Pre-Market IV Report January 12, 2022

Pre-Market IV Report January 12, 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: AMD GILD IBM PTON DT PFE DWAC XPDI GWH UA CX

Stocks expected to have increasing option volume: BIIB LLY FXI DAL C JPM WFC BAC

Biogen (BIIB) January weekly IV bid into decision

Biogen (BIIB) January weekly call option implied volatility is at 97, January is at 62; compared to its 52-week range of 32 to 121 into CMS draft coverage decision for Alzheimer antiamyloid mAbs. Call put ratio 2.2 calls to 1 put amid shares trading lower in premarket.

Eli Lilly & Co. (LLY) 30-day option implied volatility is at 33; compared to its 52-week range of 22 to 46 into CMS decision on Biogen (BIIB) Alzheimer’s drug.

iShares China Large-Cap (FXI) 30-day option implied volatility is at 27; compared to its 52-week range of 18 to 37. Call put ratio 2 calls to 1 put with focus on March and June calls.

Straddle prices for stocks expected to report quarterly results this week

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.

Taiwan Semiconductor (TSM) January weekly 129 straddle priced for a move of +/- 5% into the expected release of quarter results on January 13.

Blackrock (BLK) January weekly 890 straddle priced for a move of +/- 3% into the expected release of quarter results before the bell on January 14.

Citigroup (C) January weekly 67 straddle priced for a move of +/- 3% into the expected release of quarter results before the bell on January 14.

JPMorgan (JPM) January weekly 167.50 straddle priced for a move of +/- 3% into the expected release of quarter results before the bell on January 14.

Well Fargo (WFC) January weekly 56 straddle priced for a move of +/- 4% into the expected release of quarter results before the bell on January 14.

Options with decreasing option implied volatility: CRM ORCL ADBE ORCL ZNGA DOCU SNDL BBIG SAVA BBBY BENE KRE RBAC
Increasing unusual option volume: PLTK EGHT AVCT CLOU OPFI
Increasing unusual call option volume: ACN AVCT OPFI MYPS ONON
Increasing unusual put option volume: PACB YNDX NU BARK XPDI
Popular stocks with increasing volume: T BAC INTC XOM ZNGA HOOD TLRY
Active options: AAPL TSLA LCID AMD NVDA F MSFT AMC FB PLTR AMZN NIO BABA BAC INTC XOM ZNGA HOOD TLRY T
Global S&P Futures mixed, Nikkei up 1.9%, DAX up 0.4%, WTI Crude oil recently at $81.74, natural gas up 3%, gold at $1814 an ounce