Pre-Market IV Report June 1, 2020

Pre-Market IV Report June 1, 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: NOK DOCU LK DKS CRWD ZM AEO GOOS HTZ VTIQ COTY DKNG TLRY EBAY INO

Options expected to have increasing volume: DKS ZM CRWD AIG CB HIG TRV BKRA|B AVGO TGT BYND GOOS

Straddle prices for stocks expected to report quarterly results this week

Autohome (ATHM) June 75 straddle priced for a move of 12% into the expected release of quarter results today before the bell.

Embraer (ERJ) June 5 straddle priced for a move of 20% into the expected release of quarter results today.

Party City (PRTY) June 1 straddle priced for a move of 40% into the expected release of quarter results today.

Ambarella (AMBA) June weekly 56.50 straddle priced for a move of 13% into the expected release of quarter results after the bell on June 2.

Cracker Barrel (CBRL) June 110 straddle priced for a move of 11% into the expected release of quarter results before the bell on June 2.

Dicks Sporting Goods (DKS) June weekly straddle priced for a move of 11% into the expected release of quarter results before the bell on June 2.

CrowdStrike (CRWD) June weekly 87 straddle priced for a move of 14% into the expected release of quarter results after the bell on June 2.

GameStop (GME) June weekly 4 straddle priced for a move of 19% into the expected release of quarter results on June 2.

Zoom Video Communications (ZM) June weekly 180 straddle priced for a move of 13% into the expected release of quarter results after the bell on June 2.

American Eagle (AEO) June weekly 9 straddle priced for a move of 21% into the expected release of quarter results before the bell on June 3

Campbell Soup (CPB) June weekly 49.50 straddle priced for a move of 7% into the expected release of quarter results before the bell on June 3.

Canada Goose (GOOS) June weekly 19.5 straddle priced for a move of 17% into the expected release of quarter results on June 3.

Cloudera (CLDR) June weekly 10 straddle priced for a move of 14% into the expected release of quarter results after the bell on June 3.

Express (EXPR) June 2 straddle priced for a move of 31% into the expected release of quarter results before the bell on June 3.

United Natural Foods (UNFI) June 20 straddle priced for a move of 16% into the expected release of quarter results on June 3.

At Home (HOME) June 5 straddle priced for a move of 31% into the expected release of quarter results before the bell on June 4.

Broadcom (AVGO) June weekly 292.50 straddle priced for a move of 6% into the expected release of quarter results on June 4.

Ciena (CIEN) June weekly 55 straddle priced for a move of 10% into the expected release of quarter results before the bell on June 4.

DocuSign (DOCU) June weekly 140 straddle priced for a move of 11% into the expected release of quarter results after the bell on June 4.

Gap Inc (GPS) June weekly 9 straddle priced for a move of 16% into the expected release of quarter results on June 4.

J.M. Smucker (SJM) June 115 straddle priced for a move of 7% into the expected release of quarter results on June 4.

Navistar (NAV) June weekly 25 straddle priced for a move of 17% into the expected release of quarter results before the bell on June 4.

Slack (WORK) June weekly 35 straddle priced for a move of 13% into the expected release of quarter results before the bell on June 4.

Toro (TTC) June 70 straddle priced for a move of 9% into the expected release of quarter results before the bell on June 4.

Tsakos Energy (TNP) June 2.5 straddle priced for a move of 20% into the expected release of quarter results before the bell on June 4.

Vail Resorts (MTN) June 200 straddle priced for a move of 10% into the expected release of quarter results after the bell on June 4.

Insurance stock option implied volatility amid health, social, economic and property unrest.

AIG (AIG) 30-day call option implied volatility is at 54; compared to its 52-week range of 18 to 145.

Hartford Financial (HIG) 30-day call option implied volatility is at 45; compared to its 52-week range of 14 to 123.

Travelers (TRV) 30-day call option implied volatility is at 31; compared to its 52-week range of 14 to 123.

Chubb Corp. (CB) 30-day call option implied volatility is at 36; compared to its 52-week range of 14 to 123.

MetLife (MET) 30-day call option implied volatility is at 43; compared to its 52-week range of 16 to 172.

Prudential Financial (PRU) 30-day call option implied volatility is at 48; compared to its 52-week range of 18 to 127.

Berkshire Hathaway (BRK.B) 30-day call option implied volatility is at 23; compared to its 52-week range of 12 to 79.

Allstate (ALL) 30-day call option implied volatility is at 32; compared to its 52-week range of 15 to 88.

Aon plc (AON) 30-day call option implied volatility is at 29; compared to its 52-week range of 15 to 97.

Ecolab (ECL) 30-day option implied volatility is at 32; compared to its 52-week range of 14 to 78. Call option volume was 86K contracts, puts 85K contracts on May 29, 2020.

Coty (COTY) 30-day option implied volatility is at 129; compared to its 52-week range of 33 to 140 after Forbes questions Kylie Jenner’s wealth.

Beyond Meet (BYND) 30-day call option implied volatility is at 77; compared to its 52-week range of 47 to 140 into Yum China (YUMC) to introduce Beyond Burger at select restaurants.

Options with decreasing option implied volatility: PYPL USO SNAP FSCT TWLO
Increasing unusual option volume: DKNG NIO FEYE CGC ZNGA
Increasing unusual option volume: ZNGA FEYE ECL MARK ERJ
Increasing unusual put option volume: DKNG DXC ECL
Pb: CGC BYND ZNGA TWTR
Popular stocks with increasing unusual volume: CGC BYND ZNGA TWTR
Active options: AAPL TSLA FB AMD BABA TWTR BA ZNGA BAC UBER MSFT SNAP GE AMZN DIS AAL ECL NVDA CGC BYND
Global S&P Futures recently mixed in premarket, Nikkei up 0.8%, DAX down 1.6% to higher%, WTI Crude oil recently at $35.31, natural gas down 3.6%, gold at $1748 an ounce