Pre-Market IV Report August 17, 2020

Pre-Market IV Report August 17, 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: CRBP RIOT GSX SE SLV KR LQD CVM BDSI HD JD TGT KSS NVDA

Options expected to have increasing volume: JD HD LOW WMT TGT KSS A ADI NVDA BABA

Tesla (TSLA) August call option implied volatility is at 63, September is at 68; compared to its 52-week range of 34 to 154 into 5 for 1 stock split. Call put ratio 1.9 calls to 1 put.

Apple (AAPL) August call option implied volatility is at 32, September is at 36; compared to its 52-week range of 18 to 90 into 4 for 1 stock split. Call put ratio 1.8 calls to 1 put.

Electric utility option implied volatility into rolling blackouts ordered in California amid power shortages.

PG&E Corp. (PCG) 30-day option implied volatility is at 43; compared to its 52-week range of 37 to 254 into rolling blackouts ordered in California amid power shortages.

Edison Int’l (EIX) 30-day option implied volatility is at 36; compared to its 52-week range of 20 to 94.

Sempra Energy (SRE) 30-day option implied volatility is at 27; compared to its 52-week range of 13 to 86.

Alibaba (BABA) 30-day option implied volatility is at 43; compared to its 52-week range of 22 to 63 into the expected release of quarter results on August 20.

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 44; compared to its 52-week range of 21 to 158.

Straddle prices for stocks expected to report quarterly results this week

JD.com (JD) August 62 straddle priced for a move of 4.5% into the expected release of quarter results

Home Depot (HD) August 280 straddle priced for a move of 4% into the expected release of quarter results before the bell on August 18

Kohls (KSS) August 23.5 straddle priced for a move of 14% into the expected release of quarter results before the bell on August 18

Walmart (WMT) August 132 straddle priced for a move of 4% into the expected release of quarter results on August 18

Advanced Auto Parts (AAP) August 160 straddle priced for a move of 8% into the expected release of quarter results on August 18

Agilent Technologies (A) August 97.50 straddle priced for a move of 5% into the expected release of quarter results on August 18

Analog Devices (ADI) August 117 straddle priced for a move of 5% into the expected release of quarter results before the bell on August 19

L Brands (LB) August 27 straddle priced for a move of 9% into the expected release of quarter results after the bell on August 19

Lowes (LOW) August 155 straddle priced for a move of 5% into the expected release of quarter results before the bell on August 19

NVIDIA (NVDA) August 462.5 straddle priced for a move of 8% into the expected release of quarter results after the bell on August 19

Target (TGT) August 136 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on August 19

TJX (TJX) August 58 straddle priced for a move of 13% into the expected release of quarter results before the bell on August 19

Vipshop (VIPS) August 23 straddle priced for a move of 13% into the expected release of quarter results before the bell on August 19

Estee Lauder (EL) August 210 straddle priced for a move of 8% into the expected release of quarter results before the bell on August 20

Melco Resorts (MLCO) August 20 straddle priced for a move of 8% into the expected release of quarter results before the bell on August 20

Ross Stores (ROST) August 94 straddle priced for a move of 7% into the expected release of quarter results after the bell on August 20

Deere (DE) August 190 straddle priced for a move of 5% into the expected release of quarter results before the bell on August 21

Pinduoduo (PDD) August 85 straddle priced for a move of 15% into the expected release of quarter results before the bell on August 21

Principia Biopharma (PRNB) August call option implied volatility is at 105, September is at 115; compared to its 52-week range of 66 to 140 into Sanofi (SNY) will acquire all of the outstanding shares of Principia for $100 per share in cash. Call put ratio 1.9 calls to 1 put.

Options with decreasing option implied volatility: INTC KODK PINS AYX KODX MCRB MCRB JMIA CPE NIO
Increasing unusual option volume: QRTEA ELAN MARA CLNY MESO GRWG PRPL
Increasing unusual call option volume: CLNY MCK IMAX MARA
Increasing unusual put option volume: PRPL SWN AR RRR XPO WHR IQ
Popular stocks with increasing volume: NIO IQ M CSCO AMAT PTON
Active options: AAPL TSLA BA AMD BAC NIO FB CSCO AMZN MSFT M INTC NVDA AMAT IQ DKNG T PTON AAL WFC
Global S&P Futures recently mixed to higher in premarket, Nikkei down 0.7%, DAX mixed, WTI Crude oil recently at $41.94, natural gas mixed, gold at $1962 an ounce