Pre-Market IV Report August 24, 2020

Pre-Market IV Report August 24, 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 WLL ORCL SPXS WORK BLNK BDSI RKT CLVS EURN HARP TCDA ODT HARP PANW

Options expected to have increasing volume: AZN PANW CRM HPE HPQ BP APO

Apple (AAPL) August weekly call option implied volatility is at 44, September is at 43; compared to its 52-week range of 18 to 90 into 4 for 1 stock split. Call put ratio 2.9 calls to 1 put after AAPL rose 8% last week.

Tesla (TSLA) August weekly call option implied volatility is at 77, September is at 77; 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. Tesla will host a Battery Day event after its annual meeting on September 22.

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 28; compared to its 52-week range of 20 to 109 into this week’s annual gathering of central bankers in Jackson Hole, Wyoming.

iShares 20+ Year Treasury Bond ETF (TLT) August weekly call option implied volatility is at 14, September is at 15; compared to its 52-week range of 10 to 48 into this week’s annual gathering of central bankers in Jackson Hole, Wyoming.

Spotify (SPOT) August weekly call option implied volatility is at 43, September is at 44; compared to its 52-week range of 26 to 83. Call put ratio 3.2 calls to 1 put as shares near upper end of range.

GrowGeneration Corp. (GRWG) September and October call option implied volatility is at 116; compared to its 52-week range of 73 to 173 amid wide price movement.

Churchill Downs (CHDN) 30-day option implied volatility is at 47; compared to its 52-week range of 19 to 151 into says Kentucky Derby to run on September 5 without fans.

Harpoon Therapeutics Inc. (HARP) 30-day option implied volatility is at 182; compared to its 52-week range of 100 to 182. Call put ratio 1 call to 1.6 puts with focus on August 15 calls and puts.

Boston Properties (BXP) 30-day call option implied volatility is at 35; compared to its 52-week range of 13 to 105 as shares at low end 9-year range.

Straddle prices for stocks expected to report quarterly results this week

Palo Alto Networks (PANW) August weekly 270 straddle is priced for a move of 10% into the expected release of quarter results today after the bell.

Autodesk (ADSK) August weekly 247.50 straddle priced for a move of 8% into the expected release of quarter results after the bell on August 25

Autohome (ATHM) September 90 straddle priced for a move of 15% into the expected release of quarter results before the bell on August 25

Best Buy (BBY) August weekly 114 straddle priced for a move of 8% into the expected release of quarter results on before the open on August 25

Hain Celestial (HAIN) August weekly 34 straddle priced for a move of 11% into the expected release of quarter results on before the open on August 25

Hewlett Packard Enterprise (HPE) August weekly 9.5 straddle priced for a move of 8% into the expected release of quarter results after the bell on August 25

Hormel (HRL) August weekly 53 straddle priced for a move of 7% into the expected release of quarter results on before the open on August 25

Inuit (INTU) August weekly 320 straddle priced for a move of 6.5% into the expected release of quarter results after the bell on August 25

J.M. Smucker (SJM) September 110 straddle priced for a move of 6% into the expected release of quarter results on August 25

Medtronic (MDT) August weekly 98 straddle priced for a move of 4% into the expected release of quarter results on August 25

Nordstrom (JWN) August weekly 14.5 straddle priced for a move of 14% into the expected release of quarter results after the bell on August 25

Pure Storage (PSTG) September 17.5 straddle priced for a move of 17% into the expected release of quarter results after the bell on August 25

Salesforce (CRM) August weekly 207 straddle priced for a move of 6% into the expected release of quarter results after the bell on August 25

Toll Brothers (TOL) August weekly 43 straddle priced for a move of 7.5% into the expected release of quarter results on August 25

Urban Outfitters (URBN) August weekly 19 straddle priced for a move of 15% into the expected release of quarter results after the bell on August 25.

NetApp (NTAP) August weekly 41.50 straddle priced for a move of 9% into the expected release of quarter results after the bell on August 26.

Splunk (SPLK) August weekly 202 straddle priced for a move of 9% into the expected release of quarter results after the bell on August 26.

Tiffany (TIF) August weekly 126 straddle priced for a move of 3% into the expected release of quarter results before the bell on August 26.

William-Sonoma (WSM) September 100 straddle priced for a move of 12% into the expected release of quarter results after the bell on August 26.

Abercrombie (ANF) August weekly 10 straddle priced for a move of 19% into the expected release of quarter results after the bell on August 27.

Burlington Stores (BURL) August weekly 192 straddle priced for a move of 8% into the expected release of quarter results before the bell on August 27.

Coty (COTY) August weekly 4 straddle priced for a move of 16% into the expected release of quarter results on August 27.

Dell Technologies (DELL) September 60 straddle priced for a move of 10.5% into the expected release of quarter results after the bell on August 27.

Dollar General (DG) August weekly 200 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on August 27.

Dollar Tree (DLTR) August weekly 100 straddle priced for a move of 7% into the expected release of quarter results before the bell on August 27.

Options with decreasing option implied volatility: KNDI INTC MNTA PRNB CODX INO MCRB DISH PDD BJ
Increasing unusual option volume: GRWG AMX CGEN NLSN MARA DVY PEIX
Increasing unusual call option volume: GRWG CGEN PEIX KEYS MARA
Increasing unusual put option volume: GPN DVN KEYS SWN FE OVV RIG TJX
Popular stocks with increasing volume: UBER NIO KODK ZM
Active options: AAPL TSLA NVDA BABA MSFT AMD FB NIO BAC INTC AMZN AAL T WMT PFE BA KODK ZM JPM UBER
Global S&P Futures recently up 0.3% in premarket, Nikkei up 0.2%, DAX up 1.2%, WTI Crude oil recently at $42.63, natural gas down 1%, gold at $1955 an ounce