Pre-Market IV Report June 12, 2020

Pre-Market IV Report June 12, 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: COTY TWO MFA WMT KR COST NKLA CRON M BA DE CAT HTZ CHK SGMO CLDX

Options expected to have increasing volume: TSLA GM LULU ADBE PVH PLAY BA AAL

Boeing (BA) June weekly call option implied volatility is at 190, June is at 114; compared to its 52-week range of 22 to 222 amid wide price movement. Call put ratio 1.2 calls to 1 put.

U.S. Global Jets ETF (JETS) 30-day option implied volatility is at 95; compared to its 52-week range of 14 to 204 amid wide price movement.

Tesla (TSLA) June weekly call option implied volatility is at 58, June is at 64; compared to its 52-week range of 34 to 154 into downgraded to Neutral from Buy at Goldman Sachs.

General Motors (GM) June weekly call option implied volatility is at 92, June is at 75; compared to its 52-week range of 20 to 188 into upgraded to Buy from Neutral at Goldman Sachs.

Index option implied volatility increased as market prices sold off

SPDR S&P 500 ETF Trust (SPY) June weekly call option implied volatility is at 47, June is at 34; compared to its 52-week range of 10 to 77.

PowerShares QQQ Trust (QQQ) June weekly call option implied volatility is at 43, June is at 34; compared to its 52-week range of 12 to 79.

iShares Russell 2000 ETF (IWM) June weekly option implied volatility is at 78, June is at 63, July is 48; compared to its 52-week range of 12 to 81. QQQ June weekly IV is at 43, SPY IV is at 47.

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 50; compared to its 52-week range of 21 to 158 as gold trades above $1770. Call put ratio 2 calls to 1 put. Gold option implied volatility has increased.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 51; compared to its 52-week range of 13 to 111.

Bank of New York Mellon (BK) 30-day option implied volatility is at 55; compared to its 52-week range of 18 to 118.

Comerica (CMA) 30-day option implied volatility is at 93; compared to its 52-week range of 23 to 162.

Zions Bancorp (ZION) 30-day option implied volatility is at 60; compared to its 52-week range of 20 to 100.

Straddle prices for stocks expected to report quarterly results next week

H&R Block (HRB) June 17 straddle priced for a move of 12% into the expected release of quarter results after the bell on June 16.

Lennar (LEN) June 57 straddle priced for a move of 11% into the expected release of quarter results after the bell on June 16.

Oracle (ORCL) June 51.50 straddle priced for a move of 7% into the expected release of quarter results after the bell on June 16.

At Home Group (HOME) June 6 straddle priced for a move of 38% into the expected release of quarter results after the bell on June 18.

Carnival Corp (CCL) June 17.50 straddle priced for a move of 19% into the expected release of quarter results before the bell on June 18.

Darden Restaurants (DRI) June 75 straddle priced for a move of 10% into the expected release of quarter results on June 18.

Kroger (KR) June 33 straddle priced for a move of 9% into the expected release of quarter results before the bell on June 18.

Smith & Wesson Brands (SWBI) June 17 straddle priced for a move of 18% into the expected release of quarter results after the bell on June 18.

CarMax (KMX) June 87.50 straddle priced for a move of 12% into the expected release of quarter results before the bell on June 19.

Jabil (JBL) June 30 straddle priced for a move of 10% into the expected release of quarter results before the bell on June 19.

Genius Brands Int’l (GNUS) 30-day option implied volatility is at 410. Call put ratio 4.6 calls to 1 put amid share price movement.

Options with decreasing option implied volatility: SFIX WORK TIF GPS RTX GPS HTZ SRNE
Options with increasing option implied volatility: COTY TWO MFA WMT KR COST NKLA CRON M HTZ CHK SGMO CLDX
Options expected to have increasing volume: LULU ADBE PVH PLAY
Increasing unusual option volume: MFC NKLA RSP SGMO MITT AZUL SNE GNUS
Increasing unusual call option volume: NKLA SGMO SNE AZUL MITT
Increasing unusual put option volume: NKLA RSP CNP SABR FOXA IVR GUSH
Popular stocks with increasing unusual volume: AAL UAL DAL CCL M MGM
Active options: AAPL BA TSLA MSFT BAC AAL AMD FB WFC GE AMZN UAL DIS DAL CCL JPM M C MGM
Global S&P Futures recently up 1.2% in premarket, Nikkei down 0.3%, DAX up 0.7%, WTI Crude oil recently at $36.12, natural gas down 1.3%, gold at $1775 an ounce