Pre-Market IV Report May 16, 2023

Pre-Market IV Report May 16, 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: BABA UPST MAXN NVCR NETI VTNR PETS IOT ORCL ISEE HD TGT WMT

Stocks expected to have increasing option volume: HD BABA WMT TGT TJX FL COH

Tesla (TSLA) May call option implied volatility is at 54, June is at 49; compared to its 52-week range of 45 to 96 into annual shareholder meeting today.

Capital One (COF) 30-day option implied volatility is at 35; compared to its 52-week range of 30 to 54 into Berkshire Hathaway (BRK.B) SEC filing disclosed a stake in Capital One.

Wells Fargo (WFC) 30-day option implied volatility is at 30; compared to its 52-week range of 22 to 51 into headlines to pay $1B to settle shareholder class action.

Straddle prices into quarter results

Home Depot (HD) May 290 straddle is priced for a move of 5.5% into the expected release of quarter results today before the bell.

iQIYI (IQ) May 6 straddle is priced for a move of 13% into the expected release of quarter results.

Target (TGT) May 160 straddle is priced for a move of 7.5% into the expected release of quarter results before the bell on May 17.

Alibaba (BABA) May 88 straddle is priced for a move of 7% into the expected release of quarter results after the bell on May 17.

Cisco Systems (CSCO) May 47 straddle is priced for a move of 5.5% into the expected release of quarter results after the bell on May 17.

TJX Cos. (TJX) May 79 straddle is priced for a move of 5.5% into the expected release of quarter results on May 17.

Ross Stores (ROST) May 105 straddle is priced for a move of 6% into the expected release of quarter results on May 18.

Walmart (WMT) May 150 straddle is priced for a move of 4% into the expected release of quarter results before the bell on May 18.

Interest rate – bond option IV low

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 34; compared to its 52-week range of 32 to 60.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 17; 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 8; compared to its 52-week range of 7 to 21.

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 8; compared to its 52-week range of 8 to 23.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 10; compared to its 52-week range of 9 to 19.

Movers

Activision Blizzard (ATVI) 30-day option implied volatility is at 24; compared to its 52-week range of 15 to 46 after European Union regulators approved Microsoft’s (MSFT) $69B acquisition. Call put ratio 3.1 calls to 1 put.

Sarepta Therapeutics (SRPT) 30-day option implied volatility is at 71; compared to its 52-week range of 39 to 143 into PDUFA on May 29.

ONEOK (OKE) 30-day option implied volatility is at 27; compared to its 52-week range of 21 to 81 after acquiring Magellan Midstream (MMP) in transaction valued at $18.8B. Call put ratio 1.6 calls to 1 put.

Magellan Midstream Partners (MMP) 30-day option implied volatility is at 15; compared to its 52-week range of 14 to 71. Call put ratio 2.3 calls to 1 put.

Options with decreasing option implied volatility: RNG AFRM SRPT WAL VLY MCB ZION NVAX U TWLO TTD
Increasing unusual option volume: BUR ZIP REAL PAGP ATUS NNOS MMP OKE SHAK BOH ED TGI KODK
Increasing unusual call option volume: OKE CSIQ REAL PAGP ED NNOX GT ACI SAVE AYX DBX
Increasing unusual put option volume: IQ TUR FIGS AYX ACI TRUP MAXN OKE SAVE ICLN IEP MNDY
Popular stocks increasing volume: DIS UPST SOFI PLTR AI PYPL SCHW BAC PACW
Active options: TSLA AMZN META AMD NVDA AAPL GOOGL SOFI MSFT GOOG UPST AMC PLTR AI PYPL SCHW BAC PACW DIS
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $71, natural gas mixed, gold at $2013