Pre-Market IV Report July 14, 2021

Pre-Market IV Report July 14, 2021

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: CLVS KSU SPCE HYG GOOG TWTR NFLX GOOGL EDU TAL CPNG INTC IBM

Stocks expected to have increasing option volume: WFC C MS BAC PNC LUV UAL AAL DAL BA AA BK TSM USB UNH

Option IV for Natural gas as gas trends higher

United States Natural Gas (UNG) 30-day option implied volatility is at 43; compared to its 52-week range of 30 to 219 as natural gas trends higher

Range Resources (RRC) 30-day option implied volatility is at 66; compared to its 52-week range of 58 to 170 as natural gas trends higher

Antero Resources (AR) 30-day option implied volatility is at 65; compared to its 52-week range of 57 to 140 as natural gas trends higher

Starbucks (SBUX) 30-day option implied volatility is at 24; compared to its 52-week range of 18 to 43. Call put ratio 5 calls to 1 put with focus on July 120 calls.

Straddle prices into expected release of quarter results this week

Bank of America (BAC) July 40 straddle priced for a move of +/- 3% into the expected release of quarter results today before the bell

Blackrock (BLK) July 910 straddle priced for a move of +/- 3% into the expected release of quarter results today before the bell

Citigroup (C) July 68.50 straddle priced for a move of +/- 4.5% into the expected release of quarter results today before the bell

Delta (DAL) July 42 straddle priced for a move of +/- 4% into the expected release of quarter results today before the bell

Schwab (SCHW) July 72 straddle priced for a move of +/- 5% into the expected release of quarter results today before the bell

PNC Financial (PNC) July 190 straddle priced for a move of +/- 3.5% into the expected release of quarter results today before the bell

Well Fargo (WFC) July 43 straddle priced for a move of +/- 4% into the expected release of quarter results today before the bell

Alcoa (AA) July 35.50 straddle priced for a move of +/- 6.5% into the expected release of quarter results after the bell on July 15.

Bank of New York (BK) July 50 straddle priced for a move of +/- 4% into the expected release of quarter results before the bell on July 15.

Morgan Stanley (MS) July 94 straddle priced for a move of +/- 3% into the expected release of quarter results before the bell on July 15.

Taiwan Semiconductor (TSM) July 124 straddle priced for a move of +/- 3% into the expected release of quarter results on July 15.

U.S. Bancorp (USB) July 57 straddle priced for a move of +/- 3% into the expected release of quarter results before the bell on July 15.

UnitedHealth Group (UNH) July 420 straddle priced for a move of +/- 2.5% into the expected release of quarter results before the bell on July 15.

PayPal (PYPL) 30-day call option implied volatility is at 34, compared to its 52-week range of 24 to 59 after report of Apple (AAPL) ‘Buy Now, Pay Later’ plans. Call put ratio 2.1 calls to 1 put.

Affirm Holdings, Inc. (AFRM) 30-day call option implied volatility is at 72, compared to its 52-week range of 60 to 127 after report of Apple (AAPL) ‘Buy Now, Pay Later’ plans. Call put ratio 1.3 calls to 1 put.

Infinity Pharma (INFI) August call option implied volatility is at 146, October is at 121; compared to its 52-week range of 44 to 468 into clinical and strategic updates planned to be unfolded on July 27. Call put ratio 8 calls to 1 put with focus on August 2 and 3 calls.

Options with decreasing option implied volatility: NEGG BBBY DOCU BSQR CLOV
Increasing unusual option volume: PMT SOHU RAMP BSQR HST CAG JNPR
Increasing unusual call option volume: PMT SOHU BSQR JNPR ABBV HEPA
Increasing unusual put option volume: CAG NCR HIG DM CPNG EVGO
Popular stocks with increasing volume: SPCE DIS WFC BA
Active options: AAPL TSLA AMC NOK AMZN SPCE MSFT BABA DIS ABBV BAC BA TLRY NIO AMD PLTR FB JPM ATOS WFC