Pre-Market IV Report December 11, 2020

Pre-Market IV Report December 11, 2020

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: IPOC ORCL LMND FUBO QS SNOW UUP UVXY VERO PAA ZUO PFE BNTX MRNA COST ORCL COST AVGO LULU PLAY

Stocks expected to have increasing option volume: PFE BNTX MRNA NIO DIS COST ORCL TLSA LULU AVGO OXY SLB HAL DVN CCL NCLH RCL AAL LUV

SPDR S&P Biotech ETF (XBI) December weekly call option implied volatility is at 33, December is at 31; compared to its 52-week range of 22 to 76 amid Covid-19 vaccine headlines. Call put ratio 1 call to 4.1 puts as shares near record high.

United States Oil Fund (USO) December weekly option implied volatility is at 34, December is at 33; compared to its 52-week range of 23 to 246 amid WTI Crude oil near seven-month highs.

Tesla (TSLA) December weekly option implied volatility is at 81, December is at 121, January is at 95; compared to its 52-week range of 34 to 153. Call put ratio 1.8 calls to 1 put.

NIO Inc. (NIO) 30-day option implied volatility is at 108; compared to its 52-week range of 81 to 216 into offers to sell 60M ADSs.

Option volume and IV movers

Social Capital Hedosophia Holdings Corp. III (IPOC) 30-day option implied volatility is at 138; compared to its 52-week range of 12 to 149. Call put ratio 5.3 calls to 1 put.

QuantumScape (QS) 30-day option implied volatility is at 181; compared to its 52-week range of 76 to 232. Call put ratio 2.6 calls to 1 put.

CIIG Merger Corp. (CIIC) 30-day option implied volatility is at 150; compared to its 52-week range of 172 to 182. Call put ratio 4 calls to 1 put.

Hennessy Capital Acquisition Corp. IV (HCAC) 30-day option implied volatility is at 193; compared to its 52-week range of 30 to 217. Call put ratio 5.1 calls to 1 put.

Laser Storm, Inc. (LAZR) December call option implied volatility is at 145, January is at 166; compared to its 52-week range of 28 to 243. Call put ratio 2.2 calls to 1 put with focus on December calls.

QuantumScape (QS) December weekly call option implied volatility is at 204, December is at 177, January is at 174; compared to its 52-week range of 76 to 232.

Blink Charging (BLNK) December call option implied volatility is at 131, December is at 140, January is at 161; compared to its 52-week range of 97 to 265. Call put ratio 2.5 calls to 1 put.

FuboTV (FUBO) 30-day option implied volatility is at 147; compared to its 52-week range of 98 to 145. Call put ratio 2.2 calls to 1 put.

Lemonade (LMND) December weekly call option implied volatility is at 121, December is at 124; compared to its 52-week range of 63 to 122. Call put ratio 2.5 calls to 1 put.

Straddle prices into quarter releases next week

Herman Miller (MLHR) December 40 straddle priced for a move of 13% into the expected release of quarter results after the bell on December 16.

Lennar (LEN) December 72.50 straddle priced for a move of 7% into the expected release of quarter results on December 16.

FedEx (FDX) December 290 straddle priced for a move of 9% into the expected release of quarter results before the bell on December 17.

General Mills (GIS) December 60 straddle priced for a move of 5% into the expected release of quarter results before the bell on December 17.

Jabil (JBL) December 40 straddle priced for a move of 7.5% into the expected release of quarter results before the bell on December 17.

Sanderson Farms (SAFM) December 145 straddle priced for a move of 7% into the expected release of quarter results before the bell on December 17.

Steelcase (SCS) December 12.50 straddle priced for a move of 14% into the expected release of quarter results before the bell on December 17.

BlackBerry (BB) December 8.5 straddle priced for a move of 13% into the expected release of quarter results before the bell on December 18.

Carnival Corp (CCL) December 22.50 straddle priced for a move of 12% into the expected release of quarter results before the bell on December 18.

Darden (DRI) December 115 straddle priced for a move of 7% into the expected release of quarter results before the bell on December 18.

Nike (NKE) December 138 straddle priced for a move of 6% into the expected release of quarter results after the bell on December 18.

Winnebago (WGO) December 55 straddle priced for a move of 13% into the expected release of quarter results before the bell on December 18.

Elanco (ELAN) 30-day option implied volatility is at 48; compared to its 52-week range of 28 to 99 into hosting a virtual investor meeting on December 15.

Arthur J. Gallagher (AJG) 30-day option implied volatility is at 22; compared to its 52-week range 13 to 96 into hosting a virtual investor meeting on December 15.

Bloom Energy Corp. (BE) 30-day option implied volatility is at 114; compared to its 52-week range of 75 to 237 into hosting a virtual investor meeting on December 16.

Options with decreasing option implied volatility: TWTR SFIX CRIS WORK SPLK
Increasing option volume: LAZR ABB RSX QS STLD LMND SGMO
Increasing unusual call option volume: ABB RSX QS LAZR STLD CNDT LMND
Increasing unusual put option volume: ITUB RSX QS NLSN DM LMND IPOC AKAM
Increasing option volume: OXY SLB HAL DVN CCL NCLH RCL AAL LUV PLTR OXY XOM F PFE T
Active options: TSLA AAPL PLTR PFE NIO AAL TWTR FB T AMD SNAP GE MSFT AMZN VALE OXY BAC CCL XOM F
Global S&P Futures recently mixed to lower, Nikkei mixed to lower, DAX mixed to lower, WTI Crude oil recently at $7.030, natural gas down 0.8%, gold at $1835 an ounce