Pre-Market IV Report January 10, 2022

Pre-Market IV Report January 10, 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: SNDL ATVI IBM SAVA TLRY PTON LABU XBI AMD PFE MCMJ AGNC GWH VXRT CKRT NEGG INO OPK

Stocks expected to have increasing option volume: SPY QQQ RUT IWM TLRY

Option IV for movers

GameStop (GME) 30-day option implied volatility is at 113; compared to its 52-week range of 69 to 553. Call put ratio 2.1 calls to 1 put.

AMC Entertainment (AMC) 30-day option implied volatility is at 127; compared to its 52-week range of 95 to 726.

Option implied volatility for Health Care Select Sect Fd into the annual J.P. Morgan Healthcare Conference

XLV Health Care (XLV) 30-day option implied volatility is at 16; compared to its 52-week range of 12 to 24 into the annual J.P. Morgan Healthcare Conference.

iShares Nasdaq Biotechnology (IBB) 30-day option implied volatility is at 26; compared to its 52-week range of 18 to 33 into the annual J.P. Morgan Healthcare Conference.

Johnson & Johnson (JNJ) 30-day option implied volatility is at 18; compared to its 52-week range of 14 to 31 into the annual J.P. Morgan Healthcare Conference.

Pfizer (PFE) 30-day option implied volatility is at 36; compared to its 52-week range of 17 to 41 into the annual J.P. Morgan Healthcare Conference.

UnitedHealth Group (UNH) 30-day option implied volatility is at 29; compared to its 52-week range of 17 to 33 into the annual J.P. Morgan Healthcare Conference.

CVS Health (CVS) 30-day option implied volatility is at 24; compared to its 52-week range of 19 to 33 into the annual J.P. Morgan Healthcare Conference.

Merck (MRK) 30-day option implied volatility is at 24; compared to its 52-week range of 16 to 35 into the annual J.P. Morgan Healthcare Conference.

Abbott (ABT) 30-day option implied volatility is at 26; compared to its 52-week range of 17 to 37 into the annual J.P. Morgan Healthcare Conference.

Last week ended with 10-year Treasury yields, the single most important benchmark in world finance, at a pandemic-era high.

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 33; compared to its 52-week range of 24 to 47. Call put ratio 5.2 calls to 1 put.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 16; compared to its 52-week range of 12 to 23. Call put ratio 1 call to 1.7 puts.

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 8; compared to its 52-week range of 5 to 12. Call put ratio 1 call to 10 puts.

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 8; compared to its 52-week range of 5 to 12. Call put ratio 1 call to 8 puts.

Straddle prices for stocks expected to report quarterly results this week

Albertson (ACI) January 31 straddle priced for a move of +/- 9% into the expected release of quarter results on January 10. Call put ratio 6 calls to 1 put.

Tilray (TLRY) January weekly 6.5 straddle priced for a move of +/- 17% into the expected release of quarter results today before the bell.

Infosys (INFY) January weekly 24 straddle priced for a move of +/- 6% into the expected release of quarter results on January 12. Call put ratio 8.5 calls to 1 put.

KB Home (KBH) January 40 straddle priced for a move of +/- 7.5% into the expected release of quarter results after the bell on January 12. Call put ratio 1 call to 2 puts.

Delta (DAL) January weekly 41 straddle priced for a move of +/- 5% into the expected release of quarter results before the bell on January 13. Call put ratio 2.3 calls to 1 put.

Taiwan Semiconductor (TSM) January weekly 124 straddle priced for a move of +/- 5% into the expected release of quarter results on January 13. Call put ratio 1.9 calls to 1 put.

Last week ended with 10-year Treasury yields, the single most important benchmark in world finance, at a pandemic-era high.

Options with decreasing option implied volatility: CRM ADBE ORCL DOCU BBBY SEAH RBAC TSN SVFA
Increasing unusual option volume: JD KMI VRAY ESSC DOGZ AJRD
Increasing unusual call option volume: ESSC MRIN TXRH EFX DOGZ
Increasing unusual put option volume: TIP ITB UMC HUM MRIN
Popular stocks with increasing volume: AMC GME VIAC DKNG WFC
Active options: TSLA AAPL LCID F NVDA BAC AMD BABA MSFT AMC T FB GME NIO AMZN VIAC C BA DKNG WFC
Global S&P Futures mixed, Nikkei mixed, DAX mixed, WTI Crude oil recently at $79.20, natural gas up 2%, gold at $1796 an ounce