Pre-Market IV Report August 11, 2020

Pre-Market IV Report August 11, 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: TGT GME AMRN WLL AMC HTZ GME RIOT SLV BABA JMIA TDOC UBX TISI OMER YPF

Options expected to have increasing volume: RSX YNDX UBER LYFT TLRY OXY SPG HTZ IAC CSCO AMAT BIDU NTES TPR DKNG LITE ANGI HTZ SPCE

Market Vectors Russia ETF Trust (RSX) 30-day option implied volatility is a 32; compared to its 52-week range of 16 to 108 into Russia announces a working Covid-19 vaccine. Call put ratio 252 calls to 1 put with focus on November 20 and 21 calls.

Yandex (YNDX) 30-day option implied volatility is at 41; compared to its 52-week range of 25 to 112. Call put ratio 11.2 calls to 1 put with focus on August weekly (14) 60 calls into Russia announces a working Covid-19 vaccine.

Brazil stock option implied volatility amid political, oil and metal commodity headlines

iShares MSCI Brazil (EWZ) 30-day option implied volatility is at 40; compared to its 52-week range of 22 to 145.

Vale S.A. (VALE) 30-day option implied volatility is at 46; compared to its 52-week range of 27 to 157.

Petrobras (PBR) 30-day option implied volatility is at 49; compared to its 52-week range of 26 to 225.

Embraer (ERJ) 30-day option implied volatility is at 85; compared to its 52-week range of 24 to 164.

Itau Unibanco Banco Multiplo S.a. (ITUB) 30-day option implied volatility is at 51; compared to its 52-week range of 25 to 186.

Ambev S.A. (ABEV) 30-day option implied volatility is at 56; compared to its 52-week range of 23 to 161. Call put ratio 8.6 calls to 1 put.

Azul (AZUL) 30-day option implied volatility is at 87; compared to its 52-week range of 33 to 329.

Gerdau SA (GGB) 30-day option implied volatility is at 59; compared to its 52-week range of 30 to 129.

Ishares Msci Mexico Capped Etf (EWW) 30-day option implied volatility is at 29; compared to its 52-week range of 15 to 105 as WTI oil trades above $42.

Straddle prices for stocks expected to report quarterly results this week

Canada Goose (GOOS) August weekly 25 straddle priced for a move of 17% into the expected release of quarter results today

Casper Sleep (CSPR) August 10 straddle priced for a move of 33% into the expected release of quarter results today before the bell

Sysco (SYY) August weekly 60 straddle priced for a move of 7% into the expected release of quarter results today before the bell

Brinker (EAT) August weekly 30 straddle priced for a move of 15% into the expected release of quarter results before the bell on August 12

Fossil (FOSL) August 4.5 straddle priced for a move of 25% into the expected release of quarter results after the bell on August 12

Lyft (LYFT) August weekly 31 straddle priced for a move of 13% into the expected release of quarter results after the bell on August 12

Lemonade (LMND) August 65 straddle priced for a move of 22% into the expected release of quarter results before the bell on August 12

Macys (M) August weekly 7 straddle priced for a move of 9% into the expected release of quarter results before the bell on August 12

Smiledirectclub (SDC) August weekly 9 straddle priced for a move of 20% into the expected release of quarter results after the bell on August 12

Vipshop Holdings (VIPS) August weekly 22 straddle priced for a move of 13% into the expected release of quarter results on August 12

Alibaba (BABA) August weekly 250 straddle priced for a move of 4% into the expected release of quarter results before the bell on August 13

Baidu (BIDU) August weekly 125 straddle priced for a move of 6.5% into the expected release of quarter results after the bell on August 13

Farfetch (FTCH) August 26 straddle priced for a move of 17% into the expected release of quarter results after the bell on August 13

iQIYI (IQ) August weekly 22.50 straddle priced for a move of 10% into the expected release of quarter results after the bell on August 13

Dillards (DDS) August weekly 27.5 straddle priced for a move of 22% into the expected release of quarter results before the bell on August 13

NVIDIA (NVDA) August weekly 447.50 straddle priced for a move of 4% into the expected release of quarter results on August 13

NetEase (NTES) August weekly 455 straddle priced for a move of 7.5% into the expected release of quarter results on August 13

Tapestry (TPR) August weekly 15.50 straddle priced for a move of 13% into the expected release of quarter results before the bell on August 13

DraftKings (DKNG) August weekly 31.50 straddle priced for a move of 15% into the expected release of quarter results before the bell on August 14

Options with decreasing option implied volatility: PINS INTC MCRB ITCI PSTI NVAX CHGG SPCE APT
Increasing unusual option volume: RSX YNDX PTEN PBI MCRB OMER TRVN MARA SOHU MT
Increasing unusual call option volume: PTEN MCRB OMER MTG TRVN MT RSX FEZ
Increasing unusual put option volume: MCRB RIG SKYY CNX ANGI JMIA TME VNO
Popular stocks with increasing volume: NKLA YELP SRNE NIO KODK AAL MGM BABA
Active options: AAPL AAL MSFT FB BAC AMD BA KODK JPM TSLA NKLA NIO WFC RIG INTC MGM SRNE TWTR BABA F
Global S&P Futures recently up 0.4% in premarket, Nikkei up 1.8%, DAX up 2.1%, WTI Crude oil recently at $42.43, natural gas up 1.2%, gold at $2004 an ounce