Pre-Market IV Report July 20, 2020

Pre-Market IV Report July 20, 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: SPOT TWLO AMZN EBAY AZN W ZNGA SRNE FSLY LVGO CLVS COMM VBIV

Options expected to have increasing volume: AZN PHG TXN LMT KO UAL IBM HAL CDN HAL UAL AAL CDN TSLA AMZN LVS MSFT NIO TWTR

AstraZeneca (AZN) 30-day option implied volatility is at 62; compared to its 52-week range of 16 to 85 into the expected release of data. Call put ratio 9 calls to 1 put into shares trade near record high.

Recent movers IV

Inovio Pharma (INO) July weekly call option implied volatility at 151, August is at 178; compared to its 52-week range of 64 to 392 as shares near 52-week high. Call put ratio 3.8 calls to 1 put.

Novavax (NVAX) July weekly call option implied volatility is at 168, August is at 159; compared to its 52-week range of 85 to 316 after sharp rally.

Moderna (MRNA) July weekly call option implied volatility is at 135, August is at 105; compared to its 52-week range of 51 to 172 after sharp rally. Call put ratio 3.7 calls to 1 put.

iShares Nasdaq Biotechnology (IBB) 30-day option implied volatility is at 28; compared to its 52-week range of 17 to 80. Call put ratio 2.5 calls to 1 put.

Global X Cloud Computing ETF (CLOU) 30-day option implied volatility is at 41; compared to its 52-week range of 34 to 51. Call put ratio 7.6 calls to 1 put with focus on December options.

Livongo Health (LVGO) July weekly call option implied volatility is at 75, August is at 88; compared to its 52-week range of 62 to 111. Call put ratio 3.4 calls to 1 put.

Work from home stocks option implied volatility as cash moves to semiconductor stocks

Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 33 compared to its 52-week range of 19 to 91 as shares near record high.

Logitech (LOGI) 30-day option implied volatility is at 44; compared to its 52-week range of 19 to 86 after benefiting from stay at home work business.

PayPal (PYPL) 30-day option implied volatility is at 47; compared to its 52-week range of 20 to 90 after benefiting from stay at home work business.

Twillio (TWLO) 30-day option implied volatility is at 76; compared to its 52-week range of 33 to 96 after benefiting from stay at home work business.

Cloudflare (NET) 30-day option implied volatility is at 86; compared to its 52-week range of 49 to 119 after benefiting from stay at home work business.

Straddle prices for stocks expected to report quarterly results this week

Halliburton (HAL) July weekly 13 straddle priced for a move of 8% into the expected release of quarter results today before the bell.

IBM (IBM) July weekly 125 straddle priced for a move of 5% into the expected release of quarter results today after the bell.

Lands End (LE) August 10 straddle priced for a move of 28% into the expected release of quarter results today before the bell.

Steel Dynamics (STLD) August 27 straddle priced for a move of 13% into the expected release of quarter results today after the bell.

Intuitive Surgical (ISRG) July weekly 650 straddle priced for a move of 6.5% into the expected release of quarter results after the bell on July 21.

iRobot (IRBT) July weekly 85 straddle priced for a move of 21% into the expected release of quarter results after the bell on July 21.

Lockheed Martin (LMT) July weekly 370 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on July 21.

Philip Morris (PM) July weekly 75 straddle priced for a move of 5% into the expected release of quarter results before the bell on July 21.

Snap (SNAP) July weekly 24.50 straddle priced for a move of 13% into the expected release of quarter results after the bell on July 21.

Southern Copper (SCCO) July weekly 44 straddle priced for a move of 11% into the expected release of quarter results after the bell on July 21.

Texas Instruments (TXN) July weekly 133 straddle priced for a move of 6% into the expected release of quarter results after the bell on July 21.

United Airlines (UAL) July weekly 34 straddle priced for a move of 13% into the expected release of quarter results after the bell on July 21.

Biogen (BIIB) July weekly 280 straddle priced for a move of 6% into the expected release of quarter results before the bell on July 22.

Canadian Pacific (CP) August 270 straddle priced for a move of 7% into the expected release of quarter results on July 22.

Chipotle (CMG) July weekly 1135 straddle priced for a move of 8% into the expected release of quarter results after the bell on July 22.

CSX (CSX) July weekly 72 straddle priced for a move of 6% into the expected release of quarter results after the bell on July 22.

Las Vegas Sands (LVS) July weekly 49 straddle priced for a move of 9% into the expected release of quarter results after the bell on July 22.

Melco Resorts (MLCO) August 17 straddle priced for a move of 17% into the expected release of quarter results before the bell on July 22.

Microsoft (MSFT) July weekly 202.50 straddle priced for a move of 6% into the expected release of quarter results after the bell on July 22.

PG&E (PCG) July weekly 9 straddle priced for a move of 7% into the expected release of quarter results on July 22.

Spirit (SAVE) August 18 straddle priced for a move of 26% into the expected release of quarter results on July 22.

Tesla (TSLA) July weekly 1500 straddle priced for a move of 15% into the expected release of quarter results after the bell on July 22.

Whirlpool (WHR) July weekly 143 straddle priced for a move of 7.5% into the expected release of quarter results after the bell on July 22.

Alaska Air Group (ALK) August 37.50 straddle priced for a move of 18% into the expected release of quarter results before the bell on July 23.

Amazon (AMZN) July weekly 2960 straddle priced for a move of 5% into the expected release of quarter results after the bell on July 23.

AT&T (T) July weekly 30 straddle priced for a move of 4% into the expected release of quarter results before the bell on July 23.

Options with decreasing option implied volatility: C GS OXY HTZ CZR GSX BFYT CLF
Increasing unusual option volume: MRNA COMM IDEX WKHS CX ELAN LRN
Increasing unusual call option volume: COMM IDEX VOD LRN CX ERIC QGEN
Increasing unusual put option volume: ERIC MXEF AZN XLB MVIS ATUS WELL
Popular stocks with increasing volume: GE AZN DIS AUY
Active options: NIO AAPL SPCE TSLA NFLX MRNA NKLA MSFT FB AMZN AMD BAC BA AAL AZN GE F BABA DIS AUY
Global S&P Futures recently mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $40.40, natural gas down 1%, gold at $1812 an ounce