Pre-Market IV Report February 16, 2021

Pre-Market IV Report February 16, 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: DNN IQ PSTH XSPA GTE RIOT CCIV PSTH BIDU AMRN VXRT MVIS CRON QUIK FIFT AMRN SUP

Stocks expected to have increasing option volume: PLTR QS SPCE PLTR DVN CVS A ZTS TWLO SHOO SAM ADI ROKU

QuantumScape (QS) February call option implied volatility is at 177, March is at 158; compared to its 52-week range of 76 to 232 into the expected release of quarter results today after the bell. Call put ratio 5.2 calls to 1 put.

Palantir (PLTR) February call option implied volatility is at 157, March is at 139; compared to its 52-week range of 59 to 174 into expected release of quarter results today after the bell.

Twitter (TWTR) February weekly call option implied volatility is at 47, February is at 57; compared to its 52-week range of 28 to 125 into a investor meeting on February 25. Call put ratio 1.6 calls to 1 put.

Zoom (ZM) 30-day option implied volatility is at 76; compared to its 52-week range of 51 to 137 into expected release of quarter results on March 1.

Option IV into WTI oil trades above $60, Natural Gas up 5%

United States Oil Fund (USO) 30-day option implied volatility is at 30;; compared to its 52-week range of 23 to 246 as WTI crude oil near four-month highs. Call put ratio 3.5 calls to 1 put amid WTI crude oil above $60.

Proshares Ultra DJ-UBS Crude Oil (UCO) 30-day option implied volatility is at 56; compared to its 52-week range of 48 to 366 as WTI crude oil trades above $60. 7 calls to 1 put.

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 38; compared to its 52-week range of 16 to 131 as WTI crude oil trades above $60. Call put ratio 3.2 calls to 1 put.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day option implied volatility is at 48; compared to its 52-week range of 32 to 190 as WTI crude oil trades above $60. Call put ratio 3.3 calls to 1 put.

United States Natural Gas (UNG) 30-day option implied volatility is at 47; compared to its 52-week range of 35 to 86 as US natural gas prices are up 5%.

Vroom (VRM) 30-day option implied volatility is at 87; compared to its 52-week range of 69 to 132. Call put ratio 15.8 calls to 1 put with focus on February 45 and 50 calls.

Churchill Capital Corp IV (CCIV) 30-day option implied volatility is at 243; compared to its 52-week range of 145 to 261. Call put ratio 4.3 calls to 1 put with focus on March calls.

Straddle prices into quarter releases

AutoNation (AN) February 80 straddle priced for a move of 7.5% into the expected release of quarter results today before the bell.

Advance Auto Parts (AAP) February 155 straddle priced for a move of 9% into the expected release of quarter results today before the bell.

CVS Health (CVS) February 74 straddle priced for a move of 5.5% into the expected release of quarter results today before the bell.

Ecolab (ECL) February 220 straddle priced for a move of 4% into the expected release of quarter results today before the bell.

Agilent (A) February 125 straddle priced for a move of 4.5% into the expected release of quarter results after the bell on February 16.

American International Group (AIG) February 41 straddle priced for a move of 3.5% into the expected release of quarter results after the bell on February 16.

Avis Budget (CAR) February 45 straddle priced for a move of 11% into the expected release of quarter results after the bell on February 16.

Boyd Gaming (BYD) February 55 straddle priced for a move of 9% into the expected release of quarter results after the bell on February 16.

Continental Resources (CLR) February 23 straddle priced for a move of 9% into the expected release of quarter results after the bell on February 16.

Devon Energy (DVN) February 20 straddle priced for a move of 8% into the expected release of quarter results after the bell on February 16.

Groupon (GRPN) February 35.50 straddle priced for a move of 16% into the expected release of quarter results on February 16.

Lattice Semiconductor (LSCC) February 50 straddle priced for a move of 10% into the expected release of quarter results after the bell on February 16.

Occidental Petroleum (OXY) February 25 straddle priced for a move of 8.5% into the expected release of quarter results after the bell on February 16.

Palantir (PLTR) February 32 straddle priced for a move of 18% into the expected release of quarter results on February 16.

Yandex (YNDX) February 74 straddle priced for a move of 6% into the expected release of quarter results on February 16.

Zoetis (ZTS) February 165 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on February 16.

QuantumScape (QS) February 55 straddle priced for a move of 18% into the expected release of quarter results on February 16.

Albemarle (ALB) February 165 straddle priced for a move of 7% into the expected release of quarter results after the bell on February 17.

Analog Devices (ADI) February 160 straddle priced for a move of 4.5% expected release of quarter) into the results before the bell on February 17.

Baidu (BIDU) February 315 straddle priced for a move of 11% into the expected release of quarter results after the bell on February 17.

Cheesecake Factory (CAKE) February 50 straddle priced for a move of 9% into the expected release of quarter results after the bell on February 17.

Fastly (FAST) February 47 straddle priced for a move of 3% into the expected release of quarter results after the bell on February 17.

Herbalife (HLF) February 56 straddle priced for a move of 10% into the expected release of quarter results after the bell on February 17.

Hilton (HLT) February 110 straddle priced for a move of 5% into the expected release of quarter results before the bell on February 17.

Hyatt (H) February 75 straddle priced for a move of 6% into the expected release of quarter results after the bell on February 17.

iQIYI (IQ) February 26.50 straddle priced for a move of 16% into the expected release of quarter results after the bell on February 17.

Marathon (MRO) February 9 straddle priced for a move of 9% into the expected release of quarter results after the bell on February 17.

Shopify (SHOP) February 1460 straddle priced for a move of 8% into the expected release of quarter results on February 17.

Sunpower (SPWR) February 50 straddle priced for a move of 16% into the expected release of quarter results on February 17.

Twilio (TWLO) February 435 straddle priced for a move of 9% into the expected release of quarter results after the bell on February 17.

Options with decreasing option implied volatility: LUMN BBBY GME AMC GLUU DIS GME FOLD CHGG UA YELP
Increasing option volume: DNN GSAT TRVG CLBS OTIC GTE
Increasing unusual call option volume: DNN GSAT TRVG CLBS GTE GDDY
Increasing unusual put option volume: MTDR SNDL FOLD ASHR MUR TRXC GSAT BKLN
Popular stocks with increasing volume: PLTR DIS GME RIOT QS AMC TLRY
Active options: TSLA AAPL SNDL TLRY AMD PLTR FSR NIO TWTR DIS INTC GE NVDA RIOT GME QS AMZN DNN AMC MSFT
Global S&P Futures recently mixed to higher, Nikkei up 1.2%, DAX mixed to lower, WTI Crude oil recently at $60, natural gas up 5.6%, gold at $1819 an ounce