Pre-Market IV Report May 6, 2021

Pre-Market IV Report May 6, 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: ATOS UBER LYFT SQ ATOS ZNGA RKT HYG SNDL CLOV MUDS ZNGA UXIN NVAX PTON ETSY FSLY MRNA ZM INO

Stocks expected to have increasing option volume: PYPL UBER MRNA HLT BKNG SQ CZR EXPD BWA SQ VIAC ETSY FSLY WYNN MELI HOME

Vaccine stocks IV after reports U.S. supports waiver of vaccine-patent protections at WTO

Moderna (MRNA) May weekly call option implied volatility is at 138, May is at 83; compared to its 52-week range of 58 to 137 after reports U.S. supports waiver of vaccine-patent protections at WTO.

Pfizer (PFE) May weekly call option implied volatility is at 34, May is at 23; compared to its 52-week range of 18 to 61 after reports U.S. supports waiver of vaccine-patent protections at WTO. Call put ratio 4.6 calls to 1 put.

BioNTech SE (BNTX) May weekly call option implied volatility is at 87, May is at 93; compared to its 52-week range of 52 to 185 after reports U.S. supports waiver of vaccine-patent protections at WTO.

Novavax (NVAX) May weekly call option implied volatility is at 160, May is at 125; compared to its 52-week range of 83 to 174 after reports U.S. supports waiver of vaccine-patent protections at WTO.

Energy stocks IV amid WTI oil near 52-week highs

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day option implied volatility is at 44; compared to its 52-week range of 41 to 80.

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 31; compared to its 52-week range of 29 to 62. Call put ratio 3.4 calls to 1 put.

EOG Resources (EOG) 30-day option implied volatility is a 44; compared to its 52-week range of 42 to 77.

Diamondback Energy (FANG) 30-day option implied volatility is at 55; compared to its 52-week range of 55 to 102

Schlumberger Ltd. (SLB) 30-day option implied volatility is at 42; compared to its 52-week range of 40 to 83. Call put ratio 11 calls to 1 put with focus on August calls.

Halliburton (HAL) 30-day option implied volatility is at 45; compared to its 52-week range of 43 to 92. Call put ratio 3.6 calls to 1 put.

IV movers

Peloton (PTON) 30-day option implied volatility is at 79; compared to its 52-week range of 59 to 149. Call put ratio 1 call to 1.5 puts amid recall headlines into quarter results.

ARK Innovation (ARKK) 30-day option implied volatility is at 49; compared to its 52-week range of 18 to 71. Call put ratio 1 call to 1.7 puts with focus on May and June puts.

ARK Next Generation (ARKW) 30-day option implied volatility is at 44; compared to its 52-week range of 30 to 67. Call put ratio 1.1 calls to 1 put.

ARK Autonomous Technology and Robotics (ARKQ) 30-day option implied volatility is at 39; compared to its 52-week range of 31 to 81. Call put ratio 1.1 calls to 1 put.

ARK Fintech Innovation (ARKF) 30-day option implied volatility is at 34; compared to its 52-week range of 30 to 107. Call put ratio 2.4 calls to 1 put.

Take-Two Interactive Software (TTWO) 30-day option implied volatility is at 38; compared to its 52-week range of 28 to 51.

Amazon (AMZN) 30-day option implied volatility is at 26; compared to its 52-week range of 24 to 64 into reports of Bezos share sales.

MercadoLibre (MELI) 30-day option implied volatility is at 50; compared to its 52-week range of 40 to 77 into quarter results.

At Home Group (HOME) May call option implied volatility is at 61, June is at 72; compared to its 52-week range of 64 to 187 into headlines.

Straddle prices into the expected release of quarter results this week

AMC Entertainment (AMC) May weekly 9 straddle priced for a move of +/- 10% into the expected release of quarter results today after the bell.

Beyond Meat (BYND) May weekly 122 straddle priced for a move of +/- 10% into the expected release of quarter results today

Blue Apron (APRN) May 6 straddle priced for a move of +/- 21% into the expected release of quarter results today before the bell.

Carvana (CVNA) May weekly 290 straddle priced for a move of +/- 9% into the expected release of quarter results today after the bell.

Datadog (DDOG) May weekly 77 straddle priced for a move of +/- 9% into the expected release of quarter results today after the bell.

Dropbox (DBX) May weekly 25 straddle priced for a move of +/- 8% into the expected release of quarter results today after the bell.

Expedia (EXPE) May weekly 170 straddle priced for a move of +/- 6% into the expected release of quarter results today after the bell.

GoPro (GPRO) May weekly 10.50 straddle priced for a move of +/- 12% into the expected release of quarter results today after the bell.

Groupon (GRPN) May weekly 51 straddle priced for a move of +/- 14% into the expected release of quarter results today.

Hain Celestial (HAIN) May 41 straddle priced for a move of +/- 8% into the expected release of quarter results today before the bell.

JFrog (FROG) May weekly 45 straddle priced for a move of +/- 13% into the expected release of quarter results today after the bell.

Kellogg (K) May 62.50 straddle priced for a move of +/- 4.5% into the expected release of quarter results today before the bell.

Magna (MGA) May 92.50 straddle priced for a move of +/- 8% into the expected release of quarter results today.

McKesson (MCK) May weekly 190 straddle priced for a move of +/- 4% into the expected release of quarter results today after the bell

Moderna (MRNA) May weekly 162.5 straddle priced for a move of +/- 9% into the expected release of quarter results today before the bell.

Papa Johns (PZZA) May weekly 94 straddle priced for a move of +/- 6% into the expected release of quarter results today before the bell.

Roku (ROKU) May weekly 305 straddle priced for a move of +/- 9% into the expected release of quarter results today

Square (SQ) May weekly 230 straddle priced for a move of +/- 7% into the expected release of quarter results today after the bell.

TripAdvisor (TRIP) May weekly 46 straddle priced for a move of +/- 8% into the expected release of quarter results today after the bell.

Viacom (VIAC) May weekly 39 straddle priced for a move of +/- 8% into the expected release of quarter results today.

Wayfair (W) May weekly 270 straddle priced for a move of +/- 11% into the expected release of quarter results today before the bell.

Cigna (CI) May weekly 257 straddle priced for a move of +/- 3% into the expected release of quarter results before the bell on May 7.

Options with decreasing option implied volatility: GME EBAY GSX TME VIAC DISCA
Increasing unusual option volume: JWN EGHT MAT MPLX EQT ATNX EWJ IBIO BGFV MMP
Increasing unusual call option volume: EQT MPLX MMP IBIO BP
Increasing unusual put option volume: ZNGA HIMX SABR PBI PFE PTON BHC Z VXRT MTCH IBB ISRG UBER LYFT ATVI HOG UPS MRNA OCGN
Popular stocks with increasing volume: F BP GM RKT PFE
Active options: PFE AAPL TSLA UBER PTON AMD FCX AMZN NIO FB F PLTR XOM BP T MSFT GM BAC RKT BA
Global S&P Futures recently mixed in the premarket, Nikkei up 1.8%, DAX mixed, WTI Crude oil recently at $65.72, natural gas mixed, gold at $1794 an ounce

VIX Futures Premium: 8%. Combined volume weighted VIX Futures premium for first and second months.