Pre-Market IV Report March 22, 2021

Pre-Market IV Report March 22, 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: KODK HYG BFT IDEX UWMC TME CLVS CLOV UPST

Stocks expected to have increasing option volume: GME ADBE GIS HIG CB KSU HON PENN CZR NXPI GNRC CNI CSX NSC GWR TUR TKC RSX

iShares MSCI Turkey ETF (TUR) 30-day call option implied volatility is at 36; compared to its 52-week range of 37 to 88 into Turkish lira tumbled towards a record low against the dollar.

GameStop (GME) 30-day option implied volatility is at 277; compared to its 52-week range of 78 to 554 into the expected release of quarter results on March 23.

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 38; compared to its 52-week range of 34 to 128. Call put ratio 3.1 calls to 1 put.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day option implied volatility is at 51; compared to its 52-week range of 41 to 190.

Canadian Pacific (CP) April call option implied volatility is at 22, May is at 23; compared to its 52-week range of 22 to 82 into Canadian Pacific and Kansas City Southern (KSU) agree to combine to create the first U.S.-Mexico-Canada rail network. Call put ratio 1 call to 2.6 puts.

Kansas City Southern (KSU) March weekly call option implied volatility is at 26, April is at 27; compared to its 52-week range of 26 to 80. Call put ratio 3.4 calls to 1 put with focus on April 240 calls.

Upstart Holdings (UPST) 30-day option implied volatility is at 141; compared to its 52-week range 107 to 178. Call put ratio 1 call to 1 put after sharp rally.

Par Pacific (PARR) call put ratio 68 calls to 1 put with focus on June 17.50 and 20 calls
Rackspace Technology (RXT) call put ratio 11 calls to 1 put with focus on March 25 calls

Straddle prices for stocks expected to report quarterly results this week

At Home Group (ATHM) April 100 straddle priced for a move of 11% into the expected release of quarter results after the bell on March 23

GameStop (GME) March weekly 200 straddle priced for a move of 36% into the expected release of quarter results after the bell on March 23

Steelcase (SCS) April 16 straddle priced for a move of 19% into the expected release of quarter results after the bell on March 23

General Mills (GIS) April 60 straddle priced for a move of 6% into the expected release of quarter results before the bell on March 24

GrowGeneration (GRWG) March weekly 55 straddle priced for a move of 21% into the expected release of quarter results on March 24

H.B. Fuller (FUL) April 60 straddle priced for a move of 9% into the expected release of quarter results after the bell on March 24

KB Home (KBH) April 44 straddle priced for a move of 12% into the expected release of quarter results after the bell on March 24

RH (RH) March weekly 515 straddle priced for a move of 14% into the expected release of quarter results after the bell on March 24

Winnebago (WGO) April 80 straddle priced for a move of 12% into the expected release of quarter results before the bell on March 24

Darden Restaurants (DRI) April 140 straddle priced for a move of 10% into the expected release of quarter results before the bell on March 25

Riot Blockchain (RIOT) March weekly 61 straddle priced for a move of 21% into the expected release of quarter results before the bell on March 26

UP Fintech (TIGR) April 20 straddle priced for a move of 30% into the expected release of quarter results before the bell on March 26

Options with decreasing option implied volatility: OCGN CCIV WKHS TLRY RKT GPRO
Increasing option volume: FINV QD UPST DNN CSTM ZTO HUM PARR GEVO RXT
Increasing unusual call option volume: HUN CLVS DNN RXT GFI
Increasing unusual put option volume: QD CLVS SOXL SOS
Popular stocks with increasing volume: BAC GE AAL GME PLTR
Active options: AAPL TSLA FB NIO PLTR BAC AMC AMD GME F AMZN WFC SNAP T CLVS BABA BA GE MSFT AAL
Global S&P Futures recently mixed, Nikkei down 2%, DAX mixed, WTI Crude oil recently at $60.86, natural gas down 1%, gold at $1729 an ounce