Pre-Market IV Report December 7, 2020

Pre-Market IV Report December 7, 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: UPP GME GILD LAZR NKE QS SNOW RIOT MRNA

Stocks expected to have increasing option volume: SBUX DIS SFIX JKS TOL COUP

Straddle prices for stocks expected to report quarterly results next week

Coupa Software (COUP) December weekly 320 straddle priced for a move of 12% into the expected release of quarter results after the bell on December 7.

JinkoSolar (JKS) December weekly 60 straddle priced for a move of 19% into the expected release of quarter results on December 7.

Stitch Fix (SFIX) December weekly 35.50 straddle priced for a move of 13% into the expected release of quarter results after the bell on December 7.

Toll Brothers (TOL) December weekly 48 straddle priced for a move of 7% into the expected release of quarter results after the bell on December 7.

AutoZone (AZO) December weekly 1160 straddle priced for a move of 5% into the expected release of quarter results before the bell on December 8.

H&R Block (HRB) December 18 straddle priced for a move of 8% into the expected release of quarter results before the bell on December 8.

Chewy (CHWY) December weekly 75 straddle priced for a move of 13% into the expected release of quarter results after the bell on December 8.

GameStop (GME) December weekly 17 straddle priced for a move of 24% into the expected release of quarter results after the bell on December 8.

Guidewire Software (GWRE) December 130 straddle priced for a move of 8% into the expected release of quarter results after the bell on December 8.

Adobe (ADBE) December weekly 485 straddle priced for a move of 3.5% into the expected release of quarter results after the bell on December 9.

Campbell Soup (CPB) December weekly 48.50 straddle priced for a move of 6% into the expected release of quarter results before the bell on December 9.

Lovesac (LOVE) December 35 straddle priced for a move of 24% into the expected release of quarter results before the bell on December 9.

nCino (NCNO) December weekly 85 straddle priced for a move of 12% into the expected release of quarter results after the bell on December 9.

RH (RH) December weekly 467 straddle priced for a move of 13% into the expected release of quarter results after the bell on December 9.

United Natural Foods (UNFI) December 17.50 straddle priced for a move of 14% into the expected release of quarter results before the bell on December 9.

Broadcom (AVGO) December weekly 410 straddle priced for a move of 6% into the expected release of quarter results after the bell on December 10.

CIena (CIEN) December weekly 47 straddle priced for a move of 10% into the expected release of quarter results before the bell on December 10.

Costco (COST) December weekly 375 straddle priced for a move of 3.5% into the expected release of quarter results on December 10.

lululemon athletica (LULU) December weekly 377.5 straddle priced for a move of 8% into the expected release of quarter results after the bell on December 10.

Oracle (ORCL) December weekly 60 straddle priced for a move of 4.5% into the expected release of quarter results on December 10.

IV into analyst and investor days

CenterPoint Energy (CNP) 30-day option implied volatility is at 30; compared to its 52-week range of 20 to 115 into hosting a virtual analyst day on December 7.

SL Green Realty (SLG) 30-day option implied volatility is at 55; compared to its 52-week range of 16 to 125 into virtual investor meeting on December 7.

Enbridge (ENB) 30-day option implied volatility is at 28; compared to its 52-week range of 13 to 107 into hosting a virtual investor meeting on December 8.

Secureworks (SCWX) 30-day option implied volatility is at 57; compared to its 52-week range of 42 to 152 into hosting a virtual investor day on December 8.

Syneos Health (SYNH) 30-day option implied volatility is at 54; compared to its 52-week range of 30 to 156 into hosting a virtual analyst and investor meeting on December 8.

H&R Block (HRB) 30-day option implied volatility is at 19 to 111; compared to its 52-week range of 19 to 110 into hosting a virtual investor day on December 8.

Salesforce (CRM) 30-day option implied volatility is at 40; compared to its 52-week range of 19 to 97 into hosting a virtual investor day on December 8.

Lowes (LOW)30-day option implied volatility is at 27; compared to its 52-week range of 18 to 129 into an investor meeting on December 9.

Options with decreasing option implied volatility: JPM SPLK TWTR WORK
Increasing option volume: LAZR SNDL BBD TSEM NLSN
Increasing unusual call option volume: SNDL LAZR PAGP NOV CX EWY BB
Increasing unusual put option volume: BBD OLLI ZUO EWY NLSN QS XPEV
Increasing option volume: ZNGA INTC SNOW CRM
Active options: AAPL TSLA NIO AMD AAL PLTR FSLY ACB GE BA WFC AMZN PFE MU ZNGA SNOW CRM MSFT BABA INTC
Global S&P Futures recently mixed to lower, Nikkei mixed to lower, DAX mixed to lower, WTI Crude oil recently at $46.69, natural gas mixed, gold at $1834 an ounce