Pre-Market IV Report July 7, 2020

Pre-Market IV Report July 7, 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: TSLA IRBT ASHR SRNE TLRY NVAX WMT GSX BLNK FSLY SOLO NIO SPOT ITCH CHAU

Options expected to have increasing volume: LEVI PAYX BBBY NVAX RUN VSLR

Amazon (AMZN) 30-day option implied volatility is at 42, July is at 38, August is at 40; compared to its 52-week range of 20 to 69 as shares above $3000. Call put ratio 2.2 calls to 1 put with focus on July weekly and July 3000 calls.

Tesla (TSLA) July (10) weekly call option implied volatility is at 90, July is at 87, August is at 85; compared to its 52-week range of 33 to 154 as shares rally 8.3% to record high. Call put ratio 1.4 calls to 1 put.

NIO Inc. (NIO) 30-day option implied volatility is at 183; compared to its 52-week range of 76 to 221. Call put ratio 3.2 calls to 1 put with focus on July calls.

Nikola (NKLA) July weekly call option implied volatility is at 205, July is at 190, August is at 141; compared to its 52-week range of 67 to 305. Call put ratio 1.2 calls to 1 put.

Workhorse Group (WKHS) July call option implied volatility is at 205, August is at 190; compared to its 52-week range of 102 to 286. Call put ratio 2.3 calls to 1 put.

Straddle prices for stocks expected to report quarterly results this week

Bed Bath & Beyond (BBBY) July weekly 11 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 8% into the expected release of quarter results before the bell on July 9.

Walgreens Boots Alliance (WBA) July weekly 43 straddle priced for a move of 6% into the expected release of quarter results on July 9.

Option implied volatility for Utilities

Utilities Sel Sect Spdr Fd (XLU) 30-day option implied volatility is at 25; compared to its 52-week range of 9 to 86

Duke Energy (DUK) 30-day option implied volatility is at 29; compared to its 52-week range of 12 to 99

Dominion Energy (D) 30-day option implied volatility is at 37; compared to its 52-week range of 13 to 96

Exelon (EXC) 30-day option implied volatility is at 33; compared to its 52-week range of 14 to 91

Sempra Energy (SRE) 30-day option implied volatility is at 34; compared to its 52-week range of 13 to 86

Public Service (PEG) 30-day option implied volatility is at 30; compared to its 52-week range of 13 to 103

Xcel Energy (XEL) 30-day option implied volatility is at 29; compared to its 52-week range of 13 to 83

Consolidated Edison (EIX) 30-day option implied volatility is at 41; compared to its 52-week range of 20 to 94

American Electric Power (AEP) 30-day option implied volatility is at 29 compared to its 52-week range of 11 to 90

FirstEnergy (FE) 30-day option implied volatility is at 31; 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 30; compared to its 52-week range of 13 to 92

CenterPoint Energy (CNP) 30-day option implied volatility is at 41 compared to its 52-week range of 16 to 115

Evergy (EVRG) 30-day option implied volatility is at 48 compared to its 52-week range of 14 to 83

Sempra Energy (SRE) 30-day option implied volatility is at 34 compared to its 52-week range of 13 to 86

Sunrun (RUN) 30-day option implied volatility is at 61; compared to its 52-week range of 39 to 148 into announces agreement to acquire Vivint Solar (VLSR) in all-stock deal. Call put ratio 1 call to 2 puts.

Vivint Solar (VLSR) 30-day option implied volatility is at 92; compared to its 52-week range of 43 to 220 into Sunrun (RUN) announces agreement to acquire Vivint Solar in all-stock deal. Call put ratio 6.5 calls to 1 put with focus on July 12 calls.

Options with decreasing option implied volatility: C OXY ZS FDX HTZ INO
Increasing unusual option volume: WKHS PUMP ASHR D IRDM MTDR ANGI
Increasing unusual call option volume: WKHS ASHR D ANGI XLNX TME FSLR YINN LIT PAYX
Increasing unusual put option volume: MTDR NKLA SMAR D PLCE SPWR
Popular stocks with increasing volume: BABA TLRY MSFT TSM FSLR ROKU NKLA AAL NFLX PCG ET NIO ROKU PCG UBER
Active options: AAPL TSLA NIO BABA MSFT FB AMD BA AMZN NKLA SQ BAC GNUS UBER TLRY AAL NFLX PCG ROKU ET
Global S&P Futures recently down 0.65% in premarket, Nikkei down 0.4%, DAX down 1.2%, WTI Crude oil recently at $40.05, natural gas up 3%, gold at $1782 an ounce