Pre-Market IV Report July 15, 2020

Pre-Market IV Report July 15, 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: VHC SRNE ZNGA EBAY TSLA FLSY LVGO AMZN NET SPOT EVRI SPCE JMIA

Options expected to have increasing volume: MRNA UNH AA BK GS BAC DHR UAL DAL AAL LUV HA JBLU ALGT ALK SAVE CCL RCL NCLH

Option implied volatility into Moderna (MRNA) into disclosing COVID-19 vaccine data

Moderna (MRNA) July call option implied volatility is at 110, August is at 105; compared to its 52-week range of 51 to 172 into disclosing ph.1 COVID-19 vaccine data in NEJM. Call put ratio 7 calls to 1 put with focus on July calls.

Gilead (GILD) July call option implied volatility is at 32, August is at 34; compared to its 52-week range of 19 to 108 into Moderna (MRNA) disclosing ph.1 COVID-19 vaccine data in NEJM.

Regeneron (REGN) July call option implied volatility is at 34, August is at 39; compared to its 52-week range of 25 to 79.

Novavax (NVAX) July call option implied volatility is at 140, August is at 145; compared to its 52-week range of 85 to 317.

Travel stocks IV into Moderna (MRNA) disclosing ph.1 COVID-19 vaccine data in NEJM

Royal Caribbean Cruises (RCL) 30-day option implied volatility is at 100; compared to its 52-week range of 20 to 271 into Moderna (MRNA) disclosing ph.1 COVID-19 vaccine data in NEJM.

Carnival Cruise Lines (CCL) 30-day option implied volatility is at 103; compared to its 52-week range of 18 to 268 into Moderna (MRNA) disclosing ph.1 COVID-19 vaccine data in NEJM.

Norwegian Cruise Line (NCLH) 30-day option implied volatility is at 105; compared to its 52-week range of 20 to 266 into Moderna (MRNA) disclosing ph.1 COVID-19 vaccine data in NEJM.

Live Nation Entertainment (LYV) 30-day option implied volatility is at 74; compared to its 52-week range of 20 to 197 into Moderna (MRNA) disclosing ph.1 COVID-19 vaccine data in NEJM.

Netflix (NFLX) July call option implied volatility is at 138, August is at 64; compared to its 52-week range of 27 to 99 into the expected release of quarter results after the bell on July 15. Call put ratio 2.4 calls to 1 put.

Spdr S&P Regional Banking Etf (KRE) July call option implied volatility is at 33, August is at 47; compared to its 52-week range of 17 to 127 into banks provisions for loans. Call put ratio 1 call to 6.5 puts.

Financial Select Sector SPDR ETF (XLF) July call option implied volatility is at 41, August is at 35; compared to its 52-week range of 13 to 111 into the release of banks provisions for loans. Call put ratio 1.2 calls to 1 put.

Tesla (TSLA) July call option implied volatility is at 121, August is at 120; 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.

Straddle prices for stocks expected to report quarterly results this week

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

United Health Group (UNH) July 307.50 straddle priced for a move of 4.5% into the expected release of quarter today results before the bell.

Abbott Laboratories (ABT) July 95 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 24 straddle priced for a move of 5% 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 148 straddle priced for a move of 3% into the expected release of quarter results before the bell on July 16.

Johnson & Johnson (JNJ) July 148 straddle priced for a move of 3% into the expected release of quarter results before the bell on July 16.

Morgan Stanley (MS) July 50.50 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 10% into the expected release of quarter results after the bell on July 16.

PPG Industries (PPG) July 112 straddle priced for a move of 6% into the expected release of quarter results after the bell on July 16.

Taiwan Semiconductor (TSM) July 67 straddle priced for a move of 4.5% into the expected release of quarter results on July 16.

Ally Financial (ALLY) July 21 straddle priced for a move of 10% into the expected release of quarter results before the bell on July 17.

Blackrock (BLK) July 560 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 152 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 6% into the expected release of quarter results before the bell on July 17.

Options with decreasing option implied volatility: NKE GNUS C HTZ BYFT NIO FIT
Options with increasing option implied volatility: VHC SRNE ZNGA EBAY TSLA FLSY LVGO AMZN NET SPOT EVRI SPCE JMIA
Options expected to have increasing volume: MRNA UNH AA BK GS BAC DHR
Options with increasing volume: STM SOLO WKHS LRN WRTC TIP EB
Increasing unusual call option volume: STM SOLO EB WKHS WRTC LRN CEMI BLNK CARS HBI VHC
Increasing unusual put option volume: MUR OVV URBN BKLN ALT ADI WB SSRM
Popular stocks with increasing volume: F NKLA STM DIS WMT NIO
Active options: AAPL TSLA NIO MSFT WFC FB JPM AMD BA BABA F AMZN BAC SNAP NFLX NKLA STM NVDA DIS WMT
Global S&P Futures recently up 0.5% in premarket, Nikkei up 1.5%, DAX up 0.8%, WTI Crude oil recently at $40.86, natural gas mixed to higher, gold at $1815 an ounce