Pre-Market IV Report June 11, 2020

Pre-Market IV Report June 11, 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: TWO GRPN MFA INO COST DGLY NKLA COTY HTZ LK IVR CHK TWO CCL

Options expected to have increasing volume: GRUB FCAU PVH RRGB HTZ

Option implied volatility ticked up after Fed keeps interest rate benchmark unchanged at 0%-0.25

Spdr S&p Bank Etf (KBE) 30-day option implied volatility is at 48; compared to its 52-week range of 17 to 126

Bank of America (BAC) 30-day option implied volatility is at 48; compared to its 52-week range of 17 to 124

Citigroup (C) 30-day option implied volatility is at 58; compared to its 52-week range of 18 to 146

JPMorgan (JPM) 30-day option implied volatility is at 45; compared to its 52-week range of 15 to 119

Stocks with wide price movement, option IV and volume

Nikola (NKLA) June weekly option implied volatility is at 272, June is at 210; compared to its 52-week range of 67 to 305. Call put ratio 2 calls to 1 put.

Whiting Petroleum (WLL) June weekly call option implied volatility is at 320, June is at 383; compared to its 52-week range of 65 to 477. Call put ratio 3 calls to 1 put.

Hertz Global (HTZ) June weekly call option implied volatility is at 541, June is at 452; compared to its 52-week range 40 to 456. Call put ratio 1 call to 1 put.

Luckin Coffee Inc. (LK) June weekly call option implied volatility is at 240, June is at 239; compared to its 52-week range of 59 to 350. Call put ratio 1.4 calls to 1 put.

Chesapeake Energy (CHK) 30-day option implied volatility is at 359; compared to its 52-week range of 74 to 524 amid sharp price movement.

Option implied volatility after The Federal Reserve keeps interest rate benchmark unchanged at 0%-0.25%

SPDR S&P 500 ETF Trust (SPY) June weekly call option implied volatility is at 27, June is at 23; compared to its 52-week range of 10 to 77 after The Federal Reserve keeps interest rate benchmark unchanged at 0%-0.25%.

PowerShares QQQ Trust (QQQ) June weekly call option implied volatility is at 32, June is at 26; compared to its 52-week range of 12 to 79

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) June weekly call option implied volatility is at 40, July is at 32; compared to its 52-week range of 17 to 109

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 17; compared to its 52-week range of 8 to 48

iShares Russell 2000 ETF (IWM) June weekly option implied volatility is at 57, June is at 45; compared to its 52-week range of 12 to 81

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 45; compared to its 52-week range of 21 to 158 as gold trades above $1740. Call put ratio 2.1 calls to 1 put.

Straddle prices for stocks expected to report quarterly results this week

Adobe (ADBE) June weekly 407.50 straddle priced for a move of 5% into the expected release of quarter results today after the bell.

Luluemon (LULU) June weekly 322.5 straddle priced for a move of 8% into the expected release of quarter results today after the bell.

Tsakos Energy (TNP) June 2.5 straddle priced for a move of 21% into the expected release of quarter results today.

PVH (PVH) June 60 straddle priced for a move of 13% into the expected release of quarter results before the bell on June 12.

Party City (PRTY) June 2 straddle priced for a move of 30% into the expected release of quarter results before the bell on June 12.

Grubhub (GRUB) 30-day option implied volatility is at 47; compared to its 52-week range of 38 to 143 into Just Eat Takeaway.com to buy GrubHub for $7.3B.

Options with decreasing option implied volatility: AXP GPS HPQ GRUB SRNE SFIX ZUO RH CHWY WORK TIF
Increasing unusual option volume: NKLA PUMP TCO SM KNX SNE FTCH TEUM MARK NOW
Increasing unusual call option volume: TCO NKLA KNX SNE FTCH WKHS VICI
Increasing unusual put option volume: NKLA BE CNP ABC MUR KBE IVR TCO
Popular stocks with increasing unusual volume: NKLA MGM HTZ F AAL DAL CCL NIO
Active options: AAPL MSFT TSLA AMD BA AAL WFC BAC HTZ F GE FB SNAP DAL NVDA AMZN CCL NIO NKLA MGM
Global S&P Futures recently down 1.4% in premarket, Nikkei down 2.8%, DAX down 2.8%, WTI Crude oil recently at $38.07, natural gas down 0.5%, gold at $1739 an ounce