Pre-Market IV Report January 3, 2024

Pre-Market IV Report January 3, 2024

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: BILL APLS WOLF SNAP SOFI ALGN TEAM PENN META APP NFLX CLX WHR TSLY AMZN UPS QCOM SBUX EA

Stocks expected to have increasing option volume: WBA LW CAG BLMN MSTR

Apple (AAPL) 30-day option implied volatility is at 23; compared to its 52-week range of 16 to 43.

Tesla (TSLA) 30-day option implied volatility is at 50; compared to its 52-week range of 42 to 87 into expected release of quarter results after the bell on January 24.

Citigroup (C) 30-day option implied volatility is at 28; compared to its 52-week range of 21 to 51. Call put ratio 4.3 calls to 1 put.

Microstrategy, Inc. (MSTR) 30-day option implied volatility is at 87; compared to its 52-week range of 55 to 104.

January straddles priced into EPS

Cal-Maine Foods (CALM) January 57.50 straddle priced for a move of 7.5% into the expected release of quarter results after the bell on January 3.

Walgreens Boots (WBA) January weekly 26.5 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on January 4.

ConAgra (CAG) January weekly 29.50 straddle priced for a move of 4% into the expected release of quarter results before the bell on January 4.

Lamb Weston (LW) January 105 straddle priced for a move of 6% into the expected release of quarter results before the bell on January 4.

Constellation Brands (STZ) January weekly 245 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on January 5.

Alpha & Omega Semiconductor (AOSL) 30-day option implied volatility is at 45; compared to its 52-week range of 30 to 86. Call put ratio 9.3 calls to 1 put as share price up 6.2%.

Centene (CNC) 30-day option implied volatility is at 24; compared to its 52-week range of 21 to 35.

Allogene Therapeutics (ALLO) 30-day option implied volatility is at 122; compared to its 52-week range of 57 to 112. Call put ratio 26 calls to 1 put with focus on February 5 calls.

The Hartford (HIG) 30-day option implied volatility is at 17; compared to its 52-week range of 13 to 68. Call put ratio 1 call to 15.5 puts with focus on February 80 puts.

Ouster (OUST) 30-day option implied volatility is at 91; compared to its 52-week range of 20 to 109. Call put ratio 14.3 calls to 1 put with focus on February 7.5 calls.

Pimco 25+ Year Zero Coupon U.S. Treasury Index Exchange-traded Fund (ZROZ) 30-day option implied volatility is at 24; compared to its 52-week range of 19 to 69. Call put ratio 8 calls to 1 put with focus on June 80 and 90 calls.

Options with decreasing option implied volatility: AVXL CYTK SIRI MULN
Increasing unusual option volume: BTG ETRN MNKD IREN ALGM OUST HIG CNC ALLO AOSL
Increasing unusual call option volume: BTG ETRN OUST CPB IREN ALT
Increasing unusual put option volume: IVV AYX CIFR CYTK TCOM VOO FNGS ICE SGML
Popular stocks with increasing volume: PFE C NIO BABA PLTR COIN RIVN T SOFI BAC INTC UBER
Active options: TSLA AAPL NVDA AMD MARA AMZN MSFT PFE META C NIO BABA PLTR COIN RIVN T SOFI BAC INTC UBER
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $69.80, natural gas up 4%, gold at $2068