Pre-Market IV Report January 6, 2022

Pre-Market IV Report January 6, 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: SNAP NU SNDL IBM GILD ATVI BBBY PTON LABU AMD MSFT XBI

Stocks expected to have increasing option volume: SPY QQQ RUT IWM BBBY WBA AAPL TSLA F GME AMC

Option IV for movers trending lower

AMC Entertainment (AMC) 30-day option implied volatility is at 135; compared to its 52-week range of 95 to 726.

GameStop (GME) 30-day option implied volatility is at 105; compared to its 52-week range of 69 to 553.

Robinhood (HOOD) 30-day option implied volatility is at 88; compared to its 52-week range of 51 to 226.

Snowflake (SNOW) 30-day option implied volatility is at 55; compared to its 52-week range of 35 to 88.

Option implied volatility for Health Care into the annual J.P. Morgan Healthcare Conference

XLV Health Care (XLV) 30-day option implied volatility is at 18; compared to its 52-week range of 12 to 24 into the annual J.P. Morgan Healthcare Conference. Call put ratio 3.7 calls to 1 put.

iShares Nasdaq Biotechnology (IBB) 30-day option implied volatility is at 26; compared to its 52-week range of 18 to 33 into the annual J.P. Morgan Healthcare Conference.

Johnson & Johnson (JNJ) 30-day option implied volatility is at 18; compared to its 52-week range of 14 to 31 into the annual J.P. Morgan Healthcare Conference.

Pfizer (PFE) 30-day option implied volatility is at 36; compared to its 52-week range of 17 to 41.

Merck (MRK) 30-day option implied volatility is at 24; compared to its 52-week range of 16 to 35. Call put ratio 7.2 calls to 1 put.

Abbott (ABT) 30-day option implied volatility is at 26; compared to its 52-week range of 17 to 37. Call put ratio 2.9 calls to 1 put.

AbbVie (ABBV) 30-day option implied volatility is at 27; compared to its 52-week range of 18 to 38. Call put ratio 3.4 calls to 1 put.

Thermo Fisher Scientific (TMO) 30-day option implied volatility is at 28; compared to its 52-week range of 20 to 38.

Amgen (AMGN) 30-day option implied volatility is at 24; compared to its 52-week range of 18 to 38.

Eli Lilly (LLY) 30-day option implied volatility is at 30; compared to its 52-week range of 22 to 46.

Baxter (BAX) 30-day option implied volatility is at 22; compared to its 52-week range of 18 to 43.

AstraZeneca (AZN) 30-day option implied volatility is at 23; compared to its 52-week range of 16 to 49. Call put ratio 13 calls to 1 put.

GlaxoSmithKline (GSK) 30-day option implied volatility is at 39; compared to its 52-week range of 16 to 44. Call put ratio 29 calls to 1 put.

Novartis (NVS) 30-day option implied volatility is at 16; compared to its 52-week range of 14 to 32.

Sanofi (SNY) 30-day option implied volatility is at 21; compared to its 52-week range of 16 to 40.

Teva Pharma (TEVA) 30-day option implied volatility is at 46; compared to its 52-week range of 32 to 181 into the annual J.P. Morgan Healthcare Conference.

Gilead (GILD) 30-day option implied volatility is at 26; compared to its 52-week range of 17 to 46.

Bausch Health Co. Inc. (BHC) 30-day option implied volatility is at 45; compared to its 52-week range of 31 to 93. Call put ratio 3.2 calls to 1 put.

Medtronic (MDT) 30-day option implied volatility is at 22; compared to its 52-week range of 15 to 35 into the annual J.P. Morgan Healthcare Conference. Call put ratio 3 calls to 1 put.

Straddle prices for stocks expected to report quarterly results this week

Bed Bath & Beyond (BBBY) January weekly 13.5 straddle priced for a move of +/- 20% into the expected release of quarter results today before the bell.

Walgreens Boots Alliance (WBA) January weekly 54 straddle priced for a move of +/- 5.5% into the expected release of quarter results today.

Options with decreasing option implied volatility: ADBE ORCL AVCT
Increasing unusual option volume: EVTL BKLN ZH UBX
Increasing unusual call option volume: ISEE GLNG ESSC NRG
Increasing unusual put option volume: BKLN LW ONON INDA
Popular stocks with increasing volume: INTC PFE GM T
Active options: F AAPL TSLA T NVDA AMD AMC INTC MSFT PLTR BABA GM FB ORCL MU BAC LCID BA NIO PFE
Global S&P Futures mixed, Nikkei down 2.8%, DAX down 1%, WTI Crude oil recently at $77.97, natural gas mixed, gold at $1794 an ounce