Pre-Market IV Report July 12, 2022

Pre-Market IV Report July 12, 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: BOIL VERU MX SJT PSTH TXMD ATRA UAVS AYTU AXDX REV FFIE

Stocks expected to have increasing option volume: PEP CAG DAL JPM BAC C WFC GPS

Movers, IV into CPI #

Twitter (TWTR) July option implied volatility is at 77, August is at 70; compared to 52-week range of 32 to 90 after Elon Musk terminates Twitter acquisition pact. Call put ratio 1 call to 2.2 puts.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 28; compared to its 52-week range of 16 to 58. Call put ratio 1 call to 2.7 puts.

Meta Platforms (META) 30-day option implied volatility is at 67; compared to its 52-week range of 21 to 79. Call put ratio 1.2 calls to 1 put.

NVIDIA (NVDA) 30-day option implied volatility is at 57; compared to its 52-week range of 31 to 82. Call put ratio 1.3 calls to 1 put.

Intel (INTC) 30-day option implied volatility is at 44; compared to its 52-week range of 21 to 48. Call put ratio 1.2 calls to 1 put as shares sell off 1.9%.

GameStop (GME) 30-day option implied volatility is at 111; compared to its 52-week range of 69 to 156. Call put ratio 2.5 calls to 1 put.

AMC Entertainment (AMC) 30-day option implied volatility is at 126; compared to its 52-week range of 96 to 200. Call put ratio 2.5 calls to 1 put.

Affirm Holdings (AFRM) 30-day option implied volatility is at 123; compared to its 52-week range of 61 to 213.

Upstart Holdings (UPST) 30-day option implied volatility is at 144; compared to its 52-week range of 68 to 165.

NVIDIA (NVDA) 30-day option implied volatility is at 57; compared to its 52-week range of 31 to 82. Call put ratio 1.3 calls to 1 put.

Intel (INTC) 30-day option implied volatility is at 44; compared to its 52-week range of 21 to 48. Call put ratio 1.2 calls to 1 put as shares sell off 1.9%.

Coinbase (COIN) 30-day option implied volatility is at 127; compared to its 52-week range of 45 to 175. Call put ratio 1 call to 2.1 puts.

Silvergate Capital (SI) 30-day option implied volatility is at 116; compared to its 52-week range of 66 to 162. Call put ratio 1 call to 3.2 puts.

General Mills (GIS) 30-day option implied volatility is at 22; compared to its 52-week range of 16 to 60 as shares near record high.

Amgen (AMGN) 30-day option implied volatility is at 25; compared to its 52-week range of 18 to 30. Call put ratio 4.1 calls to 1 put.

Moderna (MRNA) 30-day option implied volatility is at 73; compared to its 52-week range of 58 to 98.

iShares Nasdaq Biotechnology (IBB) 30-day option implied volatility is at 32; compared to its 52-week range of 19 to 39 as shares trend up from low end of range.

PepsiCo (PEP) 30-day option implied volatility is at 24; compared to its 52-week range of 13 to 29 range into quarter results.

Monster Beverage (MNST) 30-day option implied volatility is at 35; compared to its 52-week range of 17 to 46 as shares near upper end of range.

Vertex Pharma (VRTX) 30-day option implied volatility is at 32; compared to its 52-week range of 23 to 51 as shares trend up.

Proshares Ultrashort Dj-ubs Natural Gas (KOLD) 30-day option implied volatility is at 166; compared to its 52-week range of 70 to 219. Call put ratio 3.5 calls to 1 put.

Proshares Ultra Dj-ubs Natural Gas (BOIL) 30-day option implied volatility is at 168; compared to its 52-week range of 70 to 248. Call put ratio 2.4 calls to 1 put.

MagnaChip (MX) 30-day option implied volatility is at 93; compared to its 52-week range of 36 to 112. Call put ratio 5.2 calls to 1 put.

Tritium DCFC Limited (DCFC) 30-day option implied volatility is at 138; compared to its 52-week range of 81 to 287. Call put ratio 1 call to 22 puts.

Upstart Holdings (UPST) 30-day option implied volatility is at 144; compared to its 52-week range of 68 to 166.

Direxion Daily Ftse China Bear 3x Shares (YANG) 30-day option implied volatility is at 106; compared to its 52-week range of 62 to 181. Call put ratio 10.8 calls to 1 put .

Unity Software Inc. (U) 30-day option implied volatility is at 110; compared to its 52-week range of 44 to 128.

Redfin (RDFN) 30-day option implied volatility is at 112; compared to its 52-week range of 48 to 141.

Gap, Inc. (GPS) 30-day option implied volatility is at 62; compared to its 52-week range of 40 to 102. Call put ratio 1 call to 1.8 puts into sees Q2 revenue down ‘high single digit range’ and announcing resignation of CEO.

Straddle prices for stocks expected to report quarterly results

Delta (DAL) July 29 straddle priced for a move of 7% into the expected release of quarter results before the bell on July 13. Call put ratio 2.2 calls to 1 put.

Fastenal (FAST) July 50 straddle priced for a move of 5% into the expected release of quarter results before the bell on July 13. Call put ratio 1 call to 2.2 puts.

Conagra (CAG) July 35 straddle priced for a move of 5% into the expected release of quarter results before the bell on July 14.

JPMorgan Chase (JPM) July 113 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on July 14.

Morgan Stanley (MS) July 76 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on July 14.

Schwab (SCHW) July 63 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on July 14.

Taiwan Semiconductor (TSM) July 79 straddle priced for a move of 6% into the expected release of quarter results before the bell on July 14.

Options with decreasing option implied volatility: RDBX SOS
Increasing unusual option volume: REV GSM EWC ERIC SRG
Increasing unusual call option volume: GSM HUN SRG CLVS HRL ISPO
Increasing unusual put option volume: ERIC FLR EWC SRG VSTO
Popular stocks increasing volume: AMC NIO F LAZR CHPT SOFI RIVN SHOP UPST RBLX
Active options: AAPL TSLA AMZN TWTR META BABA NVDA AMD AMC NIO F LAZR CHPT SOFI MSFT RIVN SHOP UPST BAC RBLX
Global S&P Futures lower in premarket, Nikkei down 1.6%, DAX down 0.7%, WTI Crude oil recently at $101, natural gas down 1%, gold at $1732 an ounce