Pre-Market IV Report January 11, 2023
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: BIOR RCUS NEON SHC ITOS RYAM OSH VERU BKLN MIR OHI PRVB
Stocks expected to have increasing option volume: DAL UNH JPM C WFC BAC
TSLA and AAPL moving
Tesla (TSLA) January weekly (13) call option implied volatility is at 86, January is at 73; compared to its 52-week range of 43 to 96.
Apple (AAPL) January weekly (13) call option implied volatility is at 44, January is at 34; compared to its 52-week range of 23 to 45.
ARKK option IV into CPI on Thursday
ARK Innovation ETF (ARKK) 30-day option implied volatility is at 54; compared to its 52-week range of 48 to 91. Call put ratio 2.1 calls to 1 put.
Tuttle Capital Short Innovation ETF (SARK) 30-day option implied volatility is at 54; compared to its 52-week range of 48 to 96. Call put ratio 1.5 calls to 1 put.
Straddle prices into quarter results
Taiwan Semiconductor (TSM) January weekly 81 straddle priced for a move of 6% into the expected release of quarter results on January 12.
JPMorgan (JPM) January weekly 139 straddle priced for a move of 3.5% into the expected release of quarter results on before the bell on January 13.
Bank of America (BAC) January weekly 34 straddle priced for a move of 4% into the expected release of quarter results on before the bell on January 13.
Wells Fargo (WFC) January weekly 42.5 straddle priced for a move of 4.5% into the expected release of quarter results on before the bell on January 13.
Citigroup (C) January weekly 48 straddle priced for a move of 4.5% into the expected release of quarter results on before the bell on January 13.
BlackRock (BLK) January weekly 755 straddle priced for a move of 4.5% into the expected release of quarter results on before the bell on January 13.
The Bank of New York (BK) January weekly 48 straddle priced for a move of 4.5% into the expected release of quarter results on before the bell on January 13. Call put ratio 1 call to 2 puts.
Delta Airlines (DAL) January weekly 38 straddle priced for a move of 5% into the expected release of quarter results on before the bell on January 13. Call put ratio 2 calls to 1 put.
Movers
Bed Bath & Beyond (BBBY) 30-day option implied volatility is at 355; compared to its 52-week range of 81 to 355.
Veru, Inc. (VERU) 30-day option implied volatility is at 124; compared to its 52-week range of 77 to 332. Call put ratio 12.5 calls to 1 put.
Acer Therapeutics (ACER) 30-day option implied volatility is at 125; compared to its 52-week range of 20 to 166 into PDUFA date from the regulatory agency of January 15, 2023. Call put ratio 4.2 calls to 1 put.
Franchise Group (FRG) 30-day option implied volatility is at 50; compared to its 52-week range of 39 to 101 is considering going private in a management buyout, according to a report from the Wall Street Journal. Call put ratio 6.4 calls to 1 put.
Conn’s (CONN) 30-day option implied volatility is at 69; compared to its 52-week range of 58 to 117. Call put ratio 14.7 calls to 1 put after WSJ report of acquisition interest.
World Wrestling Entertainment (WWE) January call option implied volatility is at 40, February is at 44; compared to its 52-week range of 27 to 78. Call put ratio 1 call to 1.4 puts amid Vince McMahon, the majority owner and former chief executive of World Wrestling Entertainment Inc., who retired last year amid a misconduct probe, has returned to the company and is pursuing a possible sale of the business.
Valero Energy (VLO) 30-day option implied volatility is at 43; compared to its 52-week range of 35 to 61.
Agra option IV into spring planting
Teucrium Wheat Fund (WEAT) 30-day option implied volatility is at 30; compared to its 52-week range of 25 to 183. Call put ratio 12 calls to 1 put.
Teucrium Corn Fund (CORN) 30-day option implied volatility is at 18; compared to its 52-week range of 15 to 86. Call put ratio 1 call to 1. 6 puts.
Teucrium Soybean Fund (SOYB) 30-day option implied volatility is at 18; compared to its 52-week range of 16 to 71. Call put ratio 1 call to 3 puts.
Options with decreasing option implied volatility: IQ AEHR PSNY BIIB WBA CAG STZ
Increasing unusual option volume: EWC ORCC OSH FSK WWE PMT IMGN OHI
Increasing unusual call option volume: OSH AMRN WWE GOOS IMGN ICLN ALT DQ
Increasing unusual put option volume: EWC ORCC OSH OHI MLCO CL BKLN ERIC AEO
Popular stocks increasing options volume: BBBY AAL COIN F SOFI LCID NIO FCX VALE
Active options: TSLA AAPL AMZN BABA BBBY META NVDA NFLX AAL COIN MSFT AMD MARA F SOFI GOOGL LCID NIO FCX VALE
Global S&P Futures mixed in premarket, Nikkei up 1%, DAX mixed, WTI Crude oil recently at $75.50, natural gas mixed, gold at $1888
