Pre-Market IV Report January 5, 2024

Pre-Market IV Report January 5, 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: MANU QS BILL SNAP WOLF SOFI ALGN TEAM META CLX WHR AMZN TEVA UPS QCOM SBUX CAH EA TSLY OMGA NXT UA EDR DVAX

Stocks expected to have increasing option volume: SPY QQQ RUT TBT TLT HYG LQD LLY NVO STZ

Straddle prices into release quarter results

Constellation Brands (STZ) January weekly 242 straddle priced for a move of 3.5% into the expected release of quarter results today before the bell.

Albertsons (ACI) January 23 straddle priced for a move of 5% into the expected release of quarter results before the bell on January 9.

Tilray (TLRY) January weekly 2.5 straddle priced for a move of 27% into the expected release of quarter results before the bell on January 9.

KB Home (KBH) January weekly 61 straddle priced for a move of 7.5% into the expected release of quarter results after the bell on January 10.

Movers into December employment report

Micron Technology (MU) 30-day option implied volatility is at 48; compared to its 52-week range of 27 to 51. Call put ratio 1.9 calls to 1 put.

QuantumScape (QS) 30-day option implied volatility is at 134; compared to its 52-week range of 54 to 132. Call put ratio 2.8 calls to 1 put.

Mobileye (MBLY) 30-day option implied volatility is at 57; compared to its 52-week range of 33 to 106 on active volume of 72K contracts.

American Express (AXP) 30-day option implied volatility is at 25; compared to its 52-week range of 17 to 39.

Analog Devices (ADI) 30-day option implied volatility is at 25; compared to its 52-week range of 20 to 34.

YETI Holdings, Inc. (YETI) 30-day option implied volatility is at 41; compared to its 52-week range of 29 to 72.

Chegg (CHGG) 30-day option implied volatility is at 64; compared to its 52-week range of 36 to 134. Call put ratio 1 call to 9.8 puts with a focus on January 10 puts.

Omega Therapeutics (OMGA) 30-day option implied volatility is at 182; compared to its 52-week range of 85 to 198.

Utz Brands (UTZ) 30-day option implied volatility is at 39; compared to its 52-week range of 22 to 57. Call put ratio 82 calls to 1 put with focus on January 20 and February 17.50 calls.

R1 RCM (RCM) 30-day option implied volatility is at 62; compared to its 52-week range of 31 to 73 amid active option volume of January and February 12.50 calls.

Marvell Technology (MRVL) 30-day option implied volatility is at 38; compared to its 52-week range of 32 to 63. Option volume of 68K contracts with volume focused on February 47.50 puts and September 50 puts.

Options with decreasing option implied volatility: SIRI WBA CPE AVXL LW CAG
Increasing unusual option volume: MBLY FE QS INVZ RCM UTZ OMGA CHGG
Increasing unusual call option volume: MBLY QS FLR INVZ ALT TKO CAN ZIM CYTK
Increasing unusual put option volume: CHGG MBLY QS TRIP MCHP CYTK CALM CIFR AMBA PLL SBLK HASI
Popular stocks with increasing volume: C WBA BAC SOFI COIN INTC PLTR BABA PFE AMC
Active options: TSLA AAPL NVDA AMZN MARA AMD QS C WBA MSFT BAC SOFI COIN INTC PLTR BABA META GOOGL PFE AMC
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $73, natural gas down 1%, gold at $2047