Pre-Market IV Report December 13, 2021

Pre-Market IV Report December 13, 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: IPOF FUTU BB AMC NVAX XBI NKE XBI INOT

Stocks expected to have increasing option volume: FDX LEN ACN FDX JBL ADBE RIVN DRI SCS CPB REGN

IV into headlines

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 14; compared to its 52-week range of 11 to 31 into FOMC policy meeting.

Apple (AAPL) December call option implied volatility is at 33, January is at 29; compared to its 52-week range of 19 to 49 into holiday shopping. Call put ratio 2 calls to 1 put.

Ford (F) December call option implied volatility is at 48, January is at 47; compared to its 52-week range of 33 to 75 into EV truck headlines. Call put ratio 3.7 calls to 1 put as shares near 20-year high.

Eli Lilly & Co. (LLY) December call option implied volatility is at 34, January is at 30; compared to its 52-week range of 24 to 43 into a company hosted investor meeting on December 15.

Campbell Soup (CPB) December call option implied volatility is at 29, January is at 23; compared to its 52-week range of 18 to 55 into a company hosted investor meeting today.

Blue Apron (APRN) December call option implied volatility is at 127, January is at 91; compared to its 52-week range of 82 to 278 into files to sell 18.92M shares of Class A common stock for holders.

Straddle prices for stocks expected to report quarterly results

Skillsoft (SKIL) December 10 straddle priced for a move of +/- 11% into the expected release of quarter results after the bell on December 14.

Lennar (LEN) December 117 straddle priced for a move of +/- 5% into the expected release of quarter results after the bell on December 15.

Toro (TTC) December 100 straddle priced for a move of +/- 6% into the expected release of quarter results before the bell on December 15.

Trip.com (TCOM) December 26 straddle priced for a move of +/- 8% into the expected release of quarter results after the bell on December 15.

Accenture (ACN) December 380 straddle priced for a move of +/- 4% into the expected release of quarter results before the bell on December 16.

Adobe (ADBE) December 655 straddle priced for a move of +/- 6.5% into the expected release of quarter results on December 16.

FedEx (FDX) December 245 straddle priced for a move of +/- 5% into the expected release of quarter results after the bell on December 16.

Jabil (JBL) December 65 straddle priced for a move of +/- 8% into the expected release of quarter results after the bell on December 16.

Steelcase (SCS) December 12 straddle priced for a move of +/- 11% into the expected release of quarter results before the bell on December 16.

Rivian (RIVN) December 115 straddle priced for a move of +/- 12% into the expected release of quarter results before the bell on December 16.

Options with decreasing option implied volatility: RBLX Z PSFE DOCU
Increasing unusual option volume: NTEST MKC RRR EWT
Increasing unusual call option volume: MKC PLD EFA RRR KC
Increasing unusual put option volume: SNY IVZ MXEF INDI
Popular stocks with increasing volume: LCID MRNA PTON COST SOFI UBER
Active options: AAPL TSLA F NVDA AMC MSFT LCID AMD AMZN FB ORCL MRNA PLTR NIO PTON C COST UBER SOFI BAC
Global S&P Futures mixed, Nikkei mixed, DAX mixed, WTI Crude oil recently at $72.71, natural gas up 1.2%, gold at $1788 an ounce