Pre-Market IV Report March 6, 2023

Pre-Market IV Report March 6, 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 CDNA ESPR FSTX AVXL PCT AVDX TRN JBGS FOCS

Stocks expected to have increasing option volume: SI SBNY MRK GE CIEN

TSLA option IV trends lower. Jerome Powell Senate Testimony Tuesday and Wednesday

Tesla (TSLA) March weekly (10) call option implied volatility is at 58, March is at 59; compared to its 52-week range of 49 to 96. Call put ratio 1.2 calls to 1 put.

XOM, CVX, HAL, SLB, USO option IV at low end of range

Exxon Mobil (XOM) 30-day option implied volatility is at 26; compared to its 52-week range of 26 to 47.

Chevron (CVX) 30-day option implied volatility is at 24; compared to its 52-week range of 24 to 46.

Halliburton (HAL) 30-day option implied volatility is at 37; compared to its 52-week range of 37 to 63.

SLB (SLB) 30-day option implied volatility is at 34; compared to its 52-week range of 34 to 61.

United States Oil Fund (USO) 30-day option implied volatility is at 33; compared to its 52-week range of 33 to 80 as WTI Crude oil trades $79.

United States Natural Gas (UNG) 30-day option implied volatility is at 74; compared to its 52-week range of 50 to 120 as natural gas is down 10%. Call put ratio 2.1 calls to 1 put.

IV into events

Merck (MRK) March weekly call option implied volatility is at 23, March is at 20; compared to its 52-week range of 20 to 29 into company hosted investor meeting today.

General Electric (GE) March weekly call option implied volatility is at 33, March is at 30; compared to its 52-week range of 25 to 252 into company hosted investor meeting on March 9.

Straddle prices into quarter results

Cien (CEIN) March 50 straddle priced for a move of 9.5% into the expected release of quarter results today before the bell.

Lordstown (RIDE) March weekly 1 straddle priced for a move of 23% into the expected release of quarter results before the bell on March 6.

WW International (WW) March 5 straddle priced for a move of 24% into the expected release of quarter results after the bell on March 6.

CrowdStrike (CRWD) March weekly 126 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 132 straddle priced for a move of 9% 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 18% 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 16.5 straddle priced for a move of 18% into the expected release of quarter results after the bell on March 8.

Oracle (ORCL) March weekly 89 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 47.50 straddle priced for a move of 7.5% into the expected release of quarter results after the bell on March 9.

Movers

Silvergate Capital (SI) 30-day option implied volatility is at 315; compared to its 52-week range of 74 to 315. Call put ratio 1 call to 303 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 5 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 call to 1.6 puts.

Futu Holdings (FUTU) 30-day option implied volatility is at 70; compared to its 52-week range 58 to 126 into the expected release of quarter results on March 10.

DoorDash (DASH) 30-day option implied volatility is at 56; compared to its 52-week range 56 to 120.

Options with decreasing option implied volatility: RETA LAZR DDD ZM OKTA VTNR ZS PSTG AEO SPCE
Increasing unusual option volume: INVZ PAGS DM ZTO EWJ AI INDI
Increasing unusual call option volume: INVZ PAGS GNK SSRM AI WES DM BBAI
Increasing unusual put option volume: AI EWJ GOL EWC INVH ARDX TD CC
Popular stocks increasing options volume: SI AI LAZR COIN BABA F NIO RIVN BBBY MARA
Active options: TSLA AAPL META NVDA AMZN AMC AMD GOOGL MSFT SI AI LAZR GOOG COIN BABA F NIO RIVN BBBY MARA
Global S&P Futures mixed in premarket, Nikkei up 1%, DAX mixed, WTI Crude oil recently at $79, natural gas down 10%, gold at $1858