Pre-Market IV Report January 23, 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: YPF PRU GS ATVI TGNA PRU GS PSTX AMPX ATRO CGAL NI IRBT SAVE
Stocks expected to have increasing option volume: CRM GS SPOT TSLA ADBE BKR LOGI ZION MSFT TXN JNJ DHR VZ RTX UNP LMT GE ISRG HAL
IV movement
Tesla (TSLA) January weekly call option implied volatility is at 88, March is at 66; compared to its 52-week range of 49 to 96 into the expected release of quarter results after the bell on January 25.
Salesforce (CRM) 30-day option implied volatility is at 37; compared to its 52-week range of 30 to 62 into activist investor Elliott Management takes big stake in Salesforce, WSJ says.
Goldman Sachs (GS) 30-day option implied volatility is at 44; compared to its 52-week range of 23 to 44. Call put ratio 1 call to 1.3 puts.
Netflix (NFLX) January weekly call option implied volatility is at 41, February is at 43; compared to its 52-week range of 38 to 86.
Activision Blizzard (ATVI) 30-day option implied volatility is at 46; compared to its 52-week range of 10 to 45.
Adobe Systems (ADBE) 30-day option implied volatility is at 33; compared to its 52-week range of 30 to 58 into Bernstein Fireside Chat with Scott Belsky, Chief Product Officer and EVP, Creative Cloud.
Spotify (SPOT) 30-day option implied volatility is at 64; compared to its 52-week range of 48 to 89. Call put ratio 3.2 calls to 1 put.
Straddle prices into quarter results
Microsoft (MSFT) January weekly 240 straddle priced for a move of 5% into the expected release of quarter results after the bell on January 24.
Texas Instruments (TXN) January weekly 172 straddle priced for a move of 5.5% into the expected release of quarter results after the bell on January 24.
Johnson & Johnson (JNJ) January weekly 167 straddle priced for a move of 2.5% into the expected release of quarter results before the bell on January 24.
Danaher (DHR) January weekly 275 straddle priced for a move of 4% into the expected release of quarter results before the bell on January 24.
Verizon (VZ) January weekly 40 straddle priced for a move of 4% into the expected release of quarter results before the bell on January 24.
Raytheon (RTX) January weekly 94 straddle priced for a move of 4% into the expected release of quarter results before the bell on January 24.
Union Pacific (UNP) January weekly 207 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on January 24.
Lockheed Martin (LMT) January weekly 440 straddle priced for a move of 4% into the expected release of quarter results before the bell on January 24.
General Electric (GE) January weekly 77 straddle priced for a move of 6% into the expected release of quarter results before the bell on January 24.
Intuitive Surgical (ISRG) January weekly 255 straddle priced for a move of 5.5% into the expected release of quarter results after the bell on January 24.
Haliburton (HAL) January weekly 40 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on January 24.
F5 (FFIV) July weekly 145 straddle priced for a move of 9% into the expected release of quarter results after the bell on January 24.
3M (MMM) January weekly 120 straddle priced for a move of 4% into the expected release of quarter results before the bell on January 24.
Capital One (COF) January weekly 104 straddle priced for a move of 7% into the expected release of quarter results after the bell on January 24.
Canadian Railroad (CNI) February 120 straddle priced for a move of 5% into the expected release of quarter results after the bell on January 24.
Tesla (TSLA) January weekly 133 straddle priced for a move of 9% into the expected release of quarter results after the bell on January 25.
Boeing (BA) January weekly 205 straddle priced for a move of 5% into the expected release of quarter results before the bell on January 25.
iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 20; compared to its 52-week range of 16 to 30. Call put ratio 1.8 calls to 1 put.
Options with decreasing option implied volatility: CVNA SI TAL NFLX BK BKLN HZNP COUP
Increasing unusual option volume: RVNC RILY VNO UNIT CYH OTIS SHY IRBT IAU XRX
Increasing unusual call option volume: RVNC UNIT XRX VNO CYH MANU IAU CNQ
Increasing unusual put option volume: ICLN VNO FAZE OMF CHGG TFC BLOK PSTG
Popular stocks increasing options volume: AMC BBBY COIN GS NIO DIS F
Active options: TSLA AMZN AAPL AMC NVDA BBBY MSFT AMD META MARA BABA BAC C GOOGL COIN UAL GOOG F CHPT AAL
Global S&P Futures mixed in premarket, Nikkei up 1.5%, DAX mixed, WTI Crude oil recently at $81.50, natural gas up 8%, gold at $1921
