Pre-Market IV Report June 10, 2020

Pre-Market IV Report June 10, 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: NKLA HTZ WLL GRPN MFA TWO INO COTY IVR CHK TWO

Options expected to have increasing volume: LULU TNP PVH UNFI GES RRGB GME AMC VRNT FIVE MGM ADBE

Stocks with high IV, volume and wide share price movement

Nikola (NKLA) June weekly option implied volatility is at 340, June is at 300; compared to its 52-week range of 67 to 305. Call put ratio 1.9 calls to 1 put.

LatAm Airlines (LTM) June call option implied volatility is at 385, July is at 325; compared to its 52-week range of 29 to 376. Call put ratio 4.9 calls to 1 put.

Whiting Petroleum (WLL) June weekly call option implied volatility is at 450, June is at 393; compared to its 52-week range of 65 to 477. Call put ratio 5 calls to 1 put.

Hertz Global (HTZ) June weekly call option implied volatility is at 540, June is at 450; compared to its 52-week range 40 to 456. Call put ratio 1.6 calls to 1 put.

Luckin Coffee Inc. (LK) June weekly call option implied volatility is at 330, June is at 270; compared to its 52-week range of 59 to 350. Call put ratio 2.9 calls to 1 put.

Chesapeake Energy (CHK) 30-day option implied volatility is at 388; compared to its 52-week range of 74 to 524 amid sharp price movement.

Coty (COTY) June weekly call option implied volatility is at 184, June is at 183; compared to its 52-week range of 33 to 179. Call put ratio 7.7 calls to 1 put with focus on June weekly, June and August calls.

Option implied volatility into Federal Reserve Policy Decision

Bank of America (BAC) 30-day option implied volatility is at 47; compared to its 52-week range of 16 to 124

Goldman Sachs (GS) 30-day option implied volatility is at 39; compared to its 52-week range of 18 to 116

Morgan Stanley (MS) 30-day option implied volatility is at 43; compared to its 52-week range of 19 to 120

Straddle prices for stocks expected to report quarterly results this week

United Natural Foods (UNFI) June 22.5 straddle priced for a move of 20% into the expected release of quarter results today.

Adobe (ADBE) June weekly 397.50 straddle priced for a move of 5% into the expected release of quarter results after the bell on June 11.

Luluemon (LULU) June weekly 315 straddle priced for a move of 8% into the expected release of quarter results after the bell on June 11.

Tsakos Energy (TNP) June 2.5 straddle priced for a move of 24% into the expected release of quarter results before the bell on June 11.

PVH (PVH) June 65 straddle priced for a move of 15% into the expected release of quarter results before the bell on June 12.

Party City (PRTY) June 2 straddle priced for a move of 36% into the expected release of quarter results before the bell on June 12.

Cloudera, Inc. (CLDR) June weekly call option implied volatility is at 149, June is at 115; compared to its 52-week range of 41 to 124 after Bloomberg reported receiving takeover interest. Call put ratio 14 calls to 1 put with focus on June weekly and June 12.5 calls.

Options with decreasing option implied volatility: SFIX KSS DOCU WORK PYPL TIF RTX HPQ SRNE
Increasing unusual option volume: NKLA GLOG LTM CLDR WATT FOSL LRCX FEYE WOR
Increasing unusual call option volume: NKLA LTM CLDR WATT SONO ADT VAL
Increasing unusual put option volume: NKLA CNP IVR AER OAS
Popular stocks with increasing unusual volume: MGM NIO AAL NKLA M CLDR
Active options: AAPL AMD HTZ AAL NIO FB BA MSFT TSLA AMZN BAC M NKLA GE WFC CLDR BYND NFLX MGM
Global S&P Futures recently mixed in premarket, Nikkei mixed, DAX mixed to higher, WTI Crude oil recently at $37.91, natural gas mixed, gold at $1726 an ounce