Pre-Market IV Report January 11, 2022

Pre-Market IV Report January 11, 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.

Stocks expected to have increasing option volume: RIVN INTC ANF ILMN XLV SPY QQQ RUT IWM

Options with increasing option implied volatility: SAVA ABBV ATVI IBM PTON LABU AMD DT PFE SNDL VXRT DWAC DDOG CSPR

Option volume and IV increases on wide price movement. Fed Chair Powell’s prepared testimony today

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 16; compared to its 52-week range of 11 to 31. Call put ratio 1 call to 1.3 puts.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 23; compared to its 52-week range of 14 to 35.

iShares Russell 2000 ETF (IWM) 30-day option implied volatility is at 25; compared to its 52-week range of 18 to 37.

ARK Innovation ETF (ARKK) 30-day option implied volatility is at 54; compared to its 52-week range of 28 to 71.

XLV Health Care (XLV) 30-day option implied volatility is at 16; compared to its 52-week range of 12 to 24.

SPDR S&P Retail ETF (XRT) 30-day option implied volatility is at 33; compared to its 52-week range of 23 to 118. Call put ratio 1 call to 2 puts.

Rivian Automotive (RIVN) 30-day option implied volatility is at 89; compared to its 52-week range of 70 to 176 into WSJ reports COO left in December.

Intel (INTC) 30-day option implied volatility is at 37; compared to its 52-week range of 21 to 45 into naming new CFO. Call put ratio 3 calls to 1 put.

Abercrombie & Fitch (ANF) 30-day option implied volatility is at 56; compared to its 52-week range of 45 to 114 into guidance.

Illumina (ILMN) 30-day option implied volatility is at 48; compared to its 52-week range of 27 to 57 into guidance. Call put ratio 4 calls to 1 put with focus on January 400 calls.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) call put ratio 1 call to 43 puts with focus on March 125 and 129 puts.

Straddle prices for stocks expected to report quarterly results this week

Infosys (INFY) January 25 straddle priced for a move of +/- 6% into the expected release of quarter results on January 12.

KB Home (KBH) January 41 straddle priced for a move of +/- 8% into the expected release of quarter results after the bell on January 12. Call put ratio 4.7 calls to 1 put.

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 2.2 calls to 1 put.

Taiwan Semiconductor (TSM) January weekly 125 straddle priced for a move of +/- 5% into the expected release of quarter results on January 13. Call put ratio 2.3 calls to 1 put.

Options with decreasing option implied volatility: BBBY SEAH CRM ADBE ORCL ZNGA DOCU
Increasing unusual option volume: AVCT AFL CLOU CLVT LQD
Increasing unusual call option volume: AVCT AFL OPFI KBH FSK
Increasing unusual put option volume: AFL SKIN PACB URBN LQD
Popular stocks with increasing volume: SOFI INTC UBER LCID TLRY AMC SNAP ZNGA
Active options: AAPL TSLA NVDA F AMD ZNGA LCID PLTR MSFT TLRY FB AMC AMZN SNAP NIO MRNA SOFI INTC UBER
Global S&P Futures mixed, Nikkei down 0.9%, DAX up 1%, WTI Crude oil recently at $79.40, natural gas down 1%, gold at $1809 an ounce