Pre-Market IV Report January 4, 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: AUPH SNAP FUTU U BILL META ALGN PINS GPRO FIS UPS LUV CLX TMUS GLW EA CAH IBM CI FSTX AUPH RETA NKTX ORMP SJT SNAP NARI
Stocks expected to have increasing option volume: TSLA AAPL WBA BHP STZ CAG
Natural Gas Option IV Movers
United States Natural Gas (UNG) 30-day option implied volatility is at 88; compared to its 52-week range of 35 to 120. Call put ratio 3.3 calls to 1 put as natural gas nine-month lows.
Exxon Mobil (XOM) 30-day option implied volatility is at 33; compared to its 52-week range of 25 to 47
Chevron (CVX) 30-day option implied volatility is at 33; compared to its 52-week range of 23 to 46.
Halliburton (HAL) 30-day option implied volatility is at 51; compared to its 52-week range of 40 to 63. Call put ratio 1.8 calls to 1 put as natural gas nine-month lows.
SLB (SLB) 30-day option implied volatility is at 47; compared to its 52-week range of 37 to 61. Call put ratio 1.6 calls to 1 put as natural gas nine-month lows.
Chesapeake Energy (CHK) 30-day option implied volatility is at 45; compared to its 52-week range of 33 to 112. Call put ratio 7.7 calls to 1 put.
Diamondback Energy (FANG) 30-day option implied volatility is at 41; compared to its 52-week range of 36 to 92. Call put ratio 1 call to 12.7 puts.
Devon Energy (DVN) 30-day option implied volatility is at 48; compared to its 52-week range of 41 to 70.
Range Resources (RRC) 30-day option implied volatility is at 57; compared to its 52-week range of 48 to 81. Call put ratio 3.2 calls to 1 put.
Southwestern Energy (SWN) 30-day option implied volatility is at 58; compared to its 52-week range of 51 to 89. Call put ratio 1 call to 6.3 puts.
Cheniere Energy (LNG) 30-day option implied volatility is at 43; compared to its 52-week range of 30 to 87.
Tellurian (TELL) 30-day option implied volatility is at 31; compared to its 52-week range of 20 to 84. Call put ratio 8.1 calls to 1 put.
General Electric (GE) 30-day option implied volatility is at 39; compared to its 52-week range of 29 to 49 into break up of three companies.
Turkey option as shares trend higher
Turkcell Iletisim Hizmetleri A.S. (TKC) 30-day option implied volatility is at 35; compared to its 52-week range of 25 to 52. Call put ratio 60 calls to 1 put.
iShares MSCI Turkey ETF (TUR) 30-day option implied volatility is at 36; compared to its 52-week range of 29 to 80. Call put ratio 1 call to 2 puts.
Large tech stocks option IV into 2023
Tesla (TSLA) 30-day option implied volatility is at 87; compared to its 52-week range of 49 to 96.
Apple (AAPL) 30-day option implied volatility is at 43; compared to its 52-week range of 23 to 45.
Brazil option IV as stocks trend lower
iShares MSCI Brazil (EWZ) 30-day option implied volatility is at 41; compared to its 52-week range of 29 to 57. Call put ratio 1 call to 1.2 puts.
Petrobras (PBR) 30-day option implied volatility is at 58; compared to its 52-week range of 37 to 103.
Straddle price into quarter results.
Constellation (STZ) January weekly 227 straddle priced for a move of 4% into the expected release of quarter results before the bell on January 5.
Walgreens Boots Alliance (WBA) January weekly 37 straddle priced for a move of 5% into the expected release of quarter results before the bell on January 5.
ConAgra (CAG) January weekly 39 straddle priced for a move of 5% into the expected release of quarter results before the bell on January 5. Call put ratio 5.1 calls to 1 put.
Bed Bath & Beyond (BBBY) January weekly 2.5 straddle priced for a move of 19% into the expected release of quarter results on January 5.
Movers
Melco Resorts & Entertainment (MLCO) 30-day option implied volatility is at 77; compared to its 52-week range of 57 to 136. Call put ratio 1.3 calls to 1 put on active February 113 calls.
Acer Therapeutics (ACER) 30-day option implied volatility is at 128; compared to its 52-week range of 20 to 166 into PDUFA date from the regulatory agency of January 15, 2023. Call put ratio 14 calls to 1 put.
Options with decreasing option implied volatility: TGTX PRVB VERU
Increasing unusual option volume: GRAB TWO SJR MAXR SMMT BKLN MLCO
Increasing unusual call option volume: GRAB TWO MAXR CPB NVCR SMMT GPRE BE
Increasing unusual put option volume: MLCO MU SJR SWN NFE AMRS RITM BKLN
Popular stocks increasing options volume: PYPL NIO CSCO T GME RIVN MLCO
Active options: TSLA AAPL AMZN META NVDA AMD AMC MSFT BABA BAC NFLX NIO CSCO GOOGL T GME RIVN MLCO GOOG PYPL
Global S&P Futures mixed in premarket, Nikkei down 1%, DAX up 1%, WTI Crude oil recently at $75, natural gas mixed, gold at $1866
