Pre-Market IV Report July 10, 2020

Pre-Market IV Report July 10, 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: JMIA SRNE MRNA EBAY NOK NIO FSLY BLNK SPOT ALT SPCE LVTO ETSY ROKU SQ TME ASHR BABA

Options expected to have increasing volume: PEP JPM WFC C DAL

Straddle prices for stocks expected to report quarterly results next week

PepsiCo (PEP) July 133 straddle priced for a move of 3% into the expected release of quarter results before the bell on July 13.

Citigroup (C) July 49.50 straddle priced for a move of 8% into the expected release of quarter results before the bell on July 14.

Delta Air Lines (DAL) July 26 straddle priced for a move of 12% into the expected release of quarter results before the bell on July 14.

Fastenal (FAST) July 42.50 straddle priced for a move of 7% into the expected release of quarter results on July 14.

JPMorgan (JPM) July 91.50 straddle priced for a move of 8% into the expected release of quarter results before the bell on July 14.

Wells Fargo (WFC) July 24 straddle priced for a move of 8.5% into the expected release of quarter results before the bell on July 14.

Alcoa (AA) July 10.50 straddle priced for a move of 11% into the expected release of quarter results after the bell on July 15.

Bank of New York Mellon (BK) July 37 straddle priced for a move of 9% into the expected release of quarter results before the bell on July 15.

Goldman Sachs (GS) July 195 straddle priced for a move of 7% into the expected release of quarter results before the bell on July 15.

PNC Financial (PNC) July 99 straddle priced for a move of 8% into the expected release of quarter results before the bell on July 15.

United Health Group (UNH) July 290 straddle priced for a move of 7% into the expected release of quarter results before the bell on July 15.

Abbott Laboratories (ABT) July 93.50 straddle priced for a move of 5% into the expected release of quarter results before the bell on July 16.

Bank of America (BAC) July 22.50 straddle priced for a move of 7% into the expected release of quarter results on July 16.

Danaher (DHR) July 185 straddle priced for a move of 4% into the expected release of quarter results on July 16.

Dominos Pizza (DPZ) July 385 straddle priced for a move of 8% into the expected release of quarter results on July 16.

Honeywell (HON) July 140 straddle priced for a move of 6% into the expected release of quarter results before the bell on July 16.

Johnson & Johnson (JNJ) July 142 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on July 16.

Morgan Stanley (MS) July 47.50 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on July 16.

Netflix (NFLX) July 510 straddle priced for a move of 8.5% into the expected release of quarter results after the bell on July 16.

PPG Industries (PPG) July 105 straddle priced for a move of 8% into the expected release of quarter results after the bell on July 16.

Netflix (NFLX) 30-day option implied volatility is at 53; compared to its 52-week range of 26 to 99 into expected release of quarter results on July 16.

Apple (AAPL) 30-day option implied volatility is at 38; compared to its 52-week range of 18 to 90 into expected release of quarter results on July 30.

Altimmune (ALT) July weekly call option implied volatility is at 290, July is at 230; compared to its 52-week range of 89 to 352. Call put ratio 2.4 calls to 1 put with focus on July 20 and 22.50 calls.

GSX Techedu Inc. (GSX) July call option implied volatility is at 145, August is at 121; compared to its 52-week range of 61 to 168. Call put ratio 1 call to 1.8 puts.

Beyond Meat (BYND) July call option implied volatility is at 64, August is at 84; compared to its 52-week range of 47 to 130.

Pinduoduo (PDD) 30-day option implied volatility is at 72; compared to its 52-week range of 38 to 84 as shares near record high. Call put ratio 3.9 calls to 1 put.

Dick’s Sporting Goods (DKS) July and August call option implied volatility is at 49; compared to its 52-week range of 26 to 133 amid sport activity cancellations as Covid pandemic spreads.

Nike (NKE) July call option implied volatility and August is at 32; compared to its 52-week range of 16 to 112 amid sport activity cancellations as Covid pandemic spreads.

Options with decreasing option implied volatility: FDX BA ZS HTZ PENN ACN
Increasing unusual option volume: AMCX FTCH FEYE CSCO CLNE HAS ADSK ALT FIT WKHS TIP ANGI MXIM PTEN JMIA
Increasing unusual call option volume: WKHS CLNE TPX IEF ANGI
Increasing unusual put option volume: CNP SPWR SABR ALT WPX JMIA NKLA HAS OIH
Popular stocks with increasing volume: BBBY NIO ROKU SPCE NKLA AAL
Active options: AMD AAPL NIO BABA MSFT ROKU TSLA SPCE AMZN NKLA FB WMT BA BAC AAL NVDA SNAP BBBY TWTR DIS
Global S&P Futures recently lower in premarket, Nikkei down 1%, DAX mixed to lower, WTI Crude oil recently at $38.60, natural gas down 1.4%, gold at $1813 an ounce