Pre-Market IV Report February 15, 2022

Pre-Market IV Report February 15, 2022

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: USO SAVA GGPI HTA HYG NVDA ORCL MRVL SNOW SE DKNG

Stocks expected to have increasing option volume: CSCO RSX USO XOM CVX CAR HTZ RIVN ZTS MAR TSEM INTC AAP

Grain, metals and energy prices at upper end of range

Deere & Co. (DE) 30-day option implied volatility is at 38; compared to its 52-week range of 22 to 40 as corn and soybeans near multi-year highs. Call put ratio 1 call to 1.6 puts.

Caterpillar (CAT) 30-day option implied volatility is at 32; compared to its 52-week range of 23 to 36 as grain, metals and energy prices at upper end of range. Call put ratio 1 call to 2.7 puts.

Teucrium Corn Fund (CORN) 30-day option implied volatility is at 28; compared to its 52-week range of 29 to 49 as shares near six-year high. Call put ratio 10 calls to 1 put.

Teucrium Soybean Fund (SOYB) 30-day option implied volatility is at 26; compared to its 52-week range of 17 to 35 as shares near eight-year high.

Freeport-McMoran (FCX) 30-day option implied volatility is at 53; compared to its 52-week range of 41 to 64.

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 38; compared to its 52-week range of 26 to 45 into gold trading above $1860. Call put ratio 8 calls to 1 put.

Intel (INTC) February call option implied volatility is at 59, March is at 35; compared to its 52-week range of 21 to 48 into hosting a conference meeting to discuss business strategy on February 17.

Tower Semiconductor (TSEM) February call option implied volatility is at 122, March is at 60; compared to its 52-week range of 30 to 60 into Intel (INTC) near deal to acquire Tower Semiconductor for almost $6B, WSJ says. TSEM is expected to release quarter results on February 17. Call put ratio 17 calls to 1 put.

Rivian Automotive (RIVN) 30-day option implied volatility is at 121; compared to its 52-week range of 70 to 176.

Straddle prices for stocks expected to report quarterly results

Akamai (AKAM) February 111 straddle priced for a move of +/- 7% into the expected release of quarter results today after the bell.

Airbnb (ABNB) February 170 straddle priced for a move of +/- 10% into the expected release of quarter results today after the bell.

Angie (ANGI) February 7.5 straddle priced for a move of +/- 18% into the expected release of quarter results today after the bell.

Devon (DVN) February 52 straddle priced for a move of +/- 8% into the expected release of quarter results today after the bell.

Roblox (RBLX) February 68 straddle priced for a move of +/- 17.5% into the expected release of quarter results today after the bell.

Wynn Resorts (WYNN) February 92 straddle priced for a move of +/- 8.5% into the expected release of quarter results today after the bell.

ViacomCBS (VIAC) February 35 straddle priced for a move of +/- 8% into the expected release of quarter results today after the bell.

SolarEdge Technologies (SEDG) February 250 straddle priced for a move of +/- 13% into the expected release of quarter results today after the bell.

Options with decreasing option implied volatility: SNAP NFLX ZNGA SNAP ATVI
Increasing unusual option volume: EGHT BKLN PFF FLEX BDSI CNR
Increasing unusual call option volume: BDSI MGI EVTL SB BRCC LQD
Increasing unusual put option volume: BKLN NEWR NLY CZOO TIP CHTR WEBR
Popular stocks with increasing volume: XOM RBLX SOFI AAL MRNA DIS PYPL
Active options: AAPL TSLA AMD FB NVDA AMC F MSFT UBER BAC XOM PLTR CVX AMZN RBLX SOFI AAL MRNA DIS PYPL
Global S&P Futures up 1%, Nikkei down 0.7%, DAX up 1%, WTI Crude oil recently at $92.81, natural gas up 4%, gold at $1860 an ounce