Pre-Market IV Report January 11, 2024

Pre-Market IV Report January 11, 2024

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Pre-Market IV Report January 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: IRBT RBLX FTNT PINS SPOT NET UAA COTY EXPE CMG EL TSN KURA CYTK

Stocks expected to have increasing option volume: JPM C BAC WFC BLK BK DAL

Straddle prices into release quarter results and CPI

UnitedHealth Group (UNH) January weekly 537 straddle priced for a move of 3% into the expected release of quarter results before the bell on January 12.

J P Morgan (JPM) January weekly 171 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on January 12.

Bank of America (BAC) January weekly 33.50 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on January 12.

Wells Fargo (WFC) January weekly 49 straddle priced for a move of 4% into the expected release of quarter results before the bell on January 12.

BlackRock (BLK) January weekly 792.5 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on January 12.

Citigroup (C) January weekly 53 straddle priced for a move of 5% into the expected release of quarter results before the bell on January 12.

The Bank of New York (BK) January 52.50 straddle priced for a move of 5% into the expected release of quarter results before the bell on January 12.

Delta (DAL) January weekly 42.50 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on January 12.

Movers

Home Depot (HD) 30-day option implied volatility is at 16; compared to its 52-week range of 15 to 33 as share price up 2.5%.

Intuitive Surgical (ISRG) 30-day option implied volatility is at 36; compared to its 52-week range of 21 to 47. Call put ratio 2 calls to 1 put as share price near all time high.

PagerDuty, Inc. (PD) 30-day option implied volatility is at 57; compared to its 52-week range of 33 to 106. Call put ratio 8.2 calls to 1 put with focus on January calls as share price up.

Aehr Test Systems (AEHR) 30-day option implied volatility is at 7;3 compared to its 52-week range of 68 to 145 on volume of 16K.

Goldman Sachs (GS) 30-day option implied volatility is at 24; compared to its 52-week range of 17 to 44.

EchoStar Corp. (SATS) 30-day option implied volatility is at 78; compared to its 52-week range of 29 to 80. Call put ratio 3 calls to 1 put as share price up.

IQVIA Holdings (IQV) 30-day option implied volatility is at 27; compared to its 52-week range of 19 to 85. Call put ratio 1 call to 23 puts with focus on February 195 puts.

Mobileye (MBLY) 30-day option implied volatility is at 47; compared to its 52-week range of 33 to 106.

SPDR S&P Regional Banking ETF (KRE) 30-day option implied volatility is at 30; compared to its 52-week range of 21 to 81. Call put ratio 1 call to 2.5 puts into bank earnings season.

Options with decreasing option implied volatility: APLS AEHR MANU WBA LW ACI CPE STZ CAG LULU
Increasing unusual option volume: IRBT FTI SATS JNPR PD
Increasing unusual call option volume: IRBT JNPR FTI PD EWJ CXW
Increasing unusual put option volume: ICLN MBLY IRBT ZTO COR PLL
Popular stocks with increasing volume: AMC PLTR COIN BA BABA BAC C NIO PFE XOM RIOT
Active options: NVDA TSLA MSFT META AMZN AMD AAPL MARA AMC PLTR GOOGL COIN BA BABA BAC C NIO PFE XOM RIOT

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