Pre-Market IV Report November 30, 2021

Pre-Market IV Report November 30, 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 SPCE CRM COST MRK HTZ NVAX

Stocks expected to have increasing option volume: SPY QQQ RUT IWM CRM KR SNOW DIS

Option implied volatility flat amid drugmakers raised concerns that Covid-19 vaccines won’t work as well against the new Omicron strain

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 17; compared to its 52-week range of 11 to 31.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 21; compared to its 52-week range of 14 to 35.

iShares Russell 2000 ETF (IWM) 30-day option implied volatility is at 28; compared to its 52-week range of 18 to 37 amid drugmakers raised concerns that Covid-19 vaccines won’t work as well against the new Omicron strain. Call put ratio 1 call to 2.6 puts.

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 today after the bell. Call put ratio 1 call to 1 put.

Box (BOX) December 24 straddle priced for a move of +/- 10% into the expected release of quarter results today after the bell. Call put ratio 3 calls to 1 put.

Hewlett Packard (HPE) December weekly 14.5 straddle priced for a move of +/- 7.5% into the expected release of quarter results today after the bell.

NetApp (NTAP) December weekly 92 straddle priced for a move of +/- 8% into the expected release of quarter results today after the bell.

Salesforce (CRM) December weekly 295 straddle priced for a move of +/- 7.5% into the expected release of quarter results today after the bell. Call put ratio 1.9 calls to 1 put.

Zscaler (ZS) December weekly 355 straddle priced for a move of +/- 13.5% into the expected release of quarter results today after the bell.

C3.ai.com (AI) December 40 straddle priced for a move of +/- 14% into the expected release of quarter results after the bell on December 1.

Constellation Brands (STZ) December weekly 225 straddle priced for a move of +/- 3% into the expected release of quarter results on December 1.

CrowdStrike (CRWD) December weekly 225 straddle priced for a move of +/- 9% into the expected release of quarter results after the bell on December 1.

Five Below (FIVE) December weekly 207.50 straddle priced for a move of +/- 8% into the expected release of quarter results after the bell on December 1.

PVH (PVH) December 110 straddle priced for a move of +/- 13% into the expected release of quarter results after the bell on December 1.

Snowflake (SNOW) December weekly 365 straddle priced for a move of +/- 9% into the expected release of quarter results after the bell on December 1.

Options with decreasing option implied volatility: TTD PTON PBR BKKT DWAC VXRT GPS DKS
Increasing unusual option volume: CBRE KRYS VIRT HTA
Increasing unusual call option volume: CBRE VIRT CNDT HTA
Increasing unusual put option volume: MQ BLU CFLT WB XPO
Popular stocks with increasing volume: PFE LCID TWTR CCL DIS AAL MRK
Active options: AAPL TSLA AMD NVDA PFE LCID TWTR AMC MRNA F CCL DIS AAL FB PLTR MSFT AMZN MRK BAC NIO
Global S&P Futures down 1.2%, Nikkei down 1.6%, DAX down 1.4%, WTI Crude oil recently at $67.91, natural gas up down 4%, gold at $1798 an ounce