soup (CPB) March weekly 52 straddle priced for a move of 5% into the expected release of quarter results before the bell on March 8.

Asana (ASAN) March weekly 15 straddle priced for a move of 19% into the expected release of quarter results after the bell on March 8.

Oracle (ORCL) March weekly 87 straddle priced for a move of 6% into the expected release of quarter results after the bell on March 9.

JD.com (JD) March weekly 47 straddle priced for a move of 8% into the expected release of quarter results after the bell on March 9.

Options with decreasing option implied volatility: RETA CVNA ALT BYND DDD ZM OKTA CNK RIVN VTNR BILI AEO M CELH SNOW TGT CPNG
Increasing unusual option volume: DM UAN ZTO SHY VSCO RADI VMW
Increasing unusual call option volume: UAN DM SHY RADI CTIC SIX VMW
Increasing unusual put option volume: VSCO VMW STWD ARRY LQD ITUB BBW
Popular stocks increasing options volume: AMD SI CRM SNOW COIN MARA NIO BAC BABA BBBY RIVN
Active options: TSLA AAPL AMC NVDA AMZN SI CRM AMD META GOOGL SNOW COIN MARA MSFT NIO BAC BABA BBBY RIVN NFLX
Global S&P Futures lower in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $78, natural gas up 1%, gold at $1846