Pre-Market IV Report July 2, 2020

Pre-Market IV Report July 2, 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 NVAX WKHS NET AMZN SPOT SONO GSX FSLY IRBT TCO MELI CRBP AXDX GILD CULP

Options expected to have increasing volume: TSLA NKLA WKHS BYND

Tesla (TSLA) July weekly call option implied volatility is at 80, July is at 61, August is at 70; compared to its 52-week range of 33 to 154 into Q2 delivery numbers. Call put ratio 1.6 calls to 1 put.

Nikola (NKLA) July weekly call option implied volatility is at 122, July and August is at 120; compared to its 52-week range of 67 to 305. Call put ratio 3.7 calls to 1 put.

Workhorse Group (WKHS) July call option implied volatility is at 240, August is at 220; compared to its 52-week range of 102 to 286 as shares rally 5%. Call put ratio 2.3 calls to 1 put.

Sonos (SONO) 30-day option implied volatility is at 92; compared to its 52-week range 41 to 120. Call put ratio 39 calls to 1 put with focus on August 20 calls.

Berkshire Hathaway (BRKB) 30-day option implied volatility is at 24; compared to its 52-week range of 12 to 79.

Industrial Sel Sect Spdr Fd (XLI) 30-day option implied volatility is at 32; compared to its 52-week range of 11 to 85. Call put ratio 1.9 calls to 1 put.

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 47; compared to its 52-week range of 15 to 131. Call put ratio 2.3 calls to 1 put.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 36; compared to its 52-week range of 13 to 111. Call put ratio 1.4 calls to 1 put.

Straddle prices into next week

Levi Strauss (LEVI) July straddle priced for a move of 13% into the expected release of quarter results after the bell on July 7.

Paychex (PAYX) July 77.50 straddle priced for a move of 7% into the expected release of quarter results after the bell on July 7.

Bed Bath & Beyond (BBBY) July weekly 10.50 straddle priced for a move of 17% into the expected release of quarter results after the bell on July 8.

Delta Air Lines (DAL) July weekly 28 straddle priced for a move of 11% into the expected release of quarter results before the bell on July 9.

Walgreens Boots Alliance (WBA) July weekly 41 straddle priced for a move of 7.5% into the expected release of quarter results on July 9.

Gold stocks option implied volatility amid gold near 8-year high into June jobs data

AngloGold Ashanti (AU) 30-day option implied volatility is at 57; compared to its 52-week range of 41 to 143

Kirkland Lake Gold (KL) 30-day call option implied volatility is at 52; compared to its 52-week range of 34 to 127

Market Vector Junior Gold Miners Etf (GDXJ) 30-day option implied volatility is at 47; compared to its 52-week range of 25 to 151.

Options with decreasing option implied volatility: GS ZYNE ZS HTZ APT RAD UCO ZI PCG KBH XRT
Options with increasing option implied volatility: SRNE NVAX WKHS NET AMZN SPOT SONO GSX FSLY IRBT TCO MELI CRBP AXDX GILD CULP
Increasing unusual option volume: PFE WKHS DXC SCHW SONO YRCW WMG
Increasing unusual call option volume: WKHS SKX DXC SCHW YRCW
Increasing unusual put option volume: DXC MUR SCHW FUN BLMN CROX NKLA
Popular stocks with increasing volume: SQ ROKU NKLA BYND
Active options: FB TSLA AAPL MSFT AMZN BA PFE AAL ROKU NKLA BYND APA NFLX INO BAC AMD SQ DXC SCHW JPM
Global S&P Futures recently up 0.3% in premarket, Nikkei mixed, DAX up 1.7%, WTI Crude oil recently at $40.05, natural gas up 2.8%, gold at $1783 an ounce