Pre-Market IV Report July 14, 2020

Pre-Market IV Report July 14, 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 ZNGA OPK FSLY LVGO NET SPOT AMZN JMIA EVRI SPCE

Options expected to have increasing volume: JPM WFC C DAL MHK TSLA

Tesla (TSLA) July call option implied volatility is at 128, August is at 118; compared to its 52-week range of 33 to 154 into the expected release of quarter results on July 22. Tesla to hold annual shareholder meet and ‘Battery Day’ on Sept. 22. Call put ratio 1.2 calls to 1 put.

NIO Inc. (NIO) July call option implied volatility is at 200, August is at 189; compared to its 52-week range of 76 to 221. Call put ratio 1.9 calls to 1 put with focus on July calls.

Workhorse Group (WKHS) July call option implied volatility is at 196, August is at 184; compared to its 52-week range of 102 to 286 as shares rally 11%. Call put ratio 2.6 calls to 1 put with focus on July calls.

Nikola (NKLA) July call option implied volatility is at 145, August is at 139; compared to its 52-week range of 67 to 305. Call put ratio 2.1 calls to 1 put.

United States Oil Fund (USO) July call option implied volatility is at 47, August is at 40; compared to its 52-week range of 23 to 247 into two-day OPEC meeting. Call put ratio 1.8 calls to 1 put.

Straddle prices for stocks expected to report quarterly results this week

Citigroup (C) July 52.50 straddle priced for a move of 7% into the expected release of quarter results today before the bell.

Delta Air Lines (DAL) July 27 straddle priced for a move of 12% into the expected release of quarter results today before the bell.

Fastenal (FAST) July 42.50 straddle priced for a move of 9% into the expected release of quarter results today.

JPMorgan (JPM) July 97.50 straddle priced for a move of 7% into the expected release of quarter results today before the bell.

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

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

Bank of New York Mellon (BK) July 39 straddle priced for a move of 7% into the expected release of quarter results before the bell on July 15.

Goldman Sachs (GS) July 210 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 102 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 300 straddle priced for a move of 4.5% 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 6% into the expected release of quarter results on July 16.

Danaher (DHR) July 180 straddle priced for a move of 4.5% into the expected release of quarter results on July 16.

Dominos Pizza (DPZ) July 400 straddle priced for a move of 8.5% into the expected release of quarter results on July 16.

Honeywell (HON) July 144 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on July 16.

Johnson & Johnson (JNJ) July 145 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 525 straddle priced for a move of 11% into the expected release of quarter results after the bell on July 16.

PPG Industries (PPG) July 109 straddle priced for a move of 5% into the expected release of quarter results after the bell on July 16.

Schwab (SCHW) July 34.5 straddle priced for a move of 7% into the expected release of quarter results before the bell on July 16.

Taiwan Semiconductor (TSM) July 65 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 550 straddle priced for a move of 4% into the expected release of quarter results before the bell on July 17.

Kansas City Southern (KSU) July 148 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 9% into the expected release of quarter results before the bell on July 17.

Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 38; compared to its 52-week range of 19 to 91.

Virgin Galactic Holdings (SPCE) July call option implied volatility is at 114, August is at 130; compared to its 52-week range of 39 to 237. Call put ratio 4.9 calls to 1 put with focus on July 18 and 20 calls.

Options with decreasing option implied volatility: BA FDX BRKB HTZ BYFT
Increasing unusual option volume: SOLO WKHS QURE ELAN TIP CHL MXIM ROKU
Increasing unusual call option volume: SOLO WKHS CHL ELAN STM THO BLNK PRPL
Increasing unusual put option volume: TFC GPN WLL BYFT ALT AER THO RUN FAST
Popular stocks with increasing volume: PFE SPCE MRNA WORK SNAP AAL NIO
Active options: AAPL TSLA AMD NIO MSFT FB JPM BAC WMT AMZN PFE BA ROKU SPCE MRNA WORK SNAP NFLX BABA AAL