Pre-Market IV Report July 13, 2020

Pre-Market IV Report July 13, 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: SRNE MRNA EBAY AMZN SPCE FLSY NIO TSLA LVGO SPOT BLNK

Options expected to have increasing volume: ADI MXIM SMH PEP JPM WFC C DAL TSLA NFLX

SPDR S&P 500 ETF Trust (SPY) July call option implied volatility is at 20, August is at 23; compared to its 52-week range of 10 to 77 into U.S. coronavirus cases increase, at a record in Florida.

United States Oil Fund (USO) July call option implied volatility is at 37, August is at 38; compared to its 52-week range of 23 to 2247 into two-day OPEC meeting. Call put ratio 2 calls to 1 put.

Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 34; compared to its 52-week range of 19 to 91 into WSJ report Analog Devices (ADI) in talks to buy Maxim for about $20B.
Analog Devices in Talks to Buy Rival Maxim for About $20B

Analog Devices (ADI) call put ratio 3.1 calls to 1 put into talks to acquire Maxim Integrated Products (MXIM) for more than $20B, the WSJ reported. Overall option implied volatility is at 41; compared to its 52-week range of 22 to 94

Maxim Integrated Products (MXIM) July call option implied volatility is at 47, August is at 47; compared to its 52-week range of 22 to 91. Call put ratio 18.7 calls to 1 put with focus on July 60 and 65 calls.

Tesla (TSLA) July call option implied volatility is at 89, August is at 90; compared to its 52-week range of 33 to 154 into the expected release of quarter results on July 22. Tesla will hold its annual shareholder meeting and ‘Battery Day’ on Sept. 22.

Shyft Group (SHYF) 30-day option implied volatility is at 65; compared to its 52-week range of 37 to 151 after Reuters reported Amazon (AMZN) ordered more than 2,200 heavy-duty trucks from Shyft Group. Call put ratio 27 calls to 1 put with focus on July 20 calls.

Virgin Galactic Holdings (SPCE) July call option implied volatility is at 107, August is at 135; compared to its 52-week range of 39 to 237. Call put ratio 4.3 calls to 1 put with focus on July weekly and July 20 calls.

Sony (SNE) 30-day option implied volatility is at 37; compared to its 52-week range of 19 to 71 as shares near 18-year high.

Tortoise Acquisition (SHLL) 30-day option implied volatility is at 160; compared to its 52-week range of 160 to 190 amid wide price movement.

Straddle prices for stocks expected to report quarterly results this 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 52.50 straddle priced for a move of 7% into the expected release of quarter results before the bell on July 14.

Delta Air Lines (DAL) July 27 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 96.50 straddle priced for a move of 7% into the expected release of quarter results before the bell on July 14.

Wells Fargo (WFC) July 25.50 straddle priced for a move of 8.5% into the expected release of quarter results before the bell on July 14.

Alcoa (AA) July 11.50 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 38.50 straddle priced for a move of 9% into the expected release of quarter results before the bell on July 15.

Goldman Sachs (GS) July 205 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on July 15.

PNC Financial (PNC) July 101 straddle priced for a move of 7% 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 6% into the expected release of quarter results before the bell on July 15.

Abbott Laboratories (ABT) July 93 straddle priced for a move of 6% into the expected release of quarter results before the bell on July 16.

Bank of America (BAC) July 24 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 400 straddle priced for a move of 8% into the expected release of quarter results on July 16.

Honeywell (HON) July 142 straddle priced for a move of 5% 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 50 straddle priced for a move of 6% into the expected release of quarter results before the bell on July 16.

Netflix (NFLX) July 550 straddle priced for a move of 9% into the expected release of quarter results after the bell on July 16.

PPG Industries (PPG) July 107 straddle priced for a move of 7% into the expected release of quarter results after the bell on July 16.

Schwab (SCHW) July 35 straddle priced for a move of 7% into the expected release of quarter results before the bell on July 16.

Taiwan Semiconductor (TSM) July 64 straddle priced for a move of 4.5% into the expected release of quarter results on July 16.

Ally Financial (ALLY) July 20 straddle priced for a move of 10% into the expected release of quarter results before the bell on July 17.

Blackrock (BLK) July 555 straddle priced for a move of 5% into the expected release of quarter results before the bell on July 17.

Kansas City Southern (KSU) July 144 straddle priced for a move of 8% into the expected release of quarter results before the bell on July 17.

State Street (STT) July 65 straddle priced for a move of 7% into the expected release of quarter results before the bell on July 17.

Options with decreasing option implied volatility: HTZ BA FDX ZS IVR
Increasing unusual option volume: WKHS CNX BLNK SHYF CWH OSTK FEZ ITUB ASHR BLNK
Increasing unusual call option volume: WKHS FEZ BLNK ITUB ASHR FE
Increasing unusual put option volume: ERIC CNX WPX FSLY ASHR
Popular stocks with increasing volume: NIO NKLA SPCE SNAP WMT ROKU
Active options: TSLA BAC NFLX NIO AMD AAPL ROKU BABA MSFT BA FB AMZN WMT DIS CCL AAL JPM NKLA SPCE SNAP
Global S&P Futures recently mixed in premarket, Nikkei up 2%, DAX up 1%, WTI Crude oil recently at $39.98, natural gas mixed, gold at $1814 an ounce