Pre-Market IV Report April 6, 2022

Pre-Market IV Report April 6, 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: HIMC IPOF SST BKLN EEM THCA SST NFLX FB DWAC FSLY TWTR Z JBLU SBUX SAVE

Stocks expected to have increasing option volume: SAVE JBLU ALK ULCC DAL LUV ALGT UAL AAL TWTR C LEVI TLRY

Movers

Spirit Airlines (SAVE) 30-day option implied volatility is at 55; compared to its 52-week range of 43 to 75 into confirms receipt of unsolicited buyout proposal from JetBlue (JBLU). Call put ratio 3.6 calls to 1 put.

JetBlue Airways (JBLU) 30-day option implied volatility is at 56; compared to its 52-week range of 38 to 69 into makes unsolicited buyout proposal for Spirit (SAVE). Call put ratio 1 call to 1.6 puts.

Frontier Group Holdings, Inc. (ULCC) 30-day option implied volatility is at 69; compared to its 52-week range of 39 to 69 into JetBlue (JBLU) makes an unsolicited buyout proposal for Spirit Airlines (SAVE). Call put ratio 16 calls to 1 put.

Alaska Air Group (ALK) 30-day option implied volatility is at 39; compared to its 52-week range of 34 to 59. Call put ratio 2.1 calls to 1 put into JetBlue (JBLU) makes an unsolicited buyout proposal for Spirit Airlines (SAVE).

IV into Fed minutes

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 42; compared to its 52-week range of 24 to 45. Call put ratio 4.5 calls to 1 put.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 21; compared to its 52-week range of 12 to 23.

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 10; compared to its 52-week range of 5 to 15. Call put ratio 1 calls to 348 puts with focus on June 90 and 95 puts.

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 11; compared to its 52-week range of 4 to 15. Call put ratio 1 call to 3.3 puts with focus on April, May and June puts.

Callaway Golf (ELY) April call option implied volatility is at 51, May is at 55; compared to its 52-week range of 37 to 63 after Tiger Woods says he is going to play in the Masters. Call put ratio 17 calls to 1 put with focus on April 23 calls.

Straddle prices for stocks expected to report quarterly results

Levi (LEVI) April 20 straddle priced for a move of +/- 10% into the expected release of quarter results today after the bell. Call put ratio 2.45 calls to 1 put.

Skillsoft (SKIL) April 5 straddle priced for a move of +/- 20% into the expected release of quarter results today after the bell. Call put ratio 1 call to 7.7 puts.

Tilray, Inc. (TLRY) April weekly 7 straddle priced for a move of +/- 18% into the expected release of quarter results today before the bell. Call put ratio 3.3 calls to 1 put.

Constellation Brands (STZ) April weekly 230 straddle priced for a move of +/- 4% into the expected release of quarter results before the bell on April 7.

Conagra (CAG) April weekly 34 straddle priced for a move of +/- 4.5% into the expected release of quarter results before the bell on April 7.

Lamb Weston (LW) April 60 straddle priced for a move of +/- 7% into the expected release of quarter results before the bell on April 7.

Eli Lilly (LLY) April 292 straddle priced for a move of +/- 2% into the expected release of quarter results before the bell on April 8.

Options with decreasing option implied volatility: KWEB PDD BIDU JD HYMC AMC NEGG GME BB RH CHWY FIVE LULU
Increasing unusual option volume: HMHC MAXN MULN INVH TAV CVE ELY
Increasing unusual call option volume: HMHC MULN QSR LILM ATER
Increasing unusual put option volume: INVH ATER TIP VGK UMC
Popular stocks with increasing volume: BA CCL SOFI TLRY PLTR
Active options: TWTR TSLA AAPL NVDA AMD FB AMC CCL F NIO PLTR SOFI BAC TLRY BABA MSFT AMZN LCID MULN BA
Global S&P Futures mixed to lower in premarket, Nikkei down 1.4%, DAX down 1%, WTI Crude oil recently at $103, natural gas up 1%, gold at $1925 an ounce