Pre-Market IV Report January 5, 2022

Pre-Market IV Report January 5, 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: PFE AMD XLNX BILI SNDL ATVI BBBY GILD PTON AMRS VXRT IVAN

Stocks expected to have increasing option volume: SPY QQQ RUT IWM BBBY WBA BYND F

Option IV for DE, CAT & F as shares trend up amid PINS, PTON, AFRM…..moving lower

Deere & Co. (DE) 30-day option implied volatility is at 26; compared to its 52-week range of 22 to 40 after CES 2022 new product introductions.

Caterpillar (CAT) 30-day option implied volatility is at 26; compared to its 52-week range of 23 to 42.

General Motors (GM) 30-day option implied volatility is at 42; compared to its 52-week range of 29 to 66. Call put ratio 3.2 calls to 1 put.

Ford (F) 30-day option implied volatility is at 51; compared to its 52-week range of 33 to 76. Call put ratio 3.3 calls to 1 put.

Uber (UBER) 30-day option implied volatility is at 44; compared to its 52-week range of 37 to 72.

Lyft (LYFT) 30-day option implied volatility is at 51; compared to its 52-week range of 41 to 78.

Snap (SNAP) 30-day option implied volatility is at 71; compared to its 52-week range of 43 to 119.

Pinterest (PINS) 30-day option implied volatility is at 68; compared to its 52-week range of 38 to 110.

Twitter (TWTR) 30-day option implied volatility is at 42; compared to its 52-week range of 32 to 91 as shares pull back.

Peloton (PTON) 30-day option implied volatility is at 62; compared to its 52-week range of 50 to 90.

Roku (ROKU) 30-day option implied volatility is at 61; compared to its 52-week range of 43 to 83.

Zoom (ZM) 30-day option implied volatility is at 50; compared to its 52-week range of 34 to 81.

Shopify (SHOP) 30-day option implied volatility is at 51; compared to its 52-week range of 35 to 68.

SoFi Technologies (SOFI) 30-day option implied volatility is at 71; compared to its 52-week range of 50 to 151.

DraftKings (DKNG) 30-day option implied volatility is at 70; compared to its 52-week range of 44 to 92.

Affirm Holdings (AFRM) 30-day option implied volatility is at 88; compared to its 52-week range of 60 to 127 as shares trade down 15% in first two days of 2022. Call put ratio 2.7 calls to 1 put with focus on out of the money February and May calls.

Straddle prices for stocks expected to report quarterly results this week

Bed Bath & Beyond (BBBY) January weekly 15 straddle priced for a move of +/- 20% into the expected release of quarter results on January 6.

ConAgra Brands (CAG) January weekly 34 straddle priced for a move of +/- 5.5% into the expected release of quarter results before the bell on January 6.

Lamb Weston (LW) January 65 straddle priced for a move of +/- 7.5% into the expected release of quarter results before the bell on January 6.

Constellation Brands (STZ) January weekly 255 straddle priced for a move of +/- 4% into the expected release of quarter results on January 6.

Walgreens Boots Alliance (WBA) January weekly 53 straddle priced for a move of +/- 5.5% into the expected release of quarter results on January 6.

Options with decreasing option implied volatility: AVCT JWN ORCL DOCU BBIO BOIL
Increasing unusual option volume: ESSC CLOU GCI ZH
Increasing unusual call option volume: ESSC GCI CNHI JPM MESA DISCA
Increasing unusual put option volume: ABR PACB GRTS TIP LEV WM
Popular stocks with increasing volume: GM PFE AFRM INTC T
Active options: F TSLA AAPL JPM AMD NVDA BAC MSFT GM AMC PFE PLTR NIO FB TSM SNAP AFRM AMZN INTC T
Global S&P Futures mixed, Nikkei mixed, DAX mixed, WTI Crude oil recently at $76.71, natural gas up 1%, gold at $1817 an ounce