Pre-Market IV Report November 27, 2020

Pre-Market IV Report November 27, 2020

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: ASAN VOD DB PLTR SBE CODX XPEV QRTEA VOD OCSL PLTR MESO INO MPLN

Stocks expected to have increasing option volume: WORK CRM ASAN PLUG FCEL BLDP CCL NCLH RCL AAL UAL DAL LUV TSLA NKLA RIDE WKHS NIO LI FSR

Zoom Video Communications (ZM) November weekly call option implied volatility is at 41, December is at 116; compared to its 52-week range of 35 to 136 into the expected release of quarter results after the bell on November 30.

Option volume and IV amid reports of Salesforce (CRM) takeover talks with Slack (WORK)

Slack (WORK) November weekly call option implied volatility is at 112, December is at 87; compared to its 52-week range of 45 to 150 after reports of Salesforce (CRM) takeover talks. Call put ratio 2.7 calls to 1 put with focus on November weekly 40 calls.

Salesforce (CRM) November weekly call option implied volatility is at 41, December is at 53; compared to its 52-week range of 19 to 97 after report of merger talks with Slack (WORK). Call put ratio 1.9 calls to 1 put. CRM is expected to release results after the bell on December 1.

Asana, Inc. (ASAN) 30-day option implied volatility is at 97; compared to its 52-week range of 60 to 98 after reports of Salesforce (CRM) takeover talks with Slack (WORK). Call put ratio 9 calls to 1 put.

Large price movement option implied volatility

Jumia Technologies (JMIA) 30-day option implied volatility is at 154; compared to its 52-week range of 69 to 228 after sharp rally. Call put ratio 2.1 calls to 1 put.

Microstrategy, Inc. (MSTR) 30-day option implied volatility is at 92; compared to its 52-week range of 22 to 94 after sharp rally.

Straddle prices into quarter results next week

Autohome (ATHM) December 100 straddle priced for a move of 10% into the expected release of quarter results before the bell on November 30.

Zoom Video Communications (ZM) December weekly 445 straddle priced for a move of 14% into the expected release of quarter results after the bell on November 30.

At Home (HOME) December 19 straddle priced for a move of 20% into the expected release of quarter results after the bell on December 1.

Box (BOX) December 18 straddle priced for a move of 12% into the expected release of quarter results after the bell on December 1.

Hewlett Packard Enterprise (HPE) December weekly 11 straddle priced for a move of 6% into the expected release of quarter results after the bell on December 1.

NetApp (NTAP) December weekly 53 straddle priced for a move of 8% into the expected release of quarter results after the bell on December 1.

Salesforce (CRM) December straddle priced for a move of % into the expected release of quarter results after the bell on December 1.

Trip.com (TCOM) December 33 straddle priced for a move of 9% into the expected release of quarter results on December 1.

CrowdStrike (CRWD) December weekly 150 straddle priced for a move of 12% into the expected release of quarter results after the bell on December 2.

Five Below (FIVE) December weekly 8 straddle priced for a move of 9% into the expected release of quarter results after the bell on December 2.

PVH (PVH) December 85 straddle priced for a move of 13% into the expected release of quarter results after the bell on December 2.

Snowflake (SNOW) December weekly 302.50 straddle priced for a move of 14% into the expected release of quarter results after the bell on December 2.

Splunk (SPLK) December weekly 200 straddle priced for a move of 8% into the expected release of quarter results after the bell on December 2.

Zscaler (ZS) December weekly 147 straddle priced for a move of 13% into the expected release of quarter results after the bell on December 2.

Cloudera (CLDR) December weekly 12 straddle priced for a move of 15% into the expected release of quarter results after the bell on December 3.

DocuSign (DOCU) December weekly 225 straddle priced for a move of 10% into the expected release of quarter results after the bell on December 3.

Options with decreasing option implied volatility: MESO INO UVXY MPLN SONO FL DE
Increasing option volume: AHT ADNT TIGR XPEV PLTR ASAN WORK CRM M
Increasing unusual call option volume: AHT TIGR UXIN NWL COMM AYRO
Increasing unusual put option volume: XPEV IDEX PLTR SBE FSR
Increasing option volume: PLTR SPCE F DKNG ZM
Active options: TSLA PLTR AAPL NIO WORK AMD AMZN AAL FSR GE SPCE F JWN GPS BABA BAC FB DKNG ZM
Global S&P Futures recently mixed, Nikkei mixed, DAX mixed, WTI Crude oil recently at $44.65, natural gas down %, gold at $1812 an ounce