Pre-Market IV Report February 26, 2021

Pre-Market IV Report February 26, 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: GME SIRI ENDP WKHS

Stocks expected to have increasing option volume: BYND DASH ABNB CRM SPCE TWTR FSLR ETSY NKLA DKNG

The ‘FANG’ stocks into last trading day of month

Facebook (FB) 30-day option implied volatility is at 39; compared to its 52-week range of 29 to 82.

Apple (AAPL) 30-day option implied volatility is at 41; compared to its 52-week range of 25 to 90.

Netflix (NFLX) 30-day option implied volatility is at 39; compared to its 52-week range of 33 to 99.

Alphabet (GOOG) 30-day option implied volatility is at 34; compared to its 52-week range of 24 to 75.

Amazon (AMZN) 30-day option implied volatility is at 36; compared to its 52-week range of 24 to 69.

Microsoft (MSFT) 30-day option implied volatility is at 35; compared to its 52-week range of 23 to 90.

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 23; compared to its 52-week range of 16 to 77.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 34; compared to its 52-week range of 21 to 79.

iShares Russell 2000 ETF (IWM) 30-day option implied volatility is at 36; compared to its 52-week range of 25 to 81.

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 45; compared to its 52-week range of 25 to 109. Call put ratio 9.4 calls to 1 put with focus on March weekly and March calls.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 22; compared to its 52-week range of 12 to 48. Call put ratio 1 call to 1.2 puts as shares sell off 1.8%

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 11; compared to its 52-week range of 6 to 53. Call put ratio 1 call to 4.8 puts.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 13; compared to its 52-week range of 6 to 75. Call put ratio 1 call to 7.4 puts with focus on March weekly 130 and 133 puts.

GameStop (GME) 30-day option implied volatility is at 416; compared to its 52-week range of 78 to 553.

Straddle prices into quarter releases next week

3D Systems (DDD) March weekly 36 straddle priced for a move of 17% into the expected release of quarter results after the bell on March 1.

Lemonade (LMND) March weekly 125 straddle priced for a move of 9% into the expected release of quarter results after the bell on March 1.

Nio (NIO) March weekly 47 straddle priced for a move of 19% into the expected release of quarter results after the bell on March 1.

Workhorse (WKHS) March weekly 19 straddle priced for a move of 28% into the expected release of quarter results before the bell on March 1.

Zoom Video (ZM) March weekly 365 straddle priced for a move of 15% into the expected release of quarter results after the bell on March 1.

Abercrombie (ANF) March weekly 27.50 straddle priced for a move of 14% into the expected release of quarter results on March 2.

Ambarella (AMBA) March weekly 113 straddle priced for a move of 13% into the expected release of quarter results after the bell on March 2.

AutoZone (AZO) March weekly 1160 straddle priced for a move of 7% into the expected release of quarter results before the bell on March 2.

Box (BOX) March 19 straddle priced for a move of 14% into the expected release of quarter results after the bell on March 2.

FuboTV (FUBO) March weekly 35 straddle priced for a move of 21% into the expected release of quarter results after the bell on March 2.

Hewlett Packard (HPE) March weekly 14.50 straddle priced for a move of 8 into the expected release of quarter results after the bell on March 2.

Kohls (KSS) March weekly 54.50 straddle priced for a move of 12% into the expected release of quarter results before the bell on March 2.

Ross Stores (ROST) March weekly 119 straddle priced for a move of 7 into the expected release of quarter results after the bell on March 2.

Target (TGT) March weekly 185 straddle priced for a move of 7.5 into the expected release of quarter results before the bell on March 2.

Urban (URBN) March weekly 35 straddle priced for a move of 12% into the expected release of quarter results after the bell on March 2.

American Eagle (AEO) March weekly 26 straddle priced for a move of 11% into the expected release of quarter results after the bell on March 3.

Dollar Tree (DLTR) March weekly 99 straddle priced for a move of 8% into the expected release of quarter results before the bell on March 3.

Options with decreasing option implied volatility: EBON CAN FLNT
Increasing option volume: DNN SOS ITP REI NYCB CRM SLV NSC TWTR
Increasing unusual call option volume: DNN SOS EBON GEO EXPR
Increasing unusual put option volume: EMB ASHR ZTO CAN
Popular stocks with increasing volume: GME NIO NVDA CCL
Active options: AAPL AMC TSLA PLTR GME NOK NIO TWTR AMD NVDA SNDL AMZN GE FB BAC BA MSFT BB CCL F
Global S&P Futures recently mixed to lower, Nikkei down 3.9%, DAX mixed, WTI Crude oil recently at $62.79, natural gas down 1.4%, gold at $1766 an ounce