Pre-Market IV Report January 11, 2021

Pre-Market IV Report January 11, 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: DDD LMND PSTH RIOT RIOT ICLN SIRI CLVS PINS BB MGM

Stocks expected to have increasing option volume: BA TWTR FB SNAP TWTR PINS GOOGL BABA LMND TSM INTC NVDA MU C JPM BAC WFC MSFT

Tesla (TSLA) option implied volatility, shares at record high

Tesla (TSLA) January option implied volatility is at 77, February is at 85; compared to its 52-week range of 34 to 153.

Twitter (TWTR) January call option implied volatility is at 42, February is at 60; compared to its 52-week range of 29 to 126 into Twitter permanently cut off Donald Trump’s personal account.

Boeing (BA) 30-day option implied volatility is at 47; compared to its 52-week range of 26 to 221 into Boeing 737-500 plane carrying 62 people crashed into Java Sea.

Option implied volatility into JPMorgan 39th Healthcare Conference 2021

Amgen (AMGN) 30-day option implied volatility is at 29; compared to its 52-week range of 19 to 82

Pfizer (PFE) 30-day option implied volatility is at 30; compared to its 52-week range 17 to 72

Merck (MRK) 30-day option implied volatility is at 24; compared to its 52-week range of 18 to 64

Biogen (BIIB) 30-day option implied volatility is at 50; compared to its 52-week range of 28 to 103

Eli Lilly (LLY) 30-day option implied volatility is at 36; compared to its 52-week range of 19 to 69

Merck (MRK) 30-day option implied volatility is at 24; compared to its 52-week range of 18 to 64

Johnson & Johnson (JNJ) 30-day option implied volatility is at 25; compared to its 52-week range of 15 to 70

AbbVie (ABBV) 30-day option implied volatility is at 27; compared to its 52-week range of 22 to 78

Bristol-Meyers Squibb (BMY) 30-day option implied volatility is at 24; compared to its 52-week range of 20 to 71

Moderna (MRNA) 30-day option implied volatility is at 82; compared to its 52-week range of 54 to 173

Gilead (GILD) 30-day option implied volatility is at 28; compared to its 52-week range of 24 to 109

Option implied volatility into keynote addresses at CES 2021

General Motors (GM) 30-day option implied volatility is at 43; compared to its 52-week range of 21 to 188 into GM Chairman and CEO Mary Barra will present the opening keynote address during CES 2021 on January 12.

Advanced Micro Devices, Inc. (AMD) 30-day option implied volatility is at 58; compared to its 52-week range of 39 to 117 into AMD President and CEO Dr. Lisa Su keynote during CES 2021 on January 12.

Best Buy (BBY) 30-day option implied volatility is at 34; compared to its 52-week range of 23 to 107 into Best Buy, CEO Corie Barry discusses her vision for the future of tech at CES 2021 on January 12.

Walmart (WMT) 30-day option implied volatility is at 22; compared to its 52-week range of 14 to 68 into a Conversation with Walmart’s CEO Doug McMillon at CES 2021 on January 13.

Microsoft (MSFT) 30-day option implied volatility is at 30; compared to its 52-week range of 15 to 90 into MSFT Brad Smith President Keynote at CES 2021 on January 13.

Straddle prices into quarter results this week

Commercial Metals (CMC) January 23 straddle priced for a move of 9.5% into the expected release of quarter results on January 11.

Albertsons (ACI) January 17.50 straddle priced for a move of 10% into the expected release of quarter results before the bell on January 12.
Delta (DAL) January 40 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on January 12.

KB Home (KBH) January 33 straddle priced for a move of 8% into the expected release of quarter results after the bell on January 12

Infosys (INFY) January 19 straddle priced for a move of 7% into the expected release of quarter results before the bell on January 13.

Blackrock (BLK) January 760 straddle priced for a move of 4% into the expected release of quarter results before the bell on January 14.

Schwab (SCHW) January 59 straddle priced for a move of 4.5% into the expected release of quarter results on January 14.

Taiwan Semiconductor (TSM) January 119 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on January 14.

Citigroup (C) January 65 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on January 15.

JPMorgan (JPM) January 136 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on January 15.

PNC Financial Services (PNC) January 157 straddle priced for a move of 5% into the expected release of quarter results before the bell on January 15.

Wells Fargo (WFC) January 33 straddle priced for a move of 5% into the expected release of quarter results before the bell on January 15.

Options with decreasing option implied volatility: DIS FEYE XL QS SRPT TECK CAG WBA BBBY
Increasing option volume: GHIV CNET JNK RESN XNET FOLD TSLA NIO GM NVDA
Increasing unusual call option volume: CNET FOLD OEG RESN CMC SRPT XNET
Increasing unusual put option volume: ACIA JNK DDD NLSN SRPT EWY QS
Popular stocks with increasing volume: PLUG MU X DKNG
Active options: TSLA AAPL NIO BABA PLTR PLUG MU AMZN FB VALE AMD BAC RIOT MSFT BIDU INTC MARA X T DKNG
Global S&P Futures recently mixed to lower, Nikkei up 2.3%, DAX down 0.8%, WTI Crude oil recently at $51.94, natural gas down 3.4%, gold at $1841 an ounce