Pre-Market IV Report August 12, 2022

Pre-Market IV Report August 12, 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: BBBY AMC ASTS GSK PACB BFLY PCT REV DRIO CURV CLNN DAVE GETY GLBS ENDP

Stocks expected to have increasing option volume: RIVN TOST RKLB UP GERN PBR ILMN HLN GSK SNY PFE

Pharma option IV amid headlines of Zantac liability

GSK plc (GSK) 30-day option implied volatility is at 37; compared to its 52-week range of 16 to 42 amid increased litigation concerns around the heartburn drug Zantac, which was recalled by the Food and Drug Administration back in 2019. Call put ratio 2.1 calls to 1 put.

Sanofi (SNY) 30-day option implied volatility is at 40; compared to its 52-week range of 18 to 68 amid increased litigation concerns around the heartburn drug Zantac, which was recalled by the Food and Drug Administration back in 2019. Call put ratio 3.4 calls to 1 put as shares sell off 3.9%.

Shares of Pfizer (PFE) 30-day option implied volatility is at 27; compared to its 52-week range of 23 to 42 amid increased litigation concerns around the heartburn drug Zantac, which was recalled by the Food and Drug Administration back in 2019.

Haleon (HLN) 30-day option implied volatility is at 35; compared to its 52-week range of 21 to 35 amid increased litigation concerns around the heartburn drug Zantac, which was recalled by the Food and Drug Administration back in 2019. Call put ratio 4 calls to 1 put.

IV movers

The New York Times Co. (NYT) August call option implied volatility is at 55, September is at 40; compared to its 52-week range of 25 to 92 after reports ValueAct has a 7% stake. Call put ratio 20 calls to 1 put with focus on August 34 calls as shares rally 6.8%.

Straddle price into quarter results

Li Auto (LI) August 33 straddle priced for a move of 8.5% into the expected release of quarter results before the bell on August 15.

Weber (WEBR) August 7.5 straddle priced for a move of 21% into the expected release of quarter results before the bell on August 15.

Walmart (WMT) August 130 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on August 16.

Home Depot (HD) August 310 straddle priced for a move of 5% into the expected release of quarter results before the bell on August 16.

Target (TGT) August 170 straddle priced for a move of 9% into the expected release of quarter results before the bell on August 17.

Lowe’s (LOW) August 202.50 straddle priced for a move of 6% into the expected release of quarter results before the bell on August 17.

Krispy Kreme (DNUT) August 15 straddle priced for a move of 8% into the expected release of quarter results before the bell on August 17.

TJX (TJX) August 65 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on August 17.

Analog Devices (ADI) August 175 straddle priced for a move of 5% into the expected release of quarter results before the bell on August 17.

Kohl’s (KSS) August 32.50 straddle priced for a move of 13% into the expected release of quarter results before the bell on August 18.

Estee Lauder (EL) August 270 straddle priced for a move of 5% into the expected release of quarter results before the bell on August 18.

Options with decreasing option implied volatility: ACAD OPEN UPST CVNA LYFT GRPN BYND BHC
Increasing unusual option volume: SOND NVTA LFLY MBB VLDR DTC CANO
Increasing unusual call option volume: SOND CANO PBR ISEE GOOS DTC NVTA
Increasing unusual put option volume: NVTA CLAR AMRS ME ENVX SONO
Popular stocks increasing volume: SNAP BABA NIO MSFT RBLX SHOP BBBY COIN
Active options: TSLA PBR AAPL AMZN NVDA AMC DIS AMD META F BAC GOOGL SNAP BABA NIO MSFT RBLX SHOP BBBY COIN
Global S&P Futures mixed in premarket, Nikkei up 2.6%, DAX mixed, WTI Crude oil recently at $94, natural gas mixed, gold at $1807 an ounce