Pre-Market IV Report March 21, 2024

Pre-Market IV Report March 21, 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: HE DWAC NFLX PARA ANVS INFN ITCI PARAA MODG MGNI CMG TALO AGTI WM

Stocks expected to have increasing option volume: AAPL NKE MU CHWY FIVE KBH PARA SCS GES

Apple (AAPL) 30-day option implied volatility is at 19; compared to its 52-week range of 16 to 31 into DOJ to file a Apple antitrust case as soon as Thursday – Bloomberg.

Micron (MU) March weekly call option implied volatility is at 171, April is at 56; compared to its 52-week range of 27 to 59 into the expected release of quarter results today after the bell. Call put ratio 2.1 calls to 1 put.

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 31; compared to its 52-week range of 25 to 40. Call put ratio 3.2 calls to 1 put as gold at $2200.

Straddle prices into quarter results

Nike (NKE) March weekly 100 straddle priced for a move of 7% into the expected release of quarter results today after the bell.

FedEx (FDX) March weekly 260 straddle priced for a move of 6% into the expected release of quarter results today after the bell.

Lululemon (LULU) March weekly 470 straddle priced for a move of 9% into the expected release of quarter results today after the bell.

Darden (DRI) April 175 straddle priced for a move of 6% into the expected release of quarter results today.
Academy Sports (ASO) March weekly 71 straddle priced for a move of 8.5% into the expected release of quarter results today before the bell.

Winnebago (WGO) March weekly 65 straddle priced for a move of 9.5% into the expected release of quarter results before the bell on March 21.

Accenture (ACN) March weekly 380 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on March 21.

Movers

Paramount Global (PARA) 30-day option implied volatility is at 60; compared to its 52-week range of 40 to 86. Call put ratio 4.9 calls to 1 put on active volume of 104K contracts amid M&A headlines.

Bally’s Corporation (BALY) 30-day option implied volatility is at 49; compared to its 52-week range of 39 to 108. Call put ratio 1 call to 7.8 puts with a focus on April 12.50 puts as share price up.

Mobileye (MBLY) 30-day option implied volatility is at 49; compared to its 52-week range of 33 to 98. Call put ratio 8.4 calls to 1 put with focus on April 36 calls as share price up.

Walker & Dunlop (WD) 30-day option implied volatility is at 34; compared to its 52-week range of 28 to 48. Call put ratio 1 call to 48 puts with a focus on May 85 puts as share price up.

Annovis Bio Inc. (ANVS) 30-day option implied volatility is at 221; compared to its 52-week range of 21 to 333 into topline efficacy data for phase II/III study of buntanetap in patients with mild to moderate Alzheimer’s disease is expected in April.

Options with decreasing option implied volatility: BYND GRPN S PATH PCT PDD JBL DG DKS STNE FOUR FUTU ULTA OSCR VLY ADBE NVDA BEKE
Increasing unusual option volume: FUSN ALIT QSR SMR ERJ NVEI XLI SOUN AVDX
Increasing unusual call option volume: QSR ALIT SMR XLI HUYA AVDX ASPN PCG MMYT SOUN
Increasing unusual put option volume: SOUN QSR GES GOEV SG CMI XLI AKBA OVV
Popular stocks with increasing volume: INTC MU BA PBR COIN BAC PLTR SMCI C
Active options: TSLA NVDA AMD PDD AAPL MARA INTC MU BA META AMZN PBR COIN BAC MSFT PLTR SMCI GOOGL C
Global S&P Futures mixed in premarket, Nikkei up 2%, DAX mixed, WTI Crude oil recently at $81.50, natural gas mixed, gold at $2200