Pre-Market IV Report December 2, 2020

Pre-Market IV Report December 2, 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: GME APHA QS KODK GILD BB APHA CRSR RIDE RIOT VOD MRNA VALE PFE

Stocks expected to have increasing option volume: PFE CRM WORK BOX JBLU NTAP SNOW CRWD DOCU HPE NTAP DOCU PVH FIVE SNOW SPLK MRNA RIDE FSR NKLA NIO TSLA WKHS PLUG FCEL BLDP BB

Pfizer (PFE) November weekly call option implied volatility is at 54, November is at 55; compared to its 52-week range of 15 to 72 into Pfizer vaccine wins U.K. authorization.

General Electric (GE) December weekly call option implied volatility is at 45, December is at 46; compared to its 52-week range of 27 to 115 into GE Digital CEO Pat Byrne presenting at Credit Suisse Global Industrials conference on December 2. Call put ratio 2.8 calls to 1 put with focus on December 10.5 calls.

Starbucks (SBUX) December weekly call option implied volatility is at 21, December is at 25; compared to its 52-week range of 15 to 108 into hosting a virtual investor day on December 9. Call put ratio 2.4 calls to 1 put with focus on December weekly 100 calls.

Walt Disney (DIS) December weekly call option implied volatility is at 28, December is at 34; compared to its 52-week range of 18 to 101 into investor meeting on December 10.

NIO Inc. (NIO) December weekly call option implied volatility is at 148, December is at 132; compared to its 52-week range of 81 to 215. Call put ratio 1.9 calls to 1 put. NIO will host NIO Day in January 2021, introduce its first sedan model, and reveal more details on its next vehicle platform. Pricing and details are not available yet but autonomous driving will be a feature.

IV into OPEC+ and U.S. Energy Information Administration SHORT-TERM ENERGY OUTLOOK release on December 8, 2020.

United States Oil Fund (USO) December weekly option implied volatility is at 57, December is at 41; compared to its 52-week range of 23 to 246 into OPEC+ and U.S. Energy Information Administration Short-Term Energy Outlook release on December 8, 2020.

Proshares Ultra DJ-UBS Crude Oil (UCO) December weekly option implied volatility is at 104, December is at 74; compared to its 52-week range of 43 to 366.
.
Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 41; compared to its 52-week range of 16 to 131.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day option implied volatility is at 55; compared to its 52-week range of 28 to 190.

BP plc (BP) 30-day option implied volatility is at 42; compared to its 52-week range of 15 to 155.

Chevron (CVX) 30-day option implied volatility is at 37; compared to its 52-week range of 15 to 112.

ConocoPhillips (COP) 30-day option implied volatility is at 48; compared to its 52-week range of 21 to 151 into OPEC+ and U.S. Energy Information Administration Short-Term Energy Outlook release on December 8, 2020.

Straddle prices for stocks expected to report quarterly results this week

CrowdStrike (CRWD) December weekly 147 straddle priced for a move of 14% into the expected release of quarter results today after the bell.

Five Below (FIVE) December weekly 162.50 straddle priced for a move of 9% into the expected release of quarter results today after the bell.

PVH (PVH) December 80 straddle priced for a move of 13% into the expected release of quarter results today after the bell.

Snowflake (SNOW) December weekly 305 straddle priced for a move of 14% into the expected release of quarter results today after the bell.

Splunk (SPLK) December weekly 205 straddle priced for a move of 8% into the expected release of quarter results today after the bell.

Zscaler (ZS) December weekly 150 straddle priced for a move of 15% into the expected release of quarter results today after the bell.

Cloudera (CLDR) December weekly 11.50 straddle priced for a move of 14% into the expected release of quarter results after the bell on December 3.

DocuSign (DOCU) December weekly 215 straddle priced for a move of 9% into the expected release of quarter results after the bell on December 3.

Dollar General (DG) December weekly 220 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on December 3.

Domo (DOMO) December 38 straddle priced for a move of 14% into the expected release of quarter results after the bell on December 3.

Duluth Holdings (DLTH) December 15 straddle priced for a move of 28% into the expected release of quarter results before the bell on December 3.

Express (EXPR) December 2 straddle priced for a move of 29% into the expected release of quarter results before the bell on December 3.

Kroger (KR) December weekly 33 straddle priced for a move of 6% into the expected release of quarter results before the bell on December 3.

Lands End (LE) December 25 straddle priced for a move of 23% into the expected release of quarter results before the bell on December 3.

PagerDuty (PD) December 140 straddle priced for a move of 16% into the expected release of quarter results after the bell on December 3.

Signet (SIG) December weekly 30.50 straddle priced for a move of 26% into the expected release of quarter results on December 3.

Smith & Wesson (SWBI) December 15 straddle priced for a move of 16% into the expected release of quarter results after the bell on December 3.

Ulta (ULTA) December weekly 280 straddle priced for a move of 7% into the expected release of quarter results after the bell on December 3.

Zumiez (ZUMZ) December 35 straddle priced for a move of 14% into the expected release of quarter results after the bell on December 3.

Zuora (ZUO) December 12 straddle priced for a move of 17% into the expected release of quarter results after the bell on December 3.

Options with decreasing option implied volatility: SPG WORK SNAP TWTR FCEL BLNK XPEV DB NTNX DKS
Increasing option volume: CX SNDL ARLO TSEM BB ELAN QS ARLO AXTA
Increasing unusual call option volume: CX SNDL ARLO BB SM AHT ITUB SNE XPEV
Increasing unusual put option volume: BB ELAN AR QS XPEV KNDI PE SBE IDEX
Increasing option volume: PLTR ZM VALE NKLA ACB INTC
Active options: AAPL NIO PFE TSLA AMD PLTR FB BB MRNA VALE ZM MSFT NKLA AMZN SNDL AAL QCOM MU ACB INTC
Global S&P Futures recently mixed, Nikkei mixed, DAX mixed, WTI Crude oil recently at $44.57, natural gas up mixed, gold at $1827 an ounce