Pre-Market IV Report December 7, 2021

Pre-Market IV Report December 7, 2021

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: SPCE ARDX NKE SQQQ FUTU NVAX PTON CHWT MTTR BTBT VXRT COUP

Stocks expected to have increasing option volume: INTC COUP MDP AZO

Intel (INTC) December weekly call option implied volatility is at 33, December is at 30; compared to its 52-week range of 21 to 46 into Intel confirms intent to take Mobileye public. Call put ratio 2.1 calls to 1 put.

Index IV ticks lower

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 20; compared to its 52-week range of 11 to 31 into Glaxo says its antibody drug works against Omicron.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 26; compared to its 52-week range of 14 to 35.

Russell 2000 ETF (IWM) 30-day option implied volatility is at 31; compared to its 52-week range of 18 to 37 into Glaxo says its antibody drug works against Omicron.

Tesla (TSLA) 30-day option implied volatility is at 72; compared to its 52-week range of 36 to 105.

Apple (AAPL) 30-day option implied volatility is at 29; compared to its 52-week range of 19 to 49.

Alibaba (BABA) 30-day option implied volatility is at 63; compared to its 52-week range of 24 to 83.

Technology Select Sector Spdr Fund (XLK) 30-day option implied volatility is at 26; compared to its 52-week range of 14 to 34 into GSK antibody treatment works on Omicron mutations, study shows.

ARK Innovation ETF (ARKK) 30-day option implied volatility is at 52; compared to its 52-week range of 28 to 71. Call put ratio 1 call to 1.7 puts.

Straddle prices for stocks expected to report quarterly results

Charge Point (CHPT) December weekly 20.50 straddle priced for a move of +/- 12% into the expected release of quarter results today after the bell.

Dave & Busters (PLAY) December weekly 32 straddle priced for a move of +/- 14% into the expected release of quarter results today after the bell.

Pager Duty (PD) December 30 straddle priced for a move of +/- 18% into the expected release of quarter results today after the bell.

Designer Brands (DBI) December 12.5 straddle priced for a move of +/- 19% into the expected release of quarter results today before the bell.

Stitch Fix (SFIX) December weekly 24 straddle priced for a move of +/- 22% into the expected release of quarter results after the bell on December 7.

Toll Brother (TOL) December weekly 71 straddle priced for a move of +/- 7.5% into the expected release of quarter results after the bell on December 7.

RH (RH) December weekly 565 straddle priced for a move of +/- 12% into the expected release of quarter results after the bell on December 8.

Campbell Soup (CPB) December weekly 41 straddle priced for a move of +/- 6% into the expected release of quarter results before the bell on December 8. Call put ratio 4.4 calls to 1 put.

GameStop (GME) December weekly170 straddle priced for a move of +/- 15% into the expected release of quarter results after the bell on December 8. Call put ratio 1.3 calls to 1 put.

Lovesac (LOVE) December 65 straddle priced for a move of +/- 16% into the expected release of quarter results before the bell on December 8.

Oracle (ORCL) December weekly 89 straddle priced for a move of +/- 6.5% into the expected release of quarter results after the bell on December 8.

National Beverage (FIZZ) December 50 straddle priced for a move of +/- 11% into the expected release of quarter results on December 8.

United Natural Foods (UNFI) December 50 straddle priced for a move of +/- 14.5% into the expected release of quarter results before the bell on December 8.

Reata Pharma (RETA) December call option implied volatility is at 200, January is at 170; compared to its 52-range of 51 to 304 after the FDA posted the documents ahead of an advisory committee meeting on Wednesday for (RETA) kidney disease treatment. Call put ratio 3.4 calls to 1 put.

BELLUS Health Inc (BLU) December call option implied volatility is at 500, January is at 230; compared to its 52-week range of 79 to 314 into Phase 2b SOOTHE study of BLU-5937 in refractory chronic cough.

Options with decreasing option implied volatility: RBLX TTD PTON BKKT DOCU TACO GRAB
Increasing unusual option volume: GES DOMO RETA FINV
Increasing unusual call option volume: GES FINV DOMO ARDX
Increasing unusual put option volume: QFIN INDA OLLI RSX
Popular stocks with increasing volume: CCL MRNA INTC UBER
Active options: AAPL TSLA NVDA AMD LCID BABA F NIO AAL AMC PFE DIS FB MSFT PLTR CCL AMZN MRNA INTC UBER
Global S&P Futures up 1.1%, Nikkei up 1.9%, DAX up 1.8%, WTI Crude oil recently at $71, natural gas up 3%, gold at $1779 an ounce