Pre-Market IV Report May 23, 2022

Pre-Market IV Report May 23, 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: CROX BBAI COST DG DLTR RDBX KSS SST DRE ELF

Stocks expected to have increasing option volume: ZM VMW NVDA JPM AXL

JPMorgan (JPM) May weekly call option implied volatility is at 40, June is at 37; compared to its 52-week range of 36 to 82 into a company sponsored investors meeting today. Call put ratio 1 call to 1.2 puts.

NVIDIA (NVDA) May weekly call option implied volatility is at 104, June is at 75; compared to its 52-week range of 36 to 82 into the expected release of quarter results on May 25. Call put ratio 1.4 calls to 1 put.

Advanced Micro Devices, Inc. (AMD) 30-day option implied volatility is at 64; compared to its 52-week range of 29 to 73 into a financial analyst day on June 9.

Broadcom (AVGO) May weekly call option implied volatility is at 44, June is at 45; compared to its 52-week range of 20 to 47 into talks to acquire VMware (VMW), Reuters reports.

VMware (VMW) May weekly call option implied volatility is at 78, June is at 50; compared to its 52-week range of 20 to 49 into Broadcom (AVGO) into talks to acquire VMware, Reuters reports. Call put ratio 1.2 calls to 1 put into the expected release of quarter results on May 26.

American Axle (AXL) May call option implied volatility is at 65, June is at 60; compared to its 52-week range of 44 to 79 into said to be exploring a sale, Bloomberg reports. Call put ratio 1 call to 3.4 puts.

Tesla (TSLA) 30-day option implied volatility is at 80; compared to its 52-week range of 36 to 82. Call put ratio 1 call to 1.1 puts.

Twitter (TWTR) 30-day option implied volatility is at 74; compared to its 52-week range of 21 to 88. Call put ratio 1.1 calls to 1 put.

Straddle prices for stocks expected to report quarterly results

Advanced Auto Parts (AAP) June 195 straddle priced for a move of 12% into the expected release of quarter results today after the bell.

Zoom Video (ZM) May weekly 90 straddle priced for a move of 22% into the expected release of quarter results today after the bell.

Abercrombie (ANF) May weekly 29 straddle priced for a move of 13% into the expected release of quarter results before the bell on May 24. Call put ratio 1 call to 3.2 puts.

AutoZone (AZN) May weekly 65 straddle priced for a move of 4% into the expected release of quarter results before the bell on May 24.

Best Buy (BBY) May weekly 72 straddle priced for a move of 15% into the expected release of quarter results before the bell on May 24.

Canadian Solar (CSIQ) May weekly 29 straddle priced for a move of 13% into the expected release of quarter results before the bell on May 24.

Intuit (INTU) May weekly 367 straddle priced for a move of 12% into the expected release of quarter results after the bell on May 24.

Nordstrom (JWN) May weekly 21 straddle priced for a move of 20% into the expected release of quarter results after the bell on May 24.

Ralph Lauren (RL) June 95 straddle priced for a move of 15% into the expected release of quarter results before the bell on May 24.

Toll Brothers (TOL) May weekly 48 straddle priced for a move of 8% into the expected release of quarter results after the bell on May 24.

Urban Outfitters (URBN) May weekly 20 straddle priced for a move of 14% into the expected release of quarter results after the bell on May 24.

Dicks (DKS) May weekly 78 straddle priced for a move of 13% into the expected release of quarter results before the bell on May 25.

Options with decreasing option implied volatility: COIN WRBY SE DOCS FL PBR
Increasing unusual option volume: VERU EVBG AFL ROST HAS
Increasing unusual call option volume: VERU BLMN AFL ABCL PETS EVEX
Increasing unusual put option volume: PACB ROST AFL EWU WOLF DT
Popular stocks with increasing volume: INTC AAL WMT SOFI
Active options: TSLA AAPL AMD NVDA FB MSFT AMC NIO AMZN F BAC UPST TWTR INTC BAC CHPT AAL WMT SOFI BABA
Global S&P Futures up 0.8% premarket, Nikkei up 1%, DAX up 1%, WTI Crude oil recently at $111, natural mixed, gold at $1854 an ounce