Pre-Market IV Report December 10, 2021

Pre-Market IV Report December 10, 2021

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: CHWY COST ORCL BB LULU BBIG HOOD MTTR

Stocks expected to have increasing option volume: AVGO CHWY COST LULU ORCL FIZZ MTN AMC

IV into economic data and FOMC meeting

Apple (AAPL) 30-day option implied volatility is at 31; compared to its 52-week range of 19 to 49 as shares at new record high. Call put ratio 1.8 calls to 1 put.

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 17; compared to its 52-week range of 11 to 31 into economic data and FOMC policy meeting.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 23; compared to its 52-week range of 14 to 35. Call put ratio 1 call to 1.9 puts.

Russell 2000 ETF (RUT) 30-day option implied volatility is at 27; compared to its 52-week range of 18 to 37. Call put ratio 1 call to 2.9 puts with focus on December 2040 and 2090 puts.

ARK Innovation ETF (ARKK) 30-day option implied volatility is at 49; compared to its 52-week range of 28 to 71. Call put ratio 1 call to 3 puts.

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 32; compared to its 52-week range of 24 to 47. Call put ratio 3.6 calls to 1 put with focus on December 17 calls.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 16; compared to its 52-week range of 12 to 23. Call put ratio 1 call to 1.4 puts.

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 9; compared to its 52-week range of 5 to 12 into economic data and FOMC policy meeting. Call put ratio 1 call to 2.4 puts.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 9; compared to its 52-week range of 6 to 13. Call put ratio 1 call to 178 puts.

Tesla (TSLA) 30-day option implied volatility is at 67; compared to its 52-week range of 35 to 101 as shares trade lower in premarket.

AMC Entertainment (AMC) 30-day option implied volatility is at 135; compared to its 52-week range of 94 to 725 into CEO Aron sells 312,500 class A common shares.

GameStop (GME) 30-day option implied volatility is at 101; compared to its 52-week range of 69 to 553.

Straddle prices for stocks expected to report quarterly results

Skillsoft (SKIL) December 10 straddle priced for a move of +/- 13% into the expected release of quarter results after the bell on December 14.

Lennar (LEN) December 115 straddle priced for a move of +/- 6% into the expected release of quarter results after the bell on December 15.

Options with decreasing option implied volatility: DOCU MRNA Z PSFE
Increasing unusual option volume: CURV CRUS NTEST BSIG HRTX HTA RETA ARDX
Increasing unusual call option volume: HRTX HTA BSIG NCR ARDX ECH BHG CRUS LH DOCU
Increasing unusual put option volume: BHC CIEN KGC LQD RSX ARKF CHWY LAZR SFIX
Popular stocks with increasing volume: CHWY ROKU GME DOCU SNAP LCID
Active options: AAPL TSLA LCID NVDA AMD FB AMC ROKU F DOCU NIO AMZN MSFT TWTR PLTR SNAP PFE BAC INTC BABA
Global S&P Futures mixed, Nikkei down 1%, DAX mixed, WTI Crude oil recently at $71.43, natural gas up 1%, gold at $1771 an ounce