Pre-Market IV Report November 26, 2021

Pre-Market IV Report November 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: RLX CRM ORCL HTZ PDD CHWY DWAC INO HOOD BENE VNE

Stocks expected to have increasing option volume: SPY QQQ RUT IWM AAL DAL UAL LUV USO RCL NCLH CCL MAR HLT BKNG ABNB BA

Stocks and oil lower in early premarket amid reports of a new COVID variant detected in South Africa.

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 15; compared to its 52-week range of 11 to 31.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 20; compared to its 52-week range of 14 to 35.

iShares Russell 2000 ETF (IWM) 30-day option implied volatility is at 23; compared to its 52-week range of 18 to 38.

United States Oil Fund (USO) 30-day option implied volatility is at 33; compared to its 52-week range of 28 to 46 into reports of a new COVID variant detected in South Africa.

Airliner option IV ticks higher

American Airlines (AAL) 30-day option implied volatility is at 44; compared to its 52-week range of reports of 39 to 117 into reports of a new COVID variant detected in South Africa.

Delta Air Lines (DAL) 30-day option implied volatility is at 39; compared to its 52-week range of 32.

Southwest Airlines (LUV) 30-day option implied volatility is at 37; compared to its 52-week range of reports of 28 to 55.

United Airlines (UAL) 30-day option implied volatility is at 45; compared to its 52-week range of 37 to 71.

Boeing (BA) 30-day option implied volatility is at 37; compared to its 52-week range of reports of 29 to 55 into reports of a new COVID variant detected in South Africa.

Carnival Corp. (CCL) 30-day option implied volatility is at 53; compared to its 52-week range of 41 to 91 into reports of a new COVID variant detected in South Africa.

Royal Caribbean (RCL) 30-day option implied volatility is at 42; compared to its 52-week range of 36 to 78.

Norwegian Cruise Line (NCLH) option implied volatility is at 53; compared to its 52-week range of 45 to 108.

ARK Innovation (ARKK) 30-day option implied volatility is at 41; compared to its 52-week range of 28 to 71. Call put ratio 1 call to 1 put.

Straddle prices for stocks expected to report quarterly results

Ambarella (AMBA) December weekly 180 straddle priced for a move of +/- 14% into the expected release of quarter results after the bell on November 30.

Box (BOX) December 24 straddle priced for a move of +/- 9.5% into the expected release of quarter results after the bell on November 30.

Hewlett Packard (HPE) December weekly 15 straddle priced for a move of +/- 8% into the expected release of quarter results after the bell on November 30.

NetApp (NTAP) December weekly 90 straddle priced for a move of +/- 8% into the expected release of quarter results after the bell on November 30.

Salesforce (CRM) December weekly 290 straddle priced for a move of +/- 7% into the expected release of quarter results after the bell on November 30.

Zscaler (ZS) December weekly 340 straddle priced for a move of +/- 13% into the expected release of quarter results after the bell on November 30.

C3.ai.com (AI) December 40 straddle priced for a move of +/- 17% into the expected release of quarter results after the bell on December 1. Call put ratio 4 calls to 1 put.

Options with decreasing option implied volatility: PTON BKKT SNAP SONO BTBT RKLB
Increasing unusual option volume: TUR EWW AVYA COMM
Increasing unusual call option volume: COMM HTZ EWW NRG CTIC
Increasing unusual put option volume: UMC IVV EWW GOGO EWW
Popular stocks with increasing volume: RBLX ZM DIS SOFI
Active options: TSLA AAPL NVDA AMD F LCID FB PLTR AMZN AMC BAC NIO BABA RBLX MSFT ZM MU XPEV DIS SOFI
Global S&P Futures down 1.2%, Nikkei down 2.5%, DAX down 3.2%, WTI Crude oil recently at $73.86, natural gas up 1.6%, gold at $1802 an ounce