Pre-Market IV Report December 18, 2020

Pre-Market IV Report December 18, 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: NKE WGO BB SRPT BMRN IQ BIDU IPOC GHIV NKE FUBO QS RIOT

Stocks expected to have increasing option volume: TSLA MRNA FDX SCS SNAP MRNA NKE WGO BB

Tesla (TSLA) December option implied volatility is at 134, January is at 81; compared to its 52-week range of 34 to 153 into S&P 500 addition. Call put ratio 1.5 calls to 1 put.

Moderna (MRNA) December call option implied volatility is at 143, January is at 105; compared to its 52-week range of 51 to 173 into FDA vaccine-advisory committee meeting. Call put ratio 2.5 calls to 1 put.

Palo Alto Networks (PANW) December call option implied volatility is at 36, January is at 31; compared to its 52-week range of as shares at upper end of range amid cyber security headlines. Call put ratio 3 calls to 1 put.

Option volume, IV and share price movement for indexes near upper end of range into quadruple expiration

SPDR S&P 500 ETF Trust (SPY) December call option implied volatility is at 15, January 16; compared to its 52-week range of 10 to 77.

iShares Russell 2000 ETF (IWM) December call option implied volatility is at 29, January 26; compared to its 52-week range of 12 to 81 as shares near record high. Call put ratio 1 call to 2.5 puts.

PowerShares QQQ Trust (QQQ) December call option implied volatility is at 22, January is at 23; compared to its 52-week range of 12 to 79 as shares near record high. Call put ratio 1 call to 1.9 puts.

Straddle prices into quarter releases today

BlackBerry (BB) December 8.5 straddle priced for a move of 12% into the expected release of quarter results today before the bell.

Darden (DRI) December 120 straddle priced for a move of 6.5% into the expected release of quarter results today before the bell.

Winnebago (WGO) December 60 straddle priced for a move of 9.5% into the expected release of quarter results today before the bell.

Nike (NKE) December 140 straddle priced for a move of 4.5% into the expected release of quarter results today after the bell.

Straddle prices into quarter releases next week

CarMax (KMX) December weekly 100 straddle priced for a move of 7% into the expected release of quarter results before the bell on December 22.

Cintas (CTAS) January 350 straddle priced for a move of 8% into the expected release of quarter results before the bell on December 22.

Paychex (PAYX) January 95 straddle priced for a move of 6% into the expected release of quarter results before the bell on December 23.

Hospital groups amid virus volumes amid rising cases of Covid-19 cases

Community Health (CYH) 30-day option implied volatility is at 81; compared to its 52-week range of 62 to 181 amid rising cases of Covid-19 cases.

HCA Healthcare (HCA) 30-day option implied volatility is at 34; compared to its 52-week range of 18 to 167

Tenet (THC) 30-day option implied volatility is at 61; compared to its 52-week range of 34 to 166

Universal Health (UHS) 30-day option implied volatility is at 37; compared to its 52-week range of 18 to 130

Molina Healthcare (MOH) 30-day option implied volatility is at 40; compared to its 52-week range of 31 to 94

Options with decreasing option implied volatility: WYNN ZM XPEV DIS ACB ENDP APT SGMO DM
Increasing option volume: NXTD FUBO QS CG LAZR
Increasing unusual call option volume: CG QS FUBO NDM LAZR INFN
Increasing unusual put option volume: FUBO QS BBD MARA
Popular stocks with increasing volume: PLUG PFE ROKU PLTR MARA DKNG SNAP PENN
Active options: AAPL TSLA PLTR NIO T PFE MSFT PLUG AMZN SNAP AMD FB DKNG INTC BA BAC MARA ROKU AAL BABA
Global S&P Futures recently mixed, Nikkei mixed, DAX mixed, WTI Crude oil recently at $48.49, natural gas up 1.67, gold at $1885 an ounce