Pre-Market IV Report July 28, 2020

Pre-Market IV Report July 28, 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: TGTX SLV NUGT GDX GLD IAU CAPR VXRT SOHU MESO TACO

Options expected to have increasing volume: FB GOOGL PII MMM V AMZN AAPL FB AMD AMGN EBAY PFE MCD HOG

Tech into quarter results and Washington testimony

Facebook (FB) July weekly call option implied volatility is at 77, 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 1.9 calls to 1 put.

Amazon (AMZN) July weekly call option implied volatility is at 79, August is at 48; 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 2.2 calls to 1 put.

Apple (AAPL) July weekly call option implied volatility is at 57, August is at 33; 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 1.9 calls to 1 put.

Alphabet (GOOGL) July weekly call option implied volatility is at 59, 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. Call put ratio 1.8 calls to 1 put.

Shopify (SHOP) July weekly call option implied volatility is at 103, August is at 66; compared to its 52-week range of 40 to 123 into the expected release of quarter results on July 29. Call put ratio 1.7 calls to 1 put.

Spotify (SPOT) July weekly call option implied volatility is at 104, August is at 63; compared to its 52-week range of 26 to 83 into the expected release of quarter results before the bell on July 29. Call put ratio 2 calls to 1 put with focus on July weekly calls.

Gold stocks option implied volatility as gold at $1930

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 50; compared to its 52-week range of 22 to 158. Call put ratio 2.3 calls to 1 put. OTM call IV bid above OTM put IV.

Market Vector Junior Gold Miners Etf (GDXJ) 30-day option implied volatility is at 59; compared to its 52-week range of 25 to 151. OTM call IV bid above OTM put IV.

SPDR Gold Trust (GLD) 30-day option implied volatility is at 23; compared to its 52-week range of 9 to 44 as gold trades above $1935. Call put ratio 2.3 calls to 1 put. OTM call IV bid above OTM put IV.

Newmont (NEM) July weekly call option implied volatility is at 65, August is at 45; compared to its 52-week range of 19 to 115 into the expected release of quarter results before the bell on July 30. Call put ratio 2.1 calls to 1 put.

Silver rises 8% yesterday, 4% this morning

Ishares Silver Trust (SLV) 30-day option implied volatility is at 61; compared to its 52-week range of 14 to 94. Call put ratio 6.2 calls to 1 put. OTM call IV bid above OTM put IV.

Moderna (MRNA) July weekly call option implied volatility is at 107, August is at 107; compared to its 52-week range of 51 to 172 after Biomedical Advanced Research and Development Authority made 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.

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) July weekly call option implied volatility is at 32, August is at 31; compared to its 52-week range of 17 to 109 into Federal Reserve policy meeting. Call put ratio 2.6 calls to 1 put.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 15; compared to its 52-week range of 9 to 48 into Federal Reserve policy meeting.

Straddle prices for stocks expected to report quarterly results this week

Anthem (ANTM) July weekly 265 straddle priced for a move of 6% into the expected release of quarter results on July 29.

Blue Apron (APRN) August 14 straddle priced for a move of 21% into the expected release of quarter results before the bell on July 29.

Boeing (BA) July weekly 170 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on July 29.

Boston Scientific (BSX) July weekly 38.50 straddle priced for a move of 4% into the expected release of quarter results before the bell on July 29.

Cheese Cake (CAKE) August 25 straddle priced for a move of 18% into the expected release of quarter results after the bell on July 29.

Deutsche Bank (DB) July weekly 9.5 straddle priced for a move of 6% into the expected release of quarter results before the bell on July 29.

Facebook (FB) July weekly 232.50 straddle priced for a move of 5.5% into the expected release of quarter results after the bell on July 29.

Garmin (GRMN) August 100 straddle priced for a move of 9% into the expected release of quarter results before the bell on July 29.

General Dynamics (GD) July weekly 148 straddle priced for a move of 3% into the expected release of quarter results on July 29.

General Electric (GE) July weekly 6.5 straddle priced for a move of 7.5% into the expected release of quarter results before the bell on July 29.

PayPal (PYPL) July weekly 177.50 straddle priced for a move of 7% into the expected release of quarter results after the bell on July 29.

Six Flags (SIX) August 20 straddle priced for a move of 19% into the expected release of quarter results before the bell on July 29.

Spotify (SPOT) July weekly 272.50 straddle priced for a move of 8% into the expected release of quarter results before the bell on July 29.

Teladoc (TDOC) July weekly 212.50 straddle priced for a move of 9% into the expected release of quarter results after the bell on July 29.

Vale (VALE) July weekly 12 straddle priced for a move of 6% into the expected release of quarter results on July 29.

Yum China (YUMC) July weekly 52.50 straddle priced for a move of 8% into the expected release of quarter results on July 29.

Alphabet (GOOGL) July weekly 1530 straddle priced for a move of 5% into the expected release of quarter results after the bell on July 30.

Altice (ATUS) August 25 straddle priced for a move of 11% into the expected release of quarter results after the bell on July 30.

Amazon (AMZN) July weekly 3055 straddle priced for a move of 6.5% into the expected release of quarter results after the bell on July 30.

Anheuser-Busch (BUD) July weekly 54 straddle priced for a move of 7% into the expected release of quarter results on July 30.

Apple (AAPL) July weekly 380 straddle priced for a move of 4.5% into the expected release of quarter results after the bell on July 30.

Options with decreasing option implied volatility: TSLA SNAP SAVE TWTR SKX COF CMG HAS MAT
Increasing unusual option volume: WKHS BGCP ELAN FE FFIV ASNA MARA AEP MLCO MRNA HAS TLRY ACB CRON NXPI PCG
Increasing unusual call option volume: BGCP ELAN FE FFIV MARA MLCO CSIQ SHW EMAN PHM SILJ AUY
Increasing unusual put option volume: AEP FE WKHS IBN YNDX HST UUP HAS WELL
Popular stocks with increasing volume: VALE AAL AUY NIO NKLA
Active options: INTC AMD AAPL TSLA MSFT AAL AUY NIO DKNG BA NFLX VALE BAC GE FB AMZN WFC NKLA MU T
Global S&P Futures recently mixed premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $41.45, natural gas mixed, gold at $1925 an ounce