Pre-Market IV Report February 17, 2021

Pre-Market IV Report February 17, 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 PSTH XSPA LAZR KERN HEXO FSR HYLN IQ FUTU PSTH CAN EBON RIOT

Stocks expected to have increasing option volume: CVX VZ JPM WFC QS ROKU SAM AIG TBT TLT

Options active amid interest rates ticking up

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TLT) 30-day option implied volatility is at 16; compared to its 52-week range of 12 to 48. Call put ratio 1 call to 2.5 puts.

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 34; compared to its 52-week range of 23 to 109. Call put ratio 9.9 calls to 1 put with focus on March 21 and 22 calls.

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 7; compared to its 52-week range of 6 to 53. Call put ratio 1 call to 5.5 puts.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 8; compared to its 52-week range of 5 to 75. Call put ratio 1 call to 4.9 puts.

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 7; compared to its 52-week range of 6 to 60. Call put ratio 1 call to 11.8 puts.

Crypto stocks

Microstrategy, Inc. (MSTR) 30-day option implied volatility is at 137; compared to its 52-week range of 24 to 153. Call put ratio 2.1 calls to 1 put.

Marathon Patent Group (MARA) 30-day option implied volatility is at 227; compared to its 52-week range of 139 to 475.

Riot Blockchain (RIOT) 30-day option implied volatility is at 249; compared to its 52-week range of 98 to 274. Call put ratio 1.4 calls to 1 put.

Option IV into WTI oil trades above $60

Marathon Oil (MRO) 30-day option implied volatility is at 82; compared to its 52-week range of 29 to 268 into the expected release of quarter results and outlook.

Antero Resources (AR) 30-day option implied volatility is at 103; compared to its 52-week range of 79 to 223. Call put ratio 9 calls to 1 put with focus on March 10 calls.

Occidental Petroleum (OXY) 30-day option implied volatility is at 75; compared to its 52-week range of 26 to 202. Call put ratio 3.9 calls to 1 put.

Laredo Petroleum (LPI) 30-day option implied volatility is at 110; compared to its 52-week range of 63 to 376. Call put ratio 5.6 calls to 1 put.

Murphy Oil (MUR) 30-day option implied volatility is at 71; compared to its 52-week range of 40 to 213. Call put ratio 4.9 calls to 1 put.

Diamondback Energy (FANG) 30-day option implied volatility is at 71; compared to its 52-week range of 37 to 211.

Devon Energy (DVN) 30-day option implied volatility is at 71; compared to its 52-week range of 42 to 212 amid WTI crude oil above $60. Call put ratio 4.9 calls to 1 put into the expected release of quarter Q4 EPS of 0 cents.

Straddle prices into quarter releases

Boston Beer Co. (SAM) February 1170 straddle priced for a move of 10% into the expected release of quarter results today after the bell.

Albemarle (ALB) February 160 straddle priced for a move of 7% into the expected release of quarter results today after the bell.

Analog Devices (ADI) February 160 straddle priced for a move of 4% expected release of quarter) into the results today before the bell.

Baidu (BIDU) February 325 straddle priced for a move of 7.5% into the expected release of quarter results today.

Cheesecake Factory (CAKE) February 50 straddle priced for a move of 8.5% into the expected release of quarter results today after the bell.

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

Hilton (HLT) February 110 straddle priced for a move of 4% into the expected release of quarter results today before the bell.

Hyatt (H) February 80 straddle priced for a move of 6% into the expected release of quarter results today after the bell.

iQIYI (IQ) February 25 straddle priced for a move of 14% into the expected release of quarter results today after the bell.

Marathon (MRO) February 9.5 straddle priced for a move of 9% into the expected release of quarter results today after the bell.

Shopify (SHOP) February 1470 straddle priced for a move of 8% into the expected release of quarter results today.

Sunpower (SPWR) February 46 straddle priced for a move of 16% into the expected release of quarter results today.

Twilio (TWLO) February 420 straddle priced for a move of 8.5% into the expected release of quarter results today after the bell.

Wingstop (WING) February straddle priced for a move of % into the expected release of quarter results today before the bell.

Wix.com (WIX) February straddle priced for a move of % into the expected release of quarter results today before the bell.

Roku (ROKU) February 470 straddle priced for a move of 12.5% into the expected release of quarter results after the bell on February 18.

Applied Material (AMAT) February 120 straddle priced for a move of 4% into the expected release of quarter results after the bell on February 18.

Barrick Gold (GOLD) February 21.50 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on February 18.

Blue Apron (APRN) February 11 straddle priced for a move of 26% into the expected release of quarter results before the bell on February 18.

Dropbox (DBX) February straddle priced for a move of 11% into the expected release of quarter results after the bell on February 18.

Hormel (HRL) February 47 straddle priced for a move of 4% into the expected release of quarter results before the bell on February 18.

Marriott (MAR) February 130 straddle priced for a move of 4% into the expected release of quarter results before the bell on February 18.

Melco Resorts (MLCO) February 18 straddle priced for a move of 5% into the expected release of quarter results on February 18.

Newmont (NEM) February 58 straddle priced for a move of 4% into the expected release of quarter results before the bell on February 18.

Norwegian Cruise Line (NCLH) February 25 straddle priced for a move of 6% into the expected release of quarter results before the bell on February 18.

Trip Advisor (TRIP) February 37 straddle priced for a move of 8% into the expected release of quarter results after the bell on February 18.

Walmart (WMT) February 147 straddle priced for a move of 4% into the expected release of quarter results before the bell on February 18.

Cboe Global Markets (CBOE) 30-day option implied volatility is at 34; compared to its 52-week range of 19 to 64. Call put ratio 6.1 calls to 1 put.

Generac Holdings (GNRC) 30-day option implied volatility is at 50; compared to its 52-week range of 29 to 100 amid shares near record high.

Options with decreasing option implied volatility: BB BBBY GME AMC GLUU FOLD GME GPRO GLUU
Increasing option volume: SOS DNN ITP GSAT AGTC TIP TRVG AN CBOE GNRC LVS
Increasing unusual call option volume: DNN SOS GSAT ULTA AGTC TRVG OTIC GDDY AMTX
Increasing unusual put option volume: DNN ZTO STPK BLUE EXPR TRXC SNDL
Popular stocks with increasing volume: AMC TWTR TLRY PLTR CCL
Active options: AAPL PLTR SNDL TSLA NIO CCIV DNN MSFT AMD TLRY SOS FB CCL BAC T TWTR AMC BABA RIOT GME
Global S&P Futures recently mixed, Nikkei mixed to lower, DAX mixed to lower, WTI Crude oil recently at $60.37, natural gas down 1.2%, gold at $1785 an ounce