Pre-Market IV Report March 1, 2022

Pre-Market IV Report March 1, 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: RSX AHT UUP VXRT RUSL EPAM USO IPOF CEI PBR NKE JPM MS TGT TLT TGT WDAY ZM AMC JWN KSS

Stocks expected to have increasing option volume: CRM WDAY ZM NVDA TGT AMC JWN KSS ROST SOFI BROS URBN LCID

Option IV amid Russia’s invasion of the Ukraine

American Airlines (AAL) 30-day option implied volatility is at 61; compared to its 52-week range of 39 to 73. Call put ratio 1.8 calls to 1 put.

Delta Air Lines (DAL) 30-day option implied volatility is at 51; compared to its 52-week range of 32 to 61. Call put ratio 2 calls to 1 put.

Southwest Airlines (LUV) 30-day option implied volatility is at 44; compared to its 52-week range of 28 to 53.

United Airlines (UAL) 30-day option implied volatility is at 57; compared to its 52-week range of 37 to 68. Call put ratio 2.7 calls to 1 put.

Money center IV up

Citigroup (C) 30-day option implied volatility is at 38; compared to its 52-week range of 22 to 40 into a 2022 investor day scheduled on March 2.

JPMorgan (JPM) 30-day option implied volatility is at 35; compared to its 52-week range of 19 to 35.

Bank of America (BAC) 30-day option implied volatility is at 36; compared to its 52-week range of 22 to 36.

UBS AG (UBS) 30-day option implied volatility is at 49; compared to its 52-week range of 17 to 45. Call put ratio 1 call to 4 puts.

Credit Suisse (CS) 30-day option implied volatility is at 45; compared to its 52-week range of 19 to 54. Call put ratio 1 call to 4 puts.

Barclays plc (BCS) 30-day option implied volatility is at 46; compared to its 52-week range of 21 to 50. Call put ratio 24 calls to 1 put.

Deutsche Bank (DB) 30-day option implied volatility is at 58; compared to its 52-week range of 27 to 95. Call put ratio 2.4 calls to 1 put.

Uranium stocks option IV amid global energy concerns as Ukraine crisis spreads

Cameco Corp. (CCJ) 30-day option implied volatility is at 62; compared to its 52-week range of 44 to 104. Call put ratio 8.6 calls to 1 put.

Uranium Energy (UEC) 30-day option implied volatility is at 94; compared to its 52-week range of 74 to 158. Call put ratio 7.7 calls to 1 put.

Denison Mines Corp. (DNN) 30-day option implied volatility is at 98; compared to its 52-week range of 42 to 235. Call put ratio 20 calls to 1 put.

Energy Fuels Inc. (UUUU) 30-day option implied volatility is at 96; compared to its 52-week range of 70 to 160. Call put ratio 12 calls to 1 put with focus on April 9 calls.

Defense stocks IV up

Lockheed Martin (LMT) 30-day option implied volatility is at 31; compared to its 52-week range of 16 to 30.

Northrop Grumman (NOC) 30-day option implied volatility is at 35; compared to its 52-week range of 17 to 31.

L3Harris Technologies (LHX) 30-day option implied volatility is at 34; compared to its 52-week range of 18 to 33. Call put ratio 7.8 calls to 1 put.

Raytheon Technologies (RTX) 30-day option implied volatility is at 32; compared to its 52-week range of 19 to 37. Call put ratio 4.9 calls to 1 put.

General Dynamics (GD) 30-day option implied volatility is at 30; compared to its 52-week range of 17 to 29. Call put ratio 6.7 calls to 1 put.

Straddle prices for stocks expected to report quarterly results

Abercrombie & Fitch (ANF) March weekly 38 straddle priced for a move of +/- 16% into the expected release of quarter results the bell on March 2.

American Eagle (AEO) March weekly 21 straddle priced for a move of +/- 20% into the expected release of quarter results after the bell on March 2.

Box (BOX) March weekly 27 straddle priced for a move of +/- 12% into the expected release of quarter results after the bell on March 2.

Pure Storage (PSTG) March 25 straddle priced for a move of +/- 13% into the expected release of quarter results after the bell on March 2.

Splunk (SPLK) March weekly 118 straddle priced for a move of +/- 11% into the expected release of quarter results after the bell on March 2.

Options with decreasing option implied volatility: PYPL NFLX FL FB SNAP KPTI ESSC
Increasing unusual option volume: MULN REGI WEAT PPC HZNP EPAM
Increasing unusual call option volume: MULN WEAT RSX SBLK SPGI
Increasing unusual put option volume: AER IWP BRCC EWU RSX ZGNX
Popular stocks with increasing volume: LCID PLTR AMC SQ F PYPL OXY
Active options: TSLA AAPL AMD NVDA FB LCID SOFI PLTR BAC AMC SQ NIO C MSFT F PYPL CCJ OXY JPM MARA
Global S&P Futures mixed premarket, Nikkei up 1.4%, DAX down 1.2%, WTI Crude oil recently at $98.61, natural gas mixed, gold at $1920 an ounce