Pre-Market IV Report December 14, 2020

Pre-Market IV Report December 14, 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 AMRN GHIV NKE GILD HCAC FUBO LMND SNOW BTG ADT SRPT RXT ADM T WIT DRNA OCUL RIDE BYD

Stocks expected to have increasing option volume: MRNA PFE QCOM FDX ACN ABBV TSLA NIO BABA JD NIU

Stocks expected to have increasing option volume: MRNA PFE QCOM FDX ACN ABBV TSLA NIO BABA JD NIU TCF HBAN BOX DBX INSG

Volume and IV movers

Tesla (TSLA) December call option implied volatility is at 120, January is at 92; compared to its 52-week range of 34 to 153 into Elon Musk calls on Tesla workers to boost production, Bloomberg reports.

Qualcomm (QCOM) 30-day option implied volatility is at 37; compared to its 52-week range of 24 to 85 after reports that Apple (AAPL) has begun building its own cellular modem to be used in future devices. Call put ratio 1 call to 1 put.

NIO Inc. (NIO) December call option implied volatility is at 98, January is at 115; compared to its 52-week range of 81 to 216 amid wide price movement. Call put ratio 1.8 calls to 1 put.

Moderna (MRNA) 30-day option implied volatility is at 111; compared to its 52-week range of 51 to 173 amid Covid vaccine headlines. Call put ratio 2.4 calls to 1 put.

AbbVie (ABBV) December call option implied volatility is at 29, January is at 28; compared to its 52-week range of 20 to 77 into hosting a conference call to discuss its immunology business today.

Inseego Corp. (INSG) December call option implied volatility is at 112, January is at 100; compared to its 52-week range of 70 to 192. Call put ratio 5.4 calls to 1 put with focus on December 20 calls.

Dropbox (DBX) December call option implied volatility is at 52, January is at 50; compared to its 52-week range of 31 to 101. Call put ratio 24 calls to 1 put with focus on December 22 and 24 calls.

Box (BOX) December call option implied volatility is at 38, January is at 45; compared to its 52-week range of 34 to 106. Call put ratio 17.2 calls to 1 put with focus on December 18 and 20 calls.

TCF Financial (TCF) December call option implied volatility is at 33, January is at 37; compared to its 52-week range of 22 to 126 into agrees to merge with Huntington Bancshares (HBAN). Call put ratio 93 calls to 1 put with focus on January and April 35 calls.

Huntington Bancshares (HBAN) December call option implied volatility is at 31, January is at 34; compared to its 52-week range of 19 to 149 into agrees to merge with TCF Financial (TCF). Call put ratio 27 calls to 1 with focus July 12 and 14 calls.

Public Storage (PSA) December call option implied volatility is at 24, January is at 23; compared to its 52-week range of 15 to 72. Call put ratio 26 calls to 1 put with focus on December 185 calls.

Pluralsight (PS) December call option implied volatility is at 53, January is at 60; compared to its 52-week range of 40 to 134. Call put ratio 32 calls to 1 put with focus on December 20 calls.

Straddle prices into quarter releases this 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.

Accenture (ACN) December 245 straddle priced for a move of 5% into the expected release of quarter results on December 17.

FedEx (FDX) December 290 straddle priced for a move of 8% 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 8.5% into the expected release of quarter results before the bell on December 17.

Sanderson Farms (SAFM) December 145 straddle priced for a move of 6% into the expected release of quarter results before the bell on December 17.

Steelcase (SCS) December 12.50 straddle priced for a move of 11% into the expected release of quarter results before the bell on December 17.

BlackBerry (BB) December 8 straddle priced for a move of 12% into the expected release of quarter results before the bell on December 18.

Carnival Corp (CCL) December 21.50 straddle priced for a move of 10% 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 137 straddle priced for a move of 5% into the expected release of quarter results after the bell on December 18.

Winnebago (WGO) December 60 straddle priced for a move of 13% into the expected release of quarter results before the bell on December 18.

Trane Technology (TT) December call option implied volatility is at 24, January is at 28; compared to its 52-week range of 27 to 81 into hosting an investor meeting today.

Eli Lilly & Co. (LLY) December call option implied volatility is at 32, January is at 31; compared to its 52-week range of 16 to 69 into hosting a conference call to announce and discuss its financial guidance in 2021 on December 15.

Elanco (ELAN) 30-day option implied volatility is at 46; 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 24; compared to its 52-week range 13 to 96 into hosting a virtual investor meeting on December 15.

Jabil (JBL) December call option implied volatility is at 67, December is at 40; compared to its 52-week range of 23 to 125 into the expected release of quarter results on December 17.

Centene (CNC) December call option implied volatility is at 34, January is at 35; compared to its 52-week range of 28 to 122 into hosting an investor meeting on December 18. Call put ratio 2.9 calls to 1 put.

Options with decreasing option implied volatility: XPEV SPLK CRIS WORK GME TGTX VOD GPRO RH CIEN SFIX VIAC ZNGA CPB
Increasing option volume: HBAN TCF PS PSA BOX DBX SLM LAZR RMG QS IVZ FUBO SNDL DIS INSG
Increasing unusual call option volume: SLM LAZR UNIT QS EFA DM
Increasing unusual put option volume: QS EQT IVZ EDIT FEZ SKT DNKN DIS
Increasing option volume: QCOM SPCE DIS PLTR CCL GME DIS
Active options: AAPL TSLA DIS NIO PFE PLTR MSFT AAL SNAP AMD FB CCL BAC GE QCOM BA SPCE GME TWTR AMZN
Global S&P Futures recently mixed to higher, Nikkei mixed, DAX mixed, WTI Crude oil recently at $47.25, natural gas up 3%, gold at $1836 an ounce