Pre-Market IV Report March 2, 2021

Pre-Market IV Report March 2, 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: FSR PSTH XL IPOF CCL HYG BIDU PDD VTRS CLOV GME

Stocks expected to have increasing option volume: ZM LMND NIO DDD MIK TGT KSS ROST TJX ORCL DDD NIO ANF AEO BYND

Option implied volatility for Utilities amid indications of inflation

Xcel Energy (XEL) 30-day option implied volatility is at 27; compared to its 52-week range of 21 to 83

Consolidated Edison (EIX) 30-day option implied volatility is at 31; compared to its 52-week range of 26 to 94

FirstEnergy (FE) 30-day option implied volatility is at 30; compared to its 52-week range of 26 to 110

NRG Energy (NRG) 30-day option implied volatility is at 44; compared to its 52-week range of 27 to 134

Southern Energy (SO) 30-day option implied volatility is at 23; compared to its 52-week range of 22 to 92.

CenterPoint Energy (CNP) 30-day option implied volatility is at 32; compared to its 52-week range of 27 to 115
Evergy (EVRG) 30-day option implied volatility is at 30; compared to its 52-week range of 20 to 83

Sempra Energy (SRE) 30-day option implied volatility is at 27; compared to its 52-week range of 24 to 86

Utilities Sel Sect Spdr Fd (XLU) 30-day option implied volatility is at 22; compared to its 52-week range of 15 to 86

Exxon (XOM) March weekly call option implied volatility is at 45, March is at 40; compared to its 52-week range of 31 to 111 into a company hosted virtual investor day on March 3. Call put ratio 4.8 calls to 1 put.

Anthem (ANTM) March weekly call option implied volatility is at 30, March is at 29; compared to its 52-week range of 28 to 97 into a company hosted virtual investor day on March 3.

Straddle prices into quarter releases this week

Abercrombie (ANF) March weekly 27.50 straddle priced for a move of 13% into the expected release of quarter results today.

Ambarella (AMBA) March weekly 119 straddle priced for a move of 13% into the expected release of quarter results today after the bell.

AutoZone (AZO) March weekly 1170 straddle priced for a move of 5.5% into the expected release of quarter results today before the bell.

Box (BOX) March 19 straddle priced for a move of 13% into the expected release of quarter results today after the bell.

FuboTV (FUBO) March weekly 39 straddle priced for a move of 15% into the expected release of quarter results today after the bell.

Hewlett Packard (HPE) March weekly 14.50 straddle priced for a move of 6% into the expected release of quarter results today after the bell.

Kohls (KSS) March weekly 57 straddle priced for a move of 10% into the expected release of quarter results today before the bell.

Ross Stores (ROST) March weekly 120 straddle priced for a move of 8% into the expected release of quarter results today after the bell.

Target (TGT) March weekly 185 straddle priced for a move of 6% into the expected release of quarter results today before the bell.

Urban (URBN) March weekly 34 straddle priced for a move of 10% into the expected release of quarter results today after the bell.

American Eagle (AEO) March weekly 26 straddle priced for a move of 8% 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 7% into the expected release of quarter results before the bell on March 3.

Kroger (KR) March weekly 33 straddle priced for a move of 6% into the expected release of quarter results on March 4.

Costco (COST) March weekly 332 straddle priced for a move of 3.5% into the expected release of quarter results on March 4.

Options with decreasing option implied volatility: TLRY NOK BBBY AMC EXPR XNET EBON FLNT
Increasing option volume: DNN SOS NRG
Increasing unusual call option volume: DNN SOS APPH NRG
Increasing unusual put option volume: SOS IEF FL STNE
Popular stocks with increasing volume: XOM WKHS F AAL RKT
Active options: AAPL AMC TSLA PLTR NIO GME DKNG RKT AAL FB NOK BA GE XOM CCL SOS AMD T WKHS F
Global S&P Futures recently down 0.5%, Nikkei down 0.8%, DAX mixed to lower, WTI Crude oil recently at $59.95, natural gas mixed, gold at $1721 an ounce