Pre-Market IV Report July 27, 2020

Pre-Market IV Report July 27, 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: GLD BYND SPOT FSLY FE SONO NAK APT SLV GLD IAU SOGO SPOT FSLY PDD TWLO GLD NAK TGT BYND ATVI

Options expected to have increasing volume: MRNA GLD GDX SLV FFIV HAS SAP MMM AMD AMGN EBAY MCD PFE V AMZN AAPL FB PCG SAP

Gold approaches $2000, option implied volatility

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 41; compared to its 52-week range of 22 to 158 as gold trades up 2%. Call put ratio 3.3 calls to 1 put with focus on October calls.

Market Vector Junior Gold Miners Etf (GDXJ) 30-day option implied volatility is at 51; compared to its 52-week range of 25 to 151 as gold approaches $2000.

SPDR Gold Trust (GLD) 30-day option implied volatility is at 19; compared to its 52-week range of 9 to 44 as gold trades above $1935. Call put ratio 2.3 calls to 1 put.

Newmont (NEM) July weekly call option implied volatility is at 43, August is at 42; compared to its 52-week range of 19 to 115 into the expected release of quarter results before the bell on July 30.

Silver at 40-year highs

Ishares Silver Trust (SLV) 30-day option implied volatility is at 51; compared to its 52-week range of 14 to 94 as silver up 5.5%. Call put ratio 2.9 calls to 1 put.

Tech into quarter results and Washington testimony

Alphabet (GOOGL) July weekly call option implied volatility is at 51, August is at 36; compared to its 52-week range of 14 to 75 into the expected release of quarter results after the bell on July 30.

Facebook (FB) July weekly call option implied volatility is at 65, August is at 44; compared to its 52-week range of 20 to 81 into the expected release of quarter results after the bell on July 29. Call put ratio 1.4 calls to 1 put.

Amazon (AMZN) July weekly call option implied volatility is at 69, August is at 50; compared to its 52-week range of 16 to 68 into expected release of quarter results after the bell on July 30. Call put ratio 1.4 calls to 1 put.

Apple (AAPL) July weekly call option implied volatility is at 45, August is at 35; compared to its 52-week range of 18 to 90 into the expected release of quarter results after the bell on July 30. Call put ratio 1.4 calls to 1 put.

Moderna (MRNA) July weekly call option implied volatility is at 97, August is at 102; compared to its 52-week range of 51 to 172 into Biomedical Advanced Research and Development Authority, or BARDA, making an additional commitment of up to $472M to support late stage clinical development including the expanded Phase 3 study of the company’s mRNA vaccine candidate against COVID-19.

Ishares Msci Mexico Capped Etf (EWW) 30-day option implied volatility is at 33; compared to its 52-week range of 15 to 105 amid Mexico has asked top Wall Street banks to submit quotes for its giant oil hedging program, Reuters reports.

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) July weekly call option implied volatility is at 30, August is at 31; compared to its 52-week range of 17 to 109 into Federal Reserve policy meeting.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 16; compared to its 52-week range of 9 to 48 into Federal Reserve policy meeting.

Matador Resources (MTDR) 30-day option implied volatility is at 97; compared to its 52-week range of 43 to 533. Call put ratio 8.6 calls to 1 put with focus on August 10 calls.

WPX Energy (WPX) 30-day option implied volatility is at 79; compared to its 52-week range of 36 to 265. Call put ratio 4.1 calls to 1 put with focus on August 6 calls.

Laredo Petroleum (LPI) 30-day option implied volatility is at 117; compared to its 52-week range of 63 to 376. Call put ratio 10 calls to 1 put with focus on August 16 calls.

Straddle prices for stocks expected to report quarterly results this week

NXP Semiconductors (NXPI) July weekly 116 straddle priced for a move of 7% into the expected release of quarter results after the bell on July 27.

3M (MMM) July weekly 160 straddle priced for a move of 6% into the expected release of quarter results before the bell on July 28.

Advanced Micro Devices (AMD) July weekly 69 straddle priced for a move of 11% into the expected release of quarter results after the bell on July 28.

A straddle entails buying a call and put of the same strike that allows the holder to profit based on how much the price of the underlying security moves, regardless of the direction of price movement.

Akamai (AKAM) July weekly 112 straddle priced for a move of 6% into the expected release of quarter results after the bell on July 28.

Amgen (AMGN) July weekly 247.50 straddle priced for a move of 5% into the expected release of quarter results after the bell on July 28.

Avis (CAR) August 29 straddle priced for a move of 11% into the expected release of quarter results after the bell on July 28.

Chubb (CB) August 135 straddle priced for a move of 9% into the expected release of quarter results after the bell on July 28.

Corning (GLW) July weekly 29 straddle priced for a move of 8% into the expected release of quarter results before the bell on July 28.

FireEye (FEYE) July weekly 13 straddle priced for a move of 11% into the expected release of quarter results after the bell on July 28.

Groupon (GRPN) July weekly 16 straddle priced for a move of 20% into the expected release of quarter results after the bell on July 28.

Harley-Davidson (HOG) July weekly 29 straddle priced for a move of 9.5% into the expected release of quarter results on July 28.

JetBlue (JBLU) August 10 straddle priced for a move of 17% into the expected release of quarter results before the bell on July 28.

Juniper (JNPR) July weekly 24.50 straddle priced for a move of 8% into the expected release of quarter results after the bell on July 28.

McDonald’s (MCD) July weekly 200 straddle priced for a move of 4% into the expected release of quarter results before the bell on July 28.

Mondelez (MDLZ) July weekly 55 straddle priced for a move of 4.5% into the expected release of quarter results on July 28.

NCR (NCR) August 18 straddle priced for a move of 14% into the expected release of quarter results on July 28.

Pfizer (PFE) July weekly 37.50 straddle priced for a move of 4% into the expected release of quarter results before the bell on July 28.

Raytheon (RTX) July weekly 62 straddle priced for a move of 5% into the expected release of quarter results before the bell on July 28.

Rockwell (ROK) July 225 straddle priced for a move of 8% into the expected release of quarter results before the bell on July 28.

Starbucks (SBUX) July weekly 76 straddle priced for a move of 5% into the expected release of quarter results after the bell on July 28.

Options with decreasing option implied volatility: WKHS NBL TGTX TSLA SNAP AAL
Increasing unusual option volume: ASNA FE EMAN EHTH PHM KTOS MAT BX DISH HAS
Increasing unusual call option volume: FE PHM EMAN IEF EHTH ARKK KTOS EB MAT
Increasing unusual put option volume: WKHS FE EHTH NAK SIRI ASHR MAT
Popular stocks with increasing volume: NKLA PFE AUY NVDA T
Active options: TSLA MSFT AMZN NIO FB BAC BA GE NVDA AAL T NFLX NKLA MU PFE TWTR AUY
Global S&P Futures recently mixed premarket, Nikkei mixed, DAX mixed to higher, WTI Crude oil recently at $41.16, natural gas down 2.3%, gold at $1937 an ounce