Pre-Market IV Report December 16, 2020

Pre-Market IV Report December 16, 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: LMND SNOW RIOT IPOC GILD MVIS NKE VERU GHIV SRPT BIDU XRT TG LOOP SLDP AMC

Stocks expected to have increasing option volume: TWTR TSLA FDX LEN NKE TLRY APHA ACB CRON CGC GRWG SLV

Tesla (TSLA) December option implied volatility is at 107, January is at 83; compared to its 52-week range of 34 to 153. Call put ratio 1.8 calls to 1 put with focus on December 600 calls.

Option volume, IV and share price movers

Snowflake (SNOW) December call option implied volatility is at 95, January is at 82; compared to its 16-week range of 47 to 100.

Ishares Silver Trust (SLV) December call option implied volatility is at 45, January is at 38; compared to its 16-week range of 14 to 94. Call put ratio 4.3 calls to 1 put.

Freeport-McMoran (FCX) December call option implied volatility is at 45, January is at 48; compared to its 52-week range of 36 to 184. Call put ratio 3.1 calls to 1 put with focus on December and January calls as shares at upper end of range.

Schlumberger Ltd. (SLB) December call option implied volatility is at 48, January is at 49; compared to its 16-week range of 28 to 174 amid price movement. Call put ratio 3.5 calls to 1 put.

Halliburton (HAL) December call option implied volatility is at 51, January is at 55; compared to its 16-week range of 30 to 224 amid price movement.

Canibas options active into Tilray (TLRY), Aphria (APHA) merger speculation reported by Bloomberg

Tilray (TLRY) 30-day option implied volatility is at 140; compared to its 52-week range of 69 to 289 into Tilray, Aphria (APHA) merger speculation reported by Bloomberg. Call put ratio 9.2 calls to 1 put with focus on December 7.5 calls.

Aphria (APHA) 30-day option implied volatility is at 105; compared to its 52-week range of 67 to 156. Call put ratio 12.3 calls to 1 put with focus on December 8 calls.

Aurora Cannabis (ACB) 30-day option implied volatility is at 143; compared to its 52-week range of 91 to 308. Call put ratio 5.9 calls to 1 put with focus on December 10.50 calls.

GrowGeneration Corp. (GRWG) 30-day option implied volatility is at 95; compared to its 52-week range of 73 to 174. Call put ratio 3.8 calls to 1 put.

Canopy Growth (CGC) 30-day option implied volatility is at 71; compared to its 52-week range of 55 to 185 into Tilray (TLRY), Aphria (APHA) merger speculation reported by Bloomberg. Call put ratio 6.3 calls to 1 put.

India Globalization Capital (IGC) 30-day option implied volatility is at 205; compared to its 52-week range of 164 to 515. Call put ratio 22 calls to 1 put with focus on December 2 calls.

Zynerba (ZYNE) 30-day option implied volatility is at 162; compared to its 52-week range of 81 to 378.

Cronos Group (CRON) 30-day option implied volatility is at 88; compared to its 52-week range of 54 to 560 into Tilray (TLRY), Aphria (APHA) merger speculation reported by Bloomberg. Call put ratio 5.5 calls to 1 put with focus on April 7 calls.

HEXO Corp. (HEXO) 30-day option implied volatility is at 128; compared to its 52-week range of 25 to 307. Call put ratio 39 calls to 1 put with focus on January 1 calls.

New Age Beverage (NBEV) 30-day option implied volatility is at 101; compared to its 52-week range of 71 to 249 into Tilray (TLRY), Aphria (APHA) merger speculation reported by Bloomberg. Call put ratio 7.1 calls to 1 put.

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 today.

Lennar (LEN) December 74 straddle priced for a move of 7% into the expected release of quarter results today.

Accenture (ACN) December 247.5 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 6.5% into the expected release of quarter results before the bell on December 17.

General Mills (GIS) December 60 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on December 17.

Jabil (JBL) December 41.50 straddle priced for a move of 10% into the expected release of quarter results before the bell on December 17.

Sanderson Farms (SAFM) December 140 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on December 17.

Steelcase (SCS) December 12.50 straddle priced for a move of 13% into the expected release of quarter results before the bell on December 17.

BlackBerry (BB) December 8.5 straddle priced for a move of 11% 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 7% 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 139 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: ZM SFIX XPEV DIS WORK DM GPRO VLDR APT KODK GME QS RH LI
Increasing option volume: LAZR QS ABUS RVP TLRY ACB AMC
Increasing unusual call option volume: LAZR QS ABUS RVP RMG
Increasing unusual put option volume: ITUB ZTO QS APTV
Increasing option volume: CCL PFE PLTR GE AAL DIS PLUG LAZR
Active options: AAPL TSLA AMD NIO PFE PLTR FB GE AAL DIS BABA AMZN PLUG LAZR CCL MSFT BA SPCE BIDU BAC
Global S&P Futures recently mixed, Nikkei mixed, DAX up 1.4%, WTI Crude oil recently at $47.59, natural gas down 1.2%, gold at $1864 an ounce