Pre-Market IV Report August 25, 2020

Pre-Market IV Report August 25, 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: PANW CRBP WLL UVXY GME VXX SHLL BLNK RKT SFIX AAPL QRTEA SHLL CODX

Options expected to have increasing volume: AMGN CRM HON XOM PFE RTX PANW

Financial Select Sector SPDR ETF (XLF) August weekly call option implied volatility is at 24, September is at 23; compared to its 52-week range of 13 to 113 into this week’s annual gathering of central bankers in Jackson Hole, Wyoming. Call put ratio 4.4 calls to 1 put.

Apple (AAPL) August weekly call option implied volatility is at 56, September is at 49; compared to its 52-week range of 18 to 90 into 4 for 1 stock split. Call put ratio 2.69 calls to 1 put.

Tesla (TSLA) August weekly call option implied volatility is at 82, September is at 79; compared to its 52-week range of 34 to 154 into 5 for 1 stock split. Call put ratio 1.7 calls to 1 put. Tesla will host a Battery Day event after its annual meeting on September 22.

Technology Select Sector Spdr Fund (XLK) August weekly call option implied volatility is at 24, September is at 25; compared to its 52-week range of 13 to 93 as shares at upper end of range. Call put ratio 1 calls to 1.9 puts.

Health Care Select Sect Fd (XLV) August weekly call option implied volatility is at 18, September is at 16; compared to its 52-week range of 11 to 71. Call put ratio 1 call to 1.7 puts.

Dow Jones Indices will make the following changes to the Dow Jones Industrial Average effective prior to the opening of trading on Monday, August 31: Salesforce.com (CRM) will replace Exxon Mobil Corp. (XOM), Amgen (AMGN) will replace Pfizer (PFE), and Honeywell International (HON) will replace Raytheon Technologies (RTX).

Salesforce (CRM) 30-day option implied volatility is at 36; compared to its 52-week range of 19 to 97 into Salesforce, Amgen (AMGN), Honeywell (HON) to join Dow Jones Industrial Average, replacing Exxon (XOM), Pfizer (PFE) and Raytheon (RTX) in the index on August 31.

Honeywell (HON) 30-day option implied volatility is at 26; compared to its 52-week range of 15 to 104.

Amgen (AMGN) 30-day option implied volatility is at 23; compared to its 52-week range of 17 to 82.

Exxon (XOM) 30-day option implied volatility is at 32; compared to its 52-week range of 16 to 111 into Amgen (AMGN), Salesforce (CRM), Honeywell (HON) to join Dow Jones Industrial Average, replacing Exxon, Pfizer (PFE) and Raytheon (RTX) in the index on August 31.

Pfizer (PFE) 30-day option implied volatility is at 22; compared to its 52-week range of 15 to 71.

Raytheon (RTX) 30-day option implied volatility is at 31; compared to its 52-week range of 31 to 65.

Straddle prices into quarter results and outlook

Autodesk (ADSK) August weekly 250 straddle priced for a move of 7% into the expected release of quarter results today after the bell

Best Buy (BBY) August weekly 118 straddle priced for a move of 7.5% into the expected release of quarter results today before the bell

Hain Celestial (HAIN) August weekly 34 straddle priced for a move of 9% into the expected release of quarter results today

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

Hormel (HRL) August weekly 53 straddle priced for a move of 5% into the expected release of quarter results today

Inuit (INTU) August weekly 330 straddle priced for a move of 6.5% into the expected release of quarter results today after the bell

Nordstrom (JWN) August weekly 15.5 straddle priced for a move of 14% into the expected release of quarter results today after the bell

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

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

Toll Brothers (TOL) August weekly 45 straddle priced for a move of 7.5% into the expected release of quarter results today

Urban Outfitters (URBN) August weekly 20 straddle priced for a move of 11% into the expected release of quarter results today after the bell

NetApp (NTAP) August weekly 42.50 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 127 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 10% into the expected release of quarter results after the bell on August 26.

Abercrombie (ANF) August weekly 10.50 straddle priced for a move of 15% into the expected release of quarter results after the bell on August 27.

Burlington Stores (BURL) August weekly 195 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 15% into the expected release of quarter results on August 27.

Dell Technologies (DELL) September 62.50 straddle priced for a move of 11% 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 102 straddle priced for a move of 6% into the expected release of quarter results before the bell on August 27.

Gap (GPS) August weekly 15.50 straddle priced for a move of 14% into the expected release of quarter results on August 27.

HP Inc (HPQ) August weekly 19 straddle priced for a move of 8% into the expected release of quarter results after the bell on August 27.

Marvell Technology (MRVL) August weekly 34.50 straddle priced for a move of 12% into the expected release of quarter results after the bell on August 27.

Smith & Wesson (SWBI) September 20 straddle priced for a move of 20% into the expected release of quarter results after the bell on August 27.

Ulta Beauty (ULTA) August weekly 222.5 straddle priced for a move of 11% into the expected release of quarter results after the bell on August 27.

VMware (VMW) August weekly 142 straddle priced for a move of 6% into the expected release of quarter results after the bell on August 27.

Workday (WDAY) August weekly 192.50 straddle priced for a move of 9% into the expected release of quarter results after the bell on August 27.

Big Lots (BIG) September 52.50 straddle priced for a move of 15% into the expected release of quarter results before the bell on August 28.

Index IV is increasing

Options with decreasing option implied volatility: TSM UPS INTC KODK MNTA CLVS BJ FL SLV TJX
Increasing unusual option volume: GRWG DHT GGB ADMA OMC SHLL LB ANGI LB GPS
Increasing unusual call option volume: DHT GRWG ADMA IMAX ANGI VFC PANW
Increasing unusual put option volume: OMC CLVS PANW SHLL FLR SWN CRBP BBY WLL
Popular stocks with increasing volume: AAL TWTR CCL PFE
Active options: AAPL TSLA NIO AAL FB BAC BA MSFT BABA AMD JPM NVDA INTC
Global S&P Futures recently up 0.3% in premarket, Nikkei up 1%, DAX up 1%, WTI Crude oil recently at $42.51, natural gas down 1%, gold at $1935 an ounce