Pre-Market IV Report January 27, 2022

Pre-Market IV Report January 27, 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: XELA UVXY ARVL SNDL VXX IYR SHOP LABU NEGG OPEN MTTR TSLA AAPL MCD

Stocks expected to have increasing option volume: TSLA NOW INTC LRCX XLNX LVS STX ZYME EPZM LC MCD BX MO HCA LUV MKC ALK JBLU LEVI LVS TWNK NFLX GPS LVS

Netflix (NFLX) 30-day option implied volatility is at 49; compared to its 52-week range of into 21 to 50 into Pershing Square acquires over 3.1M Netflix shares.

Option IV into stocks near 52-week lows

Boston Beer Co. (SAM) 30-day option implied volatility is at 61; compared to its 52-week range of 33 to 66 as shares trade near a 52-week low.

Illumina (ILMN) 30-day option implied volatility is at 55; compared to its 52-week range of 27 to 57 as shares trade near a 52-week low.

Spotify (SPOT) 30-day option implied volatility is at 75; compared to its 52-week range of 34 to 75 as shares trade near a 52-week low.

Charter Communications (CHTR) 30-day option implied volatility is at 41; compared to its 52-week range of 19 to 40 as shares trade near a 52-week low.

DoorDash (DASH) 30-day option implied volatility is at 91; compared to its 52-week range of 44 to 118 as shares trade near a 52-week low.

Zoom (ZM) 30-day option implied volatility is at 75; compared to its 52-week range of 34 to 81 as shares trade near a 52-week low.

Quidel Corp (QDEL) 30-day option implied volatility is at 82; compared to its 52-week range of 44 to 81 as shares trade near a 52-week low.

Coupa Software (COUP) 30-day option implied volatility is at 84; compared to its 52-week range of 38 to 90 as shares trade near a 52-week low.

Zillow (Z) 30-day option implied volatility is at 83; compared to its 52-week range of 40 to 83 as shares trade near a 52-week low.

Hawaiian Holdings (HA) 30-day option implied volatility is at 63; compared to its 52-week range of 45 to 79 as shares trade near a 52-week low.

Farfetch Limited (FTCH) 30-day option implied volatility is at 87; compared to its 52-week range of 47 to 105 as shares trade near a 52-week low.

Straddle prices for stocks expected to report quarterly results this week

Apple (AAPL) January weekly 160 straddle priced for a move of +/- 5.5% into the expected release of quarter results today after the bell.

RobinHood (HOOD) January weekly 12 straddle priced for a move of +/- 18% into the expected release of quarter results today after the bell.

Visa (V) January weekly 205 straddle priced for a move of +/- 4.5% into the expected release of quarter results today after the bell.

Phillips 66 (PSX) February 85 straddle priced for a move of +/- 4.5% into the expected release of quarter results before the bell on January 28.

VF Corp (VFC) January weekly 66 straddle priced for a move of +/- 9% into the expected release of quarter results before the bell on January 28.

Caterpillar (CAT) January weekly 215 straddle priced for a move of +/- 4.5% into the expected release of quarter results before the bell on January 28.

Colgate (CL) January weekly 81 straddle priced for a move of +/- 4.5% into the expected release of quarter results before the bell on January 28.

Chevron (CVX) January weekly 132 straddle priced for a move of +/- 3% into the expected release of quarter results before the bell on January 28.

Charter Communications (CHTR) January weekly 555 straddle priced for a move of +/- 7% into the expected release of quarter results before the bell on January 28.

Centene (CNC) 30-day option implied volatility is at 43; compared to its 52-week range of 25 to 53 into draws takeover interest from Cigna (CI) in recent months, Bloomberg says. Call put ratio 18 calls to 1 put with focus on January weekly (28) 74 and 78 calls.

Options with decreasing option implied volatility: UNG NFLX KSS ZNGA ATVI
Increasing unusual option volume: FLEX TIP ARVL DSX SG
Increasing unusual call option volume: FLEX DSX MAT FATH ARVL
Increasing unusual put option volume: TIP ARVL BKLN ARCC NLY
Popular stocks with increasing volume: F PLTR BAC BA PFE
Active options: AAPL TSLA MSFT T NVDA F AMC DKNG AMD PLTR NIO SOFI FB INTC BAC BA AMZN LCID PFE BBIG
Global S&P Futures down 0.5%, Nikkei down 3%, DAX down 1.6%, WTI Crude oil recently at $87.39, natural gas up 2%, gold at $1810 an ounce