Pre-Market IV Report December 16, 2021

Pre-Market IV Report December 16, 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: FUTU BB SPCE PFE PBR BBIG PTON ROKU SABR VXRT AVPT

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

Option IV after Fed policy statement

Apple (AAPL) 30-day option implied volatility is at 32; compared to its 52-week range of 19 to 49.

Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 30; compared to its 52-week range of 20 to 43.

NVIDIA (NVDA) 30-day option implied volatility is at 53; compared to its 52-week range of 31 to 63. Call put ratio 2 calls to 1 put.

Advanced Micro Devices, Inc. (AMD) 30-day option implied volatility is at 56; compared to its 52-week range of 29 to 65. Call put ratio 2.3 calls to 1 put.

Qualcomm (QCOM) 30-day option implied volatility is at 36; compared to its 52-week range of 22 to 55.

Micron Technology (MU) 30-day option implied volatility is at 46; compared to its 52-week range of 26 to 59. Call put ratio 2.4 calls to 1 put.

Broadcom (AVGO) 30-day option implied volatility is at 29; compared to its 52-week range of 20 to 44.

Alibaba (BABA) 30-day option implied volatility is at 61; compared to its 52-week range of 24 to 83 as shares near low end of range.

JD.com (JD) 30-day option implied volatility is at 51; compared to its 52-week range of 31 to 69.

Straddle prices for stocks expected to report quarterly results

Adobe (ADBE) December 615 straddle priced for a move of +/- 7.5% into the expected release of quarter results today.

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

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

Rivian (RIVN) December 115 straddle priced for a move of +/- 9.5% into the expected release of quarter results today.

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

Winnebago (WGO) December 70 straddle priced for a move of +/- 8% into the expected release of quarter results before the bell on December 17.

Vir Biotechnology Inc. (VIR) December call option implied volatility is at 142, January is at 95; compared to its 52-week range of 75 to 277. Call put ratio 4.5 calls to 1 put.

Options with decreasing option implied volatility: RBLX VIX PTON DOCU BLU FPAC RH
Increasing unusual option volume: AAP TCOM GRTX IHI TIP JD BABA IQ DIDI NIO VIR
Increasing unusual call option volume: AAP TCOM GRTX COOP UNIT VIR
Increasing unusual put option volume: TIP TCOM SKT LPI ARKF NAT
Popular stocks with increasing volume: ROKU LCID CLF T AAL PFE RBLX
Active options: AAPL TSLA PFE NVDA NIO AMD AMC F FB ROKU RBLX MSFT TCOM LCID BABA CLF T C AMZN AAL
Global S&P Futures up 0.4%, Nikkei up 2%, DAX up 1.4%, WTI Crude oil recently at $71.56, natural gas up 2.9%, gold at $1786 an ounce