Pre-Market IV Report November 30, 2020

Pre-Market IV Report November 30, 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: ACB CRON PLTR GMHI

Stocks expected to have increasing option volume: CRM ZM CLDR SNOW DOCU SPGI INFO TSLA MU CRM WORK

Zoom Video Communications (ZM) December weekly call option implied volatility is at 130, December is at 94; compared to its 52-week range of 35 to 136 into the expected release of quarter results today after the bell.

Micron (MU) December weekly call option implied volatility is at 40, December is at 41; compared to its 52-week range of 31 to 114 into hosting a webcast today on its tech road map and strategy.

Option implied volatility for cannabis stocks amid reports of President-elect Joe Biden cannabis policy plan

Aphria (APHA) 30-day option implied volatility is at ; compared to its 52-week range of amid reports of President-elect Joe Biden cannabis policy plan.

Aurora Cannabis (ACB) 30-day option implied volatility is at 220; compared to its 52-week range of 91 to 308 amid reports of President-elect Joe Biden cannabis policy plan. Call put ratio 8.3 calls to 1 put.

Canopy Growth (CGC) 30-day option implied volatility is at 84; compared to its 52-week range of 55 to 185 amid reports of President-elect Joe Biden cannabis policy plan. Call put ratio 16.5 calls to 1 put.

Cronos Group (CRON) 30-day option implied volatility is at 151; compared to its 52-week range of 54 to 560 amid reports of President-elect Joe Biden cannabis policy plan. Call put ratio 11.8 calls to 1 put.

India Globalization Capital (IGC) 30-day option implied volatility is at 270; compared to its 52-week range of 164 to 515 amid reports of President-elect Joe Biden cannabis policy plan. Call put ratio 27 calls to 1 put.

Tilray (TLRY) 30-day option implied volatility is at 164; compared to its 52-week range of 69 to 289 amid reports of President-elect Joe Biden cannabis policy plan. Call put ratio 7.1 calls to 1 put.

Zynerba (ZYNE) 30-day option implied volatility is at 109; compared to its 52-week range of 78 to 378 amid reports of President-elect Joe Biden cannabis policy plan. Call put ratio 5.8 calls to 1 put.

Straddle prices for stocks expected to report quarterly results this week

Zoom Video Communications (ZM) December weekly 470 straddle priced for a move of 13% into the expected release of quarter results today after the bell.

At Home (HOME) December 19 straddle priced for a move of 21% into the expected release of quarter results after the bell on December 1.

Box (BOX) December 18 straddle priced for a move of 12.5% 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 7% 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 247.50 straddle priced for a move of 8% 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 9% into the expected release of quarter results after the bell on December 2.

Five Below (FIVE) December weekly 157 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 330 straddle priced for a move of 17% into the expected release of quarter results after the bell on December 2.

Splunk (SPLK) December weekly 205 straddle priced for a move of 8% into the expected release of quarter results after the bell on December 2.

Zscaler (ZS) December weekly 150 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 9% into the expected release of quarter results after the bell on December 3.

Dollar General (DG) December weekly 217.50 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on December 3.

Domo (DOMO) December 38 straddle priced for a move of 14% into the expected release of quarter results after the bell on December 3.

Duluth Holdings (DLTH) December 15 straddle priced for a move of 27% into the expected release of quarter results before the bell on December 3.

Express (EXPR) December 2 straddle priced for a move of 20% into the expected release of quarter results before the bell on December 3.

Kroger (KR) December weekly 32.50 straddle priced for a move of 6% into the expected release of quarter results before the bell on December 3.

Lands End (LE) December 22.50 straddle priced for a move of 21% into the expected release of quarter results before the bell on December 3.

PagerDuty (PD) December 35 straddle priced for a move of 18% into the expected release of quarter results after the bell on December 3.

Signet (SIG) December weekly 31 straddle priced for a move of 25% into the expected release of quarter results on December 3.

Large price movement option implied volatility

Jumia Technologies (JMIA) 30-day option implied volatility is at 155; compared to its 52-week range of 69 to 228 amid wide price movement. Call put ratio 1 call to 1 put.

Microstrategy, Inc. (MSTR) 30-day option implied volatility is at 92; compared to its 52-week range of 22 to 94 amid wide price movement. Call put ratio 2.1 calls to 1 put.

Options with decreasing option implied volatility: MESO BCLI COTY DELL BBY
Increasing option volume: SNDL GMHI QS PLTR
Increasing unusual call option volume: GMHI IGC HIMX ACB
Increasing unusual put option volume: PLTR XPEV QS JNK
Increasing option volume: DKNG ZM MRNA CCL PLTR SPCE F
Active options: PLTR TSLA AAPL NIO ACB AAL AMZN CCL AMD MRNA SNAP VALE WORK PFE FB DKNG MSFT GE BABA ZM
Global S&P Futures recently lower, Nikkei lower, DAX lower, WTI Crude oil recently at $44.80, natural gas up 2.6%, gold at $1781 an ounce