Pre-Market IV Report March 11, 2024

Pre-Market IV Report March 11, 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: BYND NOVA NVDA SPRB DLO IEP PDD NMM TSM HPE LIN MOR AMPY NVDA

Stocks expected to have increasing option volume: ORCL NVDA AMD ARM SMCI

Chip option implied volatility amid wide price movement

NVIDIA (NVDA) March weekly call option implied volatility is at 64, March is at 57; compared to its 52-week range of 32 to 68 into NVIDIA hosting its flagship GTC 2024 conference at the San Jose Convention Center from March 18-21.

Arm Holdings (ARM) 30-day option implied volatility is at 94; compared to its 52-week range of 34 to 170.

Super Micro Computer (SMCI) 30-day option implied volatility is at 105; compared to its 52-week range of 34 to 117.

AMD (AMD) 30-day option implied volatility is at 55; compared to its 52-week range of 34 to 58.

Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 36; compared to its 52-week range of 22 to 36 as share price near record high.

Movement

Microstrategy, Inc. (MSTR) 30-day option implied volatility is at 152; compared to its 52-week range of 55 to 164 as Bitcoin above $71K.

Hess Corp. (HES) 30-day option implied volatility is at 27; compared to its 52-week range of 21 to 50 as WTI crude trades $78 and Chevron (CVX) deal spread.

Snap (SNAP) 30-day option implied volatility is at 57; compared to its 52-week range of 41 to 116. Call put ratio 6.2 calls to 1 put amid Washington D.C. Tik Tok headlines.

Macy’s (M) 30-day option implied volatility is at 48; compared to its 52-week range of 35 to 77. Call put ratio 2.7 calls to 1 put amid M&A headlines.

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 33; compared to its 52-week range of 25 to 40 as gold near upper end of range. Call put ratio 3.4 calls to 1 put as gold above $2184.

Straddle prices into quarter results

Oracle (ORCL) March 113 straddle priced for a move of 9% into the expected release of quarter results today after the bell.

Vail Resorts (MTN) March 220 straddle priced for a move of 6% into the expected release of quarter results today after the bell.

On Holdings (ONON) March 33 straddle priced for a move of 14% into the expected release of quarter results before the bell on March 12.

Kohl’s (KSS) March 27 straddle priced for a move of 14% into the expected release of quarter results before the bell on March 12.

Banks option IV

Valley National Bancorp (VLY) 30-day option implied volatility is at 66; compared to its 52-week range of 31 to 189. Call put ratio 1 call to 5.3 puts.

Western Alliance Bancorporation (WAL) 30-day option implied volatility is at 49; compared to its 52-week range of 36 to 397.

Regions Financial (RF) 30-day option implied volatility is at 31; compared to its 52-week range of 26 to 122.

New York Community Bancorp (NYCB) 30-day option implied volatility is at 91; compared to its 52-week range of 23 to 232.

Columbia Banking System (COLB) 30-day option implied volatility is at 35; compared to its 52-week range of 26 to 94.

Simmons First National Corp (SFNC) 30-day option implied volatility is at 32; compared to its 52-week range of 26 to 85.

Washington Federal (WAFD) 30-day option implied volatility is at 33; compared to its 52-week range of 24 to 72.

Axos Financial (AX) 30-day option implied volatility is at 44; compared to its 52-week range of 32 to 91.

Independent Bank (INDB) 30-day option implied volatility is at 42; compared to its 52-week range of 24 to 58.

Merchants Bancorp (MBIN) 30-day option implied volatility is at 29; compared to its 52-week range of 16 to 44.

ServisFirst Bancshares (SFBS) 30-day option implied volatility is at 41; compared to its 52-week range of 24 to 72.

Dime Community Bancshares (DCOM) 30-day option implied volatility is at 53; compared to its 52-week range of 24 to 83.

M&T Bank Corp. (MTB) 30-day option implied volatility is at 32; compared to its 52-week range of 25 to 90.

Fifth Third Bancorp (FITB) 30-day option implied volatility is at 32; compared to its 52-week range of 24 to 108.

Huntington Bancshares (HBAN) 30-day option implied volatility is at 32; compared to its 52-week range of 22 to 97.

Bank OZK (OZK) 30-day option implied volatility is at 38; compared to its 52-week range of 28 to 105.

Zions Bancorp (ZION) 30-day option implied volatility is at 44; compared to its 52-week range of 31 to 205.

SPDR S&P Regional Banking ETF (KRE) 30-day option implied volatility is at 33; compared to its 52-week range of 24 to 81.

Movers
Geron Corp (GERN) 30-day option implied volatility is at 225; compared to its 52-week range of 56 to 220 into FDA Oncologic Drugs Advisory Committee holds virtual meeting to discuss Geron Corporation’s New Drug Application (NDA) 217779 for Imetelstat for injection for the proposed indication for treatment of transfusion-dependent anemia in adult patients with low- to intermediate-1 risk myelodysplastic syndromes on March 14.

Amplify Energy Corp (AMPY) 30-day option implied volatility is at 84; compared to its 52-week range of 24 to 66 as share price movement. Call put ratio 1 call to 2.7 puts.

Smith & Wesson Brands (SWBI) 30-day option implied volatility is at 35; compared to its 52-week range of 19 to 91. Call put ratio 3.5 calls to 1 put as share price up 28%.

Citizens Financial Group (CFG) 30-day option implied volatility is at 37; compared to its 52-week range of 26 to 125. Call put ratio 8 calls to 1 put with a focus on June 35 and 40 calls.

Ishares Msci Usa Momentum Factor Etf (MTUM) 30-day option implied volatility is at 20; compared to its 52-week range of 11 to 37 with a focus on April 171, 174 and 176 puts.

BioMarin Pharma (BMRN) 30-day option implied volatility is at 28; compared to its 52-week range of 21 to 96 on active April 80 puts.

Syndax Pharmaceuticals (SNDX) 30-day option implied volatility is at 107; compared to its 52-week range of 52 to 229 with a focus on April 17.50 puts, April 22.50 puts and April 30 calls.

Options with decreasing option implied volatility: SOUN GTLB SE IOT FL ANF GPS VSCO JWN
Increasing unusual option volume: AMPY BBAI CMI CRC PAYO COMM ROIV AMLX
Increasing unusual call option volume: CMI BBAI COMM HLT AMLX PRGO AMPY
Increasing unusual put option volume: SOUN ROIV CMI AMLX METC ATMU BMBL AMPY
Popular stocks with increasing volume: TSM PLTR RIVN COIN INTC SMCI MRVL PBR SOFI HOOD
Active options: NVDA TSLA AMD AAPL META TSM PLTR RIVN COIN GOOGL MARA INTC AMZN SMCI MRVL MSFT PBR GOOG SOFI HOOD
Global S&P Futures mixed in premarket, Nikkei down 2%, DAX mixed, WTI Crude oil recently at $78, natural gas mixed, gold at $2185