Pre-Market IV Report December 15, 2020

Pre-Market IV Report December 15, 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 DBX GHIV NKE GNUS LMND SNOW RIOT SBE AMRN CLVS SRPT HUYA ATUS ARKK DBX SWI HGEN

Stocks expected to have increasing option volume: TSLA FDX LEN NKE SMH DBX

Tesla (TSLA) December option implied volatility is at 114, January is at 88; compared to its 52-week range of 34 to 153 into addition to S&P. Call put ratio 2.1 calls to 1 put with focus on December calls.

United States Oil Fund (USO) December option implied volatility is at 36, January is at 34; compared to its 52-week range of 23 to 246 amid WTI Crude oil near eight-month highs. Call put ratio 1.9 calls to 1 put.

Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 31; compared to its 52-week range of 19 to 91 as shares at upper end of range.

Option volume and IV movers

QuantumScape (QS) 30-day option implied volatility is at 163; compared to its 52-week range of 76 to 232.

Dropbox (DBX) December call option implied volatility is at 77, January is at 53; compared to its 52-week range of 31 to 101. Call put ratio 5.3 calls to 1 put with focus on April 22 calls.

Box (BOX) December call option implied volatility is at 45, January is at 46; compared to its 52-week range of 34 to 106. Call put ratio 8.6 calls to 1 put with focus on December 19 calls.

Appian Corporation (APPN) 30-day option implied volatility is at 144; compared to its 52-week range of 71 to 181 amid wide price movement. Call put ratio 1 call to 4.6 puts with focus on December 40 puts.

Lydall (LDL) 30-day option implied volatility is at 60; compared to its 52-week range of 35 to 148 after recent rally on mask production.

SolarWinds (SWI) 30-day option implied volatility is at 95; compared to its 52-week range of 40nto 170 after reporting a cyberattack. Call put ratio 1 call to 2.9 puts.

Arvinas Inc. (ARVN) 30-day option implied volatility is at 144; compared to its 52-week range of 71 to 181 after sharp rally amid prostate and breast cancer treatment headlines.

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 on December 16.

Lennar (LEN) December 74.50 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 5.5% into the expected release of quarter results on December 17.

FedEx (FDX) December 285 straddle priced for a move of 7.5% 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% into the expected release of quarter results before the bell on December 17.

Sanderson Farms (SAFM) December 140 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 straddle priced for a move of 9% 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 136 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 12% into the expected release of quarter results before the bell on December 18.

Options with decreasing option implied volatility: XPEV SPLK CRIS DM KODK SOLO GME SFIX RH CPB CIEN WORK ORCL
Increasing option volume: LAZR ABUS NNDM QS ATUS PS SPCE DBX
Increasing unusual call option volume: ABUS LAZR NNDM QS PS
Increasing unusual put option volume: QS ATUS PBF ZTO DM NYT GPN SIRI
Increasing option volume: PFE DIS PLTR SPCE GE CCL RKT
Active options: TSLA AAPL PFE NIO AMD DIS PLTR AAL SPCE AMZN MSFT F BABA FB BA GE T CCL T RKT BAC
Global S&P Futures recently mixed, Nikkei mixed, DAX mixed, WTI Crude oil recently at $46.75, natural gas mixed, gold at $1842 an ounce