Pre-Market IV Report February 6, 2024

Pre-Market IV Report February 6, 2024

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: ABR NYCB HTZ SE ANF CPRI BURL TGT RF KR X IMGN SPLK SYM MDB CARR GPS RPRX IOT HPP NVDA

Stocks expected to have increasing option volume: PLTR LLY SPOT BP AMGN MG SNAP UBER BABA DIS CHKP VRTX SPG

Movement in NVDA and TSLA

NVIDIA (NVDA) 30-day option implied volatility is at 54; compared to its 52-week range of 32 to 68 into expected release of quarter results on February 21.

Tesla (TSLA) 30-day option implied volatility is at 44; compared to its 52-week range of 40 to 74 as share price closes below $182.

Microsoft (MSFT) 30-day option implied volatility is at 20; compared to its 52-week range of 18 to 33 amid Microsoft Gaming planning a business update event for next week.

Coinbase (COIN) 30-day option implied volatility is at 80; compared to its 52-week range of 58 to 130 amid bitcoin trades $43,000.

Straddle prices into release quarter results

Eli Lilly (LLY) February weekly 705 straddle priced for a move of 7.5% into the expected release of quarter results today before the bell.

Chipotle Mexican (CMG) February weekly 2470 straddle priced for a move of 6.5% into the expected release of quarter results today after the bell.

Amgen (AMGN) February weekly 322 straddle priced for a move of 4.5% into the expected release of quarter results today after the bell.

Snap (SNAP) February weekly 17 straddle priced for a move of 20% into the expected release of quarter results today after the bell.

Alibaba (BABA) February weekly 74.50 straddle priced for a move of 7% into the expected release of quarter results before the bell on February 7.

Walt Disney (DIS) February weekly 97 straddle priced for a move of 6% into the expected release of quarter results after the bell on February 7.

Uber (UBER) February weekly 69 straddle priced for a move of 8% into the expected release of quarter results before the bell on February 7.

CVS Health (CVS) February weekly 72.50 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on February 7.

Arm Holdings (ARM) February weekly 73 straddle priced for a move of 9% into the expected release of quarter results after the bell on February 7.

McKesson (MCK) February weekly 507 straddle priced for a move of 4.5% into the expected release of quarter results after the bell on February 7.

PayPal (PYPL) February weekly 61 straddle priced for a move of 8.5% into the expected release of quarter results after the bell on February 7.

Hilton (HLT) February 190 straddle priced for a move of 4% into the expected release of quarter results before the bell on February 7.

Coty (COTY) February weekly 12 straddle priced for a move of 12% into the expected release of quarter results after the bell on February 7.

Mattel (MAT) February 18 straddle priced for a move of 8% into the expected release of quarter results after the bell on February 7.

Options

Air Products (APD) 30-day option implied volatility is at 23; compared to its 52-week range of 15 to 77 after lowering FY24 guidance.

Zscaler (ZS) 30-day option implied volatility is at 55; compared to its 52-week range of 33 to 74.

SPDR Real Estate Select Sector Fund (XLRE) 30-day option implied volatility is at 20; compared to its 52-week range of 14 to 58 with a focus on February 40 and March 39 puts.

Carrier Global (CARR) 30-day option implied volatility is at 38; compared to its 52-week range of 20 to 80 with a focus on February 50, 55 and 60 puts.

Chesapeake Energy (CHK) 30-day option implied volatility is at 30; compared to its 52-week range of 20 to 93. Call put ratio 1 call to 3.4 puts with a focus on March 67.50 puts.

Chegg (CHGG) 30-day option implied volatility is at 90; compared to its 52-week range of 36 to 133 on 20K contracts into quarter results.

Option IV into melanoma PDUFA

Iovance Biotherapeutics (IOVA) 30-day option implied volatility is at 197; compared to its 52-week range of 51 to 201 into lifileucel’s FDA action date on February 24, 2024. Call put ratio 3.5 calls to 1 put.

Options with decreasing option implied volatility: MOR SAVE GOOS ALGN WOLF TEAM EL MTCH JBLU AMD SBUX WHR AMZN CLX ON META UPS EA TEVA
Increasing unusual option volume: CHGG ITUB VLY NYCB CARR ARMK IRWD DWAC ICLN COHR BOWL KOS HOLX
Increasing unusual call option volume: ET ITUB IRWD CHGG CARR DWAC BOWL LXRX MOR GEN ICLN SPHR
Increasing unusual put option volume: VLY CHGG NYCB CARR ICLN NAT COHR APD SATS FXE BMBL IBB
Popular stocks with increasing volume: SOFI AMC RIVN SNAP COIN INTC
Active options: TSLA NVDA AAPL PLTR META AMZN AMD GOOGL MSFT BABA SMCI MARA F GOOG SOFI AMC RIVN SNAP COIN INTC
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $72.80, natural gas mixed, gold at $2040