Benzinga | Dec 7, 2020 03:56PM EST

What You Need To Know In Options This Week - 12/7

The Markets

The VIX closed the past week below 21, for the second week in a row, matching the lowest implied volatility across the market since the March sell-off. The lower level of implied volatility means compressed expected moves across the major indices.

SPY options are pricing in about a 1.3% expected move this week, corresponding to about $364 on the downside and $374 on the upside:

QQQ options are pricing in a 1.8% expected move this week, corresponding to about $299 on the downside and $311 on the upside:

Here's a comparison of DIA, SPY, QQQ and IWM into year end via the Options AI calculator. IWM is highlighted:

Hedges and outright directional trades using long premium are more dollar cheap now with the low levels of implied volatility, but holiday weeks often mean less time for moves.

Earnings of Note This Week

Expected moves by this Friday, and prior earnings actual moves:

Stitch Fix (NASDAQ:SFIX) - Monday AH / 13.6%

Coupa (NASDAQ:COUP) - Monday AH / 8.6%

Toll Brothers (NYSE:TOL) - Monday AH / 7.1%

Autozone (NYSE:AZO) - Tuesday BMO / 4.6%

Chewy (NYSE:CHWY) - Tuesday AH / 8.8%

Gamestop (NYSE:GME) - Tuesday AH / 21.3%

Adobe (NASDAQ:ADBE) - Wednesday AH / 4.8%

Broadcom (NASDAQ:AVGO) - Thursday AH / 4.8%

Costco (NASDAQ:COST) - Thursday AH / 2.8%

Oracle (NYSE:ORCL) - Thursday AH / 4.5%

Lululemon (NASDAQ:LULU) - Thursday AH / 6.9%