Pre-Market IV Report January 12, 2021

Pre-Market IV Report January 12, 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 SSYS DDD GHIV CSCO PINS ICLN LMND CLOV DDD RIOT ET FIT TWTR MNST

Stocks expected to have increasing option volume: TWTR LMND ANF NIO TSLA F DAL ACI INFY C JPM WFC

Tesla & NIO option implied volatility amid wide price movement

Tesla (TSLA) January call option implied volatility is at 87, February is at 86; compared to its 52-week range of 53 to 154 after shares pull back. Call put ratio 1.2 calls to 1 put.

NIO Inc. (NIO) January call option implied volatility is at 113, February is at 108; compared to its 52-week range of 81 to 215 as shares rally. Call put ratio 2.9 calls to 1 put with focus on February 60 calls.

General Motors (GM) January call option implied volatility is at 65, February is at 49; 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. Call put ratio 4.2 calls to 1 put into quarter results.

Twitter (TWTR) January call option implied volatility is at 70, February is at 71; compared to its 52-week range of 29 to 126 after Twitter permanently cut off Donald Trump’s personal account.

Walmart (WMT) January call option implied volatility is at 22, February is at 25; compared to its 52-week range of 13 to 68 into announces the creation of a new fintech startup designed to develop and offer modern, innovative and affordable financial solutions.

Lemonade (LMND) 30-day option implied volatility is at 133; compared to its 52-week range of 63 to 122 into Lemonade files to sell 4.5M shares of common stock.

WW (WW) 30-day option implied volatility is at 76; compared to its 52-week range of 56 to 149

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 14; compared to its 52-week range of 10 to 48. Call put ratio 1 call to 2 puts.

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 29; compared to its 52-week range of 20 to 109. Call put ratio 1.8 calls to 1 put.

Star Peak Energy (STPK) January call option implied volatility is at 247, February is at 150; compared to its 52-week range of 134 to 197 amid wide price movement. Call put ratio 7.2 calls to 1 put with focus on January 30, 35 and 40 calls.

Option implied volatility for Health Care Select Sect Fd holdings into JPMorgan Healthcare conference

XLV Health Care (XLV) 30-day option implied volatility is at 19; compared to its 52-week range of 12 to 71

Johnson & Johnson (JNJ) 30-day option implied volatility is at 28; compared to its 52-week range of 15 to 70

Pfizer (PFE) 30-day option implied volatility is at 31; compared to its 52-week range of 17 to 72

United Health Group (UNH) 30-day option implied volatility is at 30; compared to its 52-week range of 19 to 94

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

Abbott (ABT) 30-day option implied volatility is at 31; compared to its 52-week range of 17 to 70

Medtronic (MDT) 30-day option implied volatility is at 25; compared to its 52-week range of 16 to 88

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

Crypto theme stocks

Marathon Patent Group (MARA) 30-day option implied volatility is at 228; compared to its 52-week range of 139 to 475.

Riot Blockchain (RIOT) 30-day option implied volatility is at 210; compared to its 52-week range of 98 to 274.

Microvision (MVIS) 30-day option implied volatility is at 182; compared to its 52-week range of 122 to 463.

Magnite (MGNI) 30-day option implied volatility is at 104; compared to its 52-week range of 52 to 162.

Overstock.com (OSTK) 30-day option implied volatility is at 106; compared to its 52-week range of 75 to 214.

Ideanomics (IDEX) 30-day option implied volatility is at 210; compared to its 52-week range of 108 to 387.

Microstrategy, Inc. (MSTR) 30-day option implied volatility is at 125; compared to its 52-week range of 22 to 126.
Straddle prices into quarter release

Albertsons (ACI) January 17.50 straddle priced for a move of 9% into the expected release of quarter results today before the bell.

KB Home (KBH) January 34 straddle priced for a move of 7.5% into the expected release of quarter results today after the bell

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

Delta (DAL) January 40 straddle priced for a move of 6% into the expected release of quarter results before the bell on January 14.

Blackrock (BLK) January 765 straddle priced for a move of 4% into the expected release of quarter results before the bell on January 14.

Schwab (SCHW) January 60 straddle priced for a move of 4% into the expected release of quarter results on January 14.

Taiwan Semiconductor (TSM) January 122 straddle priced for a move of 4% into the expected release of quarter results before the bell on January 14.

Citigroup (C) January 66.50 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on January 15.

JPMorgan (JPM) January 138 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 160 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: NKLA MRNA FEYE QS SRPT
Increasing option volume: DBX GHIV TRXC SRPT EWJ
Increasing unusual call option volume: GHIV TRXC SPRT EWJ MARK TTM
Increasing unusual call option volume: DD EWJ MARA LMND CLVS
Popular stocks with increasing volume: GM PLTR GM PFE DKNG
Active options: NIO TSLA AAPL TWTR AMD FB NVDA PLTR BABA SNAP PFE MARA F AMZN GM RIOT BAC SNDL DKNG XOM
Global S&P Futures recently mixed, Nikkei mixed, DAX mixed, WTI Crude oil recently at $52.76, natural gas uo 3%, gold at $1861 an ounce