Pre-Market IV Report August 26, 2020

Pre-Market IV Report August 26, 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: RKT JMIA GME SHLL BLNK NIO SFIX AAPL QRTEA BIGC NIO AXTI WLL SHLL

Options expected to have increasing volume: CRM HPE TOL BBBY GPS WDAY ULTA USO XLF DLTR DG

Option implied volatility flat as WTI oil near five-month high amid Gulf Coast hurricane

United States Oil Fund (USO) August weekly option implied volatility is at 27, September is at 26; compared to its 52-week range of 22 to 248 amid WTI oil trading at $43.10.

Option implied volatility into this week’s annual gathering of central bankers in Jackson Hole, Wyoming.

Bank of America (BAC) 30-day option implied volatility is at 33; compared to its 52-week range of 17 to 124 into this week’s annual gathering of central bankers in Jackson Hole, Wyoming.

Citigroup (C) 30-day option implied volatility is at 35; compared to its 52-week range of 18 to 146.

Goldman Sachs (GS) 30-day option implied volatility is at 30; compared to its 52-week range of 18 to 116. Call put ratio 3.4 calls to 1 put.

JPMorgan (JPM) 30-day option implied volatility is at 31; compared to its 52-week range of 15 to 119. Call put ratio 5.2 calls to 1 put.

Morgan Stanley (MS) 30-day option implied volatility is at 31; compared to its 52-week range of 19 to 120.

Wells Fargo (WFC) 30-day option implied volatility is at 39; compared to its 52-week range of 16 to 138.

Spdr S&P Regional Banking Etf (KRE) 30-day option implied volatility is at 40; compared to its 52-week range of 17 to 127. Call put ratio 5.6 calls to 1 put.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 28; compared to its 52-week range of 13 to 111. Call put ratio 1 call to 5.7 puts.

Spdr S&P Bank Etf (KBE) 30-day option implied volatility is at 37; compared to its 52-week range of 16 to 125. Call put ratio 1.4 calls to 1 put.

Straddle prices into quarter results and outlook

NetApp (NTAP) August weekly 42 straddle priced for a move of 8% into the expected release of quarter results today after the bell.

Splunk (SPLK) August weekly 202.50 straddle priced for a move of 8% into the expected release of quarter results today after the bell.

William-Sonoma (WSM) September 95 straddle priced for a move of 10.5% into the expected release of quarter results today after the bell.

Abercrombie (ANF) August weekly 11 straddle priced for a move of 11% 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 60 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 7% into the expected release of quarter results before the bell on August 27.

Gap (GPS) August weekly 17 straddle priced for a move of 13% into the expected release of quarter results on August 27.

HP Inc (HPQ) August weekly 18.50 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 35 straddle priced for a move of 8% into the expected release of quarter results after the bell on August 27.

Ulta Beauty (ULTA) August weekly 220 straddle priced for a move of 8% into the expected release of quarter results after the bell on August 27.

VMware (VMW) August weekly 141 straddle priced for a move of 7% into the expected release of quarter results after the bell on August 27.

Workday (WDAY) August weekly 195 straddle priced for a move of 7% into the expected release of quarter results after the bell on August 27.

Big Lots (BIG) September 55 straddle priced for a move of 16% into the expected release of quarter results before the bell on August 28.

Options with decreasing option implied volatility: ANTM CRON BJ TGTX PDD UPS KODK MNTA
Options with increasing option implied volatility: RKT JMIA GME SHLL BLNK NIO SFIX AAPL QRTEA BIGC NIO AXTI WLL SHLL
Options expected to have increasing volume: PANW BBY HAIN GPS AHTM CRM HON RTX XOM
Increasing unusual option volume: GRWG LI AVTR TOL URBN FOLD PLCE BBY
Increasing unusual call option volume: LI GRWG IVZ TOL URBN BBY PANW LB
Increasing unusual put option volume: PLCE URBN TOL LI PANW BBY BJ DKS
Popular stocks with increasing volume: CRM SBUX AAL DKNG WKHS
Active options: NIO AAPL FB BABA AMD MSFT INTC CRM BAC AAL TSLA BA DKNG AMZN SBUX PFE JPM MU WKHS JD
Global S&P Futures recently mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $43.31, natural gas mixed, gold at $1923 an ounce