Pre-Market IV Report March 26, 2021

Pre-Market IV Report March 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: FNKO GNUS MRK EFA GSX TME KWEB RLX BIDU FSR PRPB MAT VIPS

Stocks expected to have increasing option volume: NKE GME RIOT BLNK TIGR

RH (RH) option implied volatility near lower end of range as shares at record high

RH (RH) March weekly call option implied volatility is at 51, April is at 45; compared to its 52-week range of 44 to 136 after quarter results.

Momentum stock option implied volatility into weekly expiration and end of quarter

Roblox (RBLX) 30-day option implied volatility is at 80; compared to its 52-week range of 72 to 131. Call put ratio 2.7 calls to 1 put.

Unity Software Inc. (U) 30-day option implied volatility is at 58; compared to its 52-week range of 58 to 112.

Live Nation Entertainment (LYV) 30-day option implied volatility is at 43; compared to its 52-week range of 41 to 154.

Opendoor (OPEN) 30-day option implied volatility is at 95; compared to its 52-week range of 84 to 177. Call put ratio 1 call to 3.4 puts.

Zillow (Z) 30-day option implied volatility is at 61; compared to its 52-week range of 50 to 158. Call put ratio 2.2 calls to 1 put.

Jumia Technologies (JMIA) 30-day option implied volatility is at 104; compared to its 52-week range of 92 to 216.

Sutter Rock Capital (SSSS) 30-day option implied volatility is at 58; compared to its 52-week range of 44 to 115.

Phoenix New Media (FENG) 30-day option implied volatility is at 246; compared to its 52-week range of 37 to 457. Call put ratio 13 to 1 amid sharp share price movement.

Airline option implied volatility is low amid shares have doubled since Warren Buffett disclosed last May that his company no longer owned airline shares.

American Airlines (AAL) 30-day option implied volatility is at 61; compared to its 52-week range of 59 to 204. Options active on 269K contracts.

Delta Air Lines (DAL) 30-day option implied volatility is at 43; compared to its 52-week range of 43 to 157. Options active on 69K contracts.

Southwest Airlines (LUV) 30-day option implied volatility is at 41; compared to its 52-week range of 39 to 122.

United Airlines (UAL) 30-day option implied volatility is at 56; compared to its 52-week range of 51 to 174. Options active on 80K contracts.

Straddle prices into release of quarter results next week

Affirmed (AFMD) April 7.5 straddle priced for a move of 23% into the expected release of quarter results on March 29

Cal Maine Foods (CALM) April 40 straddle priced for a move of 9% into the expected release of quarter results before the bell on March 29

BlackBerry (BB) April weekly 10 straddle priced for a move of 18% into the expected release of quarter results on March 30

Chewy (CHWY) April weekly 79 straddle priced for a move of 15% into the expected release of quarter results after the bell on March 30

Lululemon (LULU) April 305 straddle priced for a move of 8% into the expected release of quarter results on after the bell on March 30

McCormick (MKC) April 90 straddle priced for a move of 7% into the expected release of quarter results on before the bell on March 30

PVH (PVH) April 100 straddle priced for a move of 13% into the expected release of quarter results after the bell on March 30

Dave & Busters (PLAY) April weekly 48 straddle priced for a move of 13% into the expected release of quarter results on March 31

Micron (MU) April weekly 84 straddle priced for a move of 7% into the expected release of quarter results after the bell on March 31

Walgreens Boots Alliance (WBA) April weekly 52 straddle priced for a move of 5% into the expected release of quarter results on March 31

CarMax (KMX) April weekly 130 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on April 1

Options with decreasing option implied volatility: TLRY WKHS CCIV RKT XNET KERN CRIS EBON
Increasing unusual option volume: FENG KWEB AMLP FNKO BOX FINV FENG MS BIIB
Increasing unusual call option volume: FENG AMLP FNKO BOX HOG DRI JEF RH
Increasing unusual put option volume: TME KWEB STNE VIPS RLX
Popular stocks with increasing volume: VIAC PLTR SNAP RIOT NKE
Active options: AAPL TSLA NIO AMC PLTR GME BA FB AMD MSFT AAL SNAP AMZN RIOT F BAC INTC GE BABA VIAC
Global S&P Futures recently higher, Nikkei up 1.5%, DAX unchanged, WTI Crude oil recently at $59.65, natural gas mixed, gold at $1725 an ounce