Pre-Market IV Report December 15, 2021

Pre-Market IV Report December 15, 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: AMRS KGC FUTO BB SPCE WISH PBR PTON NVAX ADBE T NKE

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

Option implied volatility into FOMC policy meeting.

SPDR S&P 500 ETF Trust (SPY) December call option implied volatility is at 23, January is at 18; compared to its 52-week range of 11 to 31 into FOMC policy meeting.

Snowflake (SNOW) 30-day option implied volatility is at 105; compared to its 52-week range of 36 to 88. Call put ratio 1 call to 1.2 puts.

Bank option IV

Bank of America (BAC) 30-day option implied volatility is at 28; compared to its 52-week range of 22 to 40
Citigroup (C) 30-day option implied volatility is at 30; compared to its 52-week range of 22 to 43

Goldman Sachs (GS) 30-day option implied volatility is at 30; compared to its 52-week range of 22 to 39

JPMorgan (JPM) 30-day option implied volatility is at 27; compared to its 52-week range of 19 to 38

Morgan Stanley (MS) 30-day option implied volatility is at 30; compared to its 52-week range of 23 to 40

Wells Fargo (WFC) 30-day option implied volatility is at 33; compared to its 52-week range of 26 to 45

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 23; compared to its 52-week range of 16 to 58 into FOMC policy statement. Call put ratio 1.3 calls to 1 put.

The ‘FANG’ stocks option implied volatility

Facebook (FB) 30-day option implied volatility is at 34; compared to its 52-week range of 21 to 51

Apple (AAPL) 30-day option implied volatility is at 34; compared to its 52-week range of 19 to 49

Netflix (NFLX) 30-day option implied volatility is at 32; compared to its 52-week range of 21 to 50

Alphabet (GOOG) 30-day option implied volatility is at 26; compared to its 52-week range of 18 to 43

Amazon (AMZN) 30-day option implied volatility is at 28; compared to its 52-week range of 19 to 47

Microsoft (MSFT) 30-day option implied volatility is at 28; compared to its 52-week range of 16 to 36

NVIDIA (NVDA) 30-day option implied volatility is at 54; compared to its 52-week range of 31 to 63.

Tesla (TSLA) December call option implied volatility is at 60, January is at 61; compared to its 52-week range of 36 to 96. Call put ratio 1 call to 1 put.

AMC Entertainment (AMC) December call option implied volatility is at 188, January is at 165; compared to its 52-week range of 94 to 725. Call put ratio 1.1 calls to 1 put.

GameStop (GME) December call option implied volatility is at 155, January is at 126; compared to its 52-week range of 69 to 553. Call put ratio 1 call to 1 put.

Bed Bath & Beyond (BBBY) December call option implied volatility is at 105, January is at 118; compared to its 52-week range of 57 to 302. Call put ratio 2.3 calls to 1 put.

Robinhood (HOOD) 30-day option implied volatility is at 105; compared to its 52-week range of 51 to 226. Call put ratio 2.3 calls to 1 put.

Straddle prices for stocks expected to report quarterly results

Accenture (ACN) December 370 straddle priced for a move of +/- 4.5% into the expected release of quarter results before the bell on December 16.

Adobe (ADBE) December 615 straddle priced for a move of +/- 7% into the expected release of quarter results on December 16.

FedEx (FDX) December 240 straddle priced for a move of +/- 7% 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 +/- 15% into the expected release of quarter results before the bell on December 16.

Rivian (RIVN) December 118 straddle priced for a move of +/- 10% into the expected release of quarter results before the bell on December 16.

Darden (DRI) December 150 straddle priced for a move of +/- 5% into the expected release of quarter results before the bell on December 17.

Winnebago (WGO) December 70 straddle priced for a move of +/- 8.5% into the expected release of quarter results before the bell on December 17.

Options with decreasing option implied volatility: MRNA RBLX TTD PTON DOCU BLU SFIX
Increasing unusual option volume: CLOU EDR NOVA AIG KHC PCG
Increasing unusual call option volume: EWY NOVA HEAR PRPL
Increasing unusual put option volume: ECH GPRE PCG ARVL RSX
Popular stocks with increasing volume: PLTR LCID BAC WMT PYPL PTON
Active options: AAPL TSLA F NVDA AMC MSFT AMD UBER FB PFE PLTR LCID BAC NIO BABA AMZN INTC WMT PYPL PTON
Global S&P Futures mixed, Nikkei mixed, DAX mixed, WTI Crude oil recently at $70, natural gas up 2%, gold at $1770 an ounce