Pre-Market IV Report January 13, 2025

Pre-Market IV Report January 13, 2025

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: SNAP FUBO ADMA IRBT SYM PINS TMDX NET EL ZI RBLX FTNT SPOT ALGN PCG EXPE MSTY PYPL HSY DD PM F HCA STZ NVO DIS LLY CMG EW ON MCY THRD LEGN MODV

Stocks expected to have increasing option volume: JPM BAC WFC C BLK STX EIX

Bond-interest rate market option IV as rates tick higher

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 30; compared to its 52-week range of 21 to 44. Call put ratio 1.8 calls to 1 put.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 15; compared to its 52-week range of 11 to 21. Call put ratio 1.9 calls to 1 put.

Option IV as Crude near five-month high

United States Oil Fund (USO) 30-day option implied volatility is at 33; compared to its 52-week range of 21 to 51 as WTI crude oil above $78.

Straddle prices into quarter results

JPMorgan (JPM) January 240 straddle priced for movement of 4% into the expected release of quarter results before the bell on January 15.

Citigroup (C) January 71.50 straddle priced for movement of 4.5% into the expected release of quarter results before the bell on January 15.

Charles Schwab (SCHW) January 72.50 straddle priced for movement of 4% into the expected release of quarter results before the bell on January 15.

Movers

Constellation Brands (STZ) 30-day option implied volatility is at 33; compared to its 52-week range of 13 to 33. Call put ratio 1 call to 1.5 puts as share price pulls back.

Mercury General (MCY) 30-day option implied volatility is at 124; compared to its 52-week range of 23 to 124. Call put ratio 1 call to 3.6 puts with focus on February 50 puts.

Samsara Inc (IOT) 30-day option implied volatility is at 46; compared to its 52-week range of 36 to 107. Call put ratio 6.8 calls to 1 put with a focus on January 10 weekly 44 calls, February 45 calls and April 46 calls.

Hims & Hers Health, Inc. (HIMS) 30-day option implied volatility is at 96; compared to its 52-week range of 47 to 137. Call put ratio 1 call to 1 put as share price down 1.6%.

Roku (ROKU) 30-day option implied volatility is at 57; compared to its 52-week range of 37 to 89. Call put ratio 1.2 calls to 1 put as share price down 3.5%.

Thermo Fisher Scientific (TMO) 30-day option implied volatility is at 29; compared to its 52-week range of 16 to 30. Call put ratio 1 call to 5.7 puts with focus on January 537.50 puts.

Petrobras (PBR) 30-day option implied volatility is at 29; compared to its 52-week range of 22 to 60. Call put ratio 2.1 calls to 1 put with focus on January 24 weekly 13.5 calls.

Roivant Sciences (ROIV) 30-day option implied volatility is at 35; compared to its 52-week range of 28 to 92 with a focus on a spreader of 15K contracts of February 10 puts and February 11 calls.

Alcon (ALC) 30-day option implied volatility is at 26; compared to its 52-week range of 16 to 42 with a focus on 2700 contracts of January calls.

Kohl’s (KSS) 30-day option implied volatility is at 49; compared to its 52-week range of 40 to 80. Call put ratio 1 call to 1.4 puts.

SAGE Therapeutics (SAGE) 30-day option implied volatility is at 86; compared to its 52-week range of 50 to 139 into confirms $7.22 per share acquisition proposal from Biogen (BIIB).

Dollar General (DG) 30-day option implied volatility is at 38; compared to its 52-week range of 25 to 70. Call put ratio 1 call to 2.3 puts amid wide price movement.

Options with decreasing option implied volatility: CAPR X U WBA DAL ACI
Increasing unusual option volume: EIX INVZ ROIV PCG CHAU NVT SENS OPFI GRRR HPP
Increasing unusual call option volume: INVZ CHAU PCG SENS IEF OPFI GRRR LBRT CRON
Increasing unusual put option volume: RGTI PCG ALTM NXE FUBO FRAI BAX ALL
Popular stocks with increasing volume: MSTR WBA INTC RGTI SNAP SMCI SOFI AVGO DAL GME
Active options: NVDA TSLA AAPL AMD META PLTR MSTR AMZN WBA GOOGL INTC RGTI SNAP MSFT SMCI FUBO SOFI AVGO DAL GME
Global S&P Futures lower in premarket, Nikkei down 1%, DAX mixed, WTI Crude oil recently at $78.60, natural gas up 4%, gold at $2702