Pre-Market IV Report December 29, 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: LMND SAVA U TDOC LUV IBM COUP T BKLN PDSB ACRE GUSH OWL HTZ AMPY CPRI XOP LH REM STWD COUP JNK
Stocks expected to have increasing option volume: TSLA AAPL QQQ SPY CALM LUV AAL DAL UAL
Option IV into 2023
PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 28; compared to its 52-week range of 18 to 40. Call put ratio 1 call to 1.8 puts.
SPDR S&P 500 ETF Trust (SPY) volatility is at 22; compared to its 52-week range of 13 to 56. Call put ratio 1 call to 1.4 puts.
ExxonMobil (XOM) 30-day option implied volatility is at 31; compared to its 52-week range of 24 to 47. Call put ratio 1 call to 1.4 puts as WTI Crude oil trades $78.
Chevron (CVX) 30-day option implied volatility is at 31; compared to its 52-week range of 22 to 46 as WTI Crude oil trades $78.
Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 34; compared to its 52-week range of 26 to 49. Call put ratio 1 call to 2.7 puts as WTI Crude oil trades $78.
Large tech movers into 2023
Tesla (TSLA) December weekly call option implied volatility is at 110, January is at 95; compared to its 52-week range of 43 to 96. Call put ratio 1 call to 1.7 puts as shares up in premarket.
Apple (AAPL) December weekly call option implied volatility is at 43, January is at 40; compared to its 52-week range of 23 to 45 as shares near a 52-week low. Call put ratio 1 call to 1.6 puts.
Pharma stocks amid China omicron variant headlines
Moderna (MRNA) 30-day option implied volatility is at 60; compared to its 52-week range of 55 to 98.
Pfizer (PFE) 30-day option implied volatility is at 25; compared to its 52-week range of 22 to 42.
BioNTech SE (BNTX) 30-day option implied volatility is at 56; compared to its 52-week range of 51 to 96.
Novavax (NVAX) 30-day option implied volatility is at 120; compared to its 52-week range of 94 to 162. Call put ratio 2.3 calls to 1 put.
Airliner option IV amid renewed China omicron variant headlines
American Airlines (AAL) 30-day option implied volatility is at 54; compared to its 52-week range of 43 to 86.
Delta Air Lines (DAL) 30-day option implied volatility is at 43; compared to its 52-week range of 34 to 71. Call put ratio 2.3 calls to 1 put.
Southwest Airlines (LUV) 30-day option implied volatility is at 42; compared to its 52-week range of 30 to 58. Call put ratio 1 call to 3.2 puts.
United Airlines (UAL) 30-day option implied volatility is at 49; compared to its 52-week range of 43 to 86.
Acer Therapeutics (ACER) 30-day option implied volatility is at 121; compared to its 52-week range of 20 to 166 into PDUFA date from the regulatory agency of January 15, 2023. Call put ratio 4.5 calls to 1 put.
Match Group (MTCH) 30-day option implied volatility is at 58; compared to its 52-week range of 38 to 77. Call put ratio 1 call to 10.8 puts.
TJX Cos. (TJX) 30-day option implied volatility is at 25; compared to its 52-week range of 22 to 47. Call put ratio 6.6 calls to 1 put as shares near 52-week high.
Options with decreasing option implied volatility: TGTX VERU KMX MPW SPXS NKE FDX
Increasing unusual option volume: RVNC PGY TGTX TTE GOTU
Increasing unusual call option volume: RVNC TTE MDLZ PGY INVZ
Increasing unusual put option volume: GOTU TGTX Z LUV MNTV CME CRSP
Popular stocks increasing volume: AMC F C Z BAC PYPL ABNB DIS NIO
Active options: TSLA AMZN AAPL NVDA BABA AMC AMD GOOGL META NFLX MSFT GOOG F C Z BAC PYPL ABNB DIS NIO
Global S&P Futures mixed in premarket, Nikkei down, DAX mixed, WTI Crude oil recently at $77, natural gas mixed, gold at $1816
