Pre-Market IV Report December 9, 2021

Pre-Market IV Report December 9, 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 VXRT VOD BKKT GME PATH DBA ORCL PHUN BBIG BB ARDX MTTR LULU

Stocks expected to have increasing option volume: GME CHWY COST RH LULU CIEN HLR ORCL RENT LCID ADM CVS TSN AVGO

Apple (AAPL) 30-day option implied volatility is at 30; compared to its 52-week range of 19 to 49 as shares at new record high. Call put ratio 3 calls to 1 put.

Tesla (TSLA) 30-day option implied volatility is at 69, compared to its 52-week range of 36 to 105 as shares close above $1060.

IV into events

BELLUS Health Inc (BLU) December call option implied volatility is at 520, January is at 230; compared to its 52-week range of 79 to 314 into Phase 2b SOOTHE study of BLU-5937 in refractory chronic cough. Call put ratio 1 call to 1 put.

Reata Pharma’s (RETA) December call option implied volatility is at 270, January is at 150; compared to its 52-range of 51 to 304 after the FDA posted the documents ahead of an advisory committee meeting for (RETA) kidney disease treatment. Call put ratio 1 call to 1 put.

Option prices into quarter results

Chewy (CHWY) December weekly 60 straddle priced for a move of +/- 13% into the expected release of quarter results today. Call put ratio 1 call to 2 puts.

Ciena (CIEN) December 62 straddle priced for a move of +/- 10% into the expected release of quarter results today before the bell. Call put ratio 1 call to 1.5 puts.

Costco (COST) December weekly 530 straddle priced for a move of +/- 4% into the expected release of quarter results today. Call put ratio 1.4 calls to 1 put.

Hormel (HRL) December weekly 43 straddle priced for a move of +/- 4.5% into the expected release of quarter results today. Call put ratio 3.3 calls to 1 put.

lululemon athletica (LULU) December weekly 425 straddle priced for a move of +/- 8% into the expected release of quarter results today after the bell. Call put ratio 1 call to 1.4 puts.

Vail Resorts (MTN) December 340 straddle priced for a move of +/- 7% into the expected release of quarter results today after the bell. Call put ratio 1 call to 4 puts.

Broadcom (AVGO) December weekly call option implied volatility is at 65, December is at 40; compared to its 52-week range of 20 to 44 into the expected release of quarter results today after the bell.

Options with decreasing option implied volatility: UVXY SFIX VXX VIX AI UCO GOGL PB
Increasing unusual option volume: TIP NTEST CNQ DVN ECH SPG XRX
Increasing unusual call option volume: CNQ ECH SPG DVN IP FTAI
Increasing unusual put option volume: TIP ACI PFSI CIEN UMC APPH
Popular stocks with increasing volume: SNAP ROKU DVN DOCU PFE
Active options: AAPL TSLA DVN FB ROKU NVDA AMC SNAP AMD NIO INTC F LCID PYPL BABA PFE DOCU MSFT PLTR BA
Global S&P Futures mixed, Nikkei mixed, DAX mixed, WTI Crude oil recently at $72.36, natural gas mixed, gold at $1784 an ounce