Pre-Market IV Report July 6, 2020

Pre-Market IV Report July 6, 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: NVAX GSX NET AMZN SRNE SOLO SPOT BLNK SONO NIO FSCT PCG

Options expected to have increasing volume: UBER D BRK-B BBBY LEVI PAYX WBA

Berkshire Hathaway (BRK-B) IV into Berkshire’s Energy to acquire Dominion Energy’s (D) Gas Transmission, Storage Business

Berkshire Hathaway (BRKB) 30-day option implied volatility is at 22; compared to its 52-week range of 12 to 79 into Berkshire Hathaway Energy, a subsidiary of Warren Buffett’s Berkshire Hathaway (BRK.A; BRK.B), announced it has executed a definitive agreement to acquire Dominion Energy’s (D) natural gas transmission and storage business.

Dominion Energy (D) 30-day option implied volatility is at 25; compared to its 52-week range of 13 to 96.

United States Natural Gas (UNG) 30-day option implied volatility is at 61; compared to its 52-week range of 33 to 87 as Natural Gas up 4%.

American Electric Power (AEP) 30-day option implied volatility is at 25 compared to its 52-week range of 11 to 90 into Berkshire Hathaway (BRK.A; BRK.B), announced it has executed a definitive agreement to acquire Dominion Energy’s (D) natural gas transmission and storage business.

FirstEnergy (FE) 30-day option implied volatility is at 29 compared to its 52-week range of 14 to 98.

NextEra (NEE) 30-day option implied volatility is at 26 compared to its 52-week range of 14 to 91.

Southern Energy (SO) 30-day option implied volatility is at 29 compared to its 52-week range of 13 to 92.

FedEx (FDX) July weekly call option implied volatility is at 29, July is at 33; compared to its 52-week range of 22 to 137 after rallying 19% last week.

Macy (M) 30-day option implied volatility is at 92; compared to its 52-week range of 31 to 165 after rallying 13% last week.

Wynn Resorts Ltd (WYNN) 30-day option implied volatility is at 74; compared to its 52-week range of 31 to 216 after rallying 12% last week.

Centene (CNC) 30-day option implied volatility is at 42; compared to its 52-week range of 28 to 122 after rallying 11% last week.

Amgen (AMGN) 30-day option implied volatility is at 30; compared to its 52-week range of 29 to 159 after rallying 9% last week.

Kohl’s (KSS) 30-day option implied volatility is at 81; compared to its 52-week range of after rallying 9% last week.

Straddle prices for stocks expected to report quarterly results this 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 11 straddle priced for a move of 16% 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 12% into the expected release of quarter results before the bell on July 9.

Walgreens Boots Alliance (WBA) July weekly 42 straddle priced for a move of 6% into the expected release of quarter results on July 9.

Option implied volatility for Tanker companies

Teekay Tankers Ltd (TNK) 30-day option implied volatility is at 80; compared to its 52-week range of 64 to 182.

International Seaways (INSW) 30-day option implied volatility is at 69; compared to its 52-week range of 30 to 138.

Euronav (EURN) 30-day option implied volatility is at 56; compared to its 52-week range of 37 to 148.

Scorpio Tankers (STNG) 30-day option implied volatility is at 86; compared to its 52-week range of 49 to 208.

Option implied volatility for refiner companies

Phillips 66 (PSX) 30-day option implied volatility is at 49; compared to its 52-week range of 17 to 118.

Marathon Petroleum (MPC) 30-day option implied volatility is at 65; compared to its 52-week range of 29 to 136.

Valero Energy (VLO) 30-day option implied volatility is at 55; compared to its 52-week range of 22 to 144.

Options with decreasing option implied volatility: GS FDX C HTZ LKNCY INO SRNE APT RRC CPRI CGC CLDR
Increasing unusual option volume: WKHS IRDM ELF CHNG SONO CLSN NKLA PINS KSU SPOT WYNN MRNA TSM BDX SONO
Increasing unusual call option volume: WKHS IEF CHNG SONO CLSN PCG
Increasing unusual put option volume: NKLA FSCT RRR BPY IEF PLUG XLY EOG
Popular stocks with increasing volume: GM WKHS ROKU AAL PCG
Active options: TSLA AAPL NIO AMZN FB PCG NKLA MSFT GNUS BA ROKU AAL BAC BABA AMD WKHS GM NVDA NFLX PFE
Global S&P Futures recently up 0.5% in premarket, Nikkei up 1.8%, DAX up 1.4%, WTI Crude oil recently at $40.79, natural gas up 4%, gold at $1784 an ounce