Pre-Market IV Report June 15, 2020

Pre-Market IV Report June 15, 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: HTZ WMT UUP INO COST NKLA RIOT CRON COTY CHK BBBY

Options expected to have increasing volume: ORCL LEN HRB GRPN BA NKLA

Apple (AAPL) 30-day option implied volatility is at 34; compared to its 52-week range of 18 to 90 into hosting Worldwide Developers Conference virtually WWDC20, beginning June 22.

Boeing (BA) June call option implied volatility is at 110, July is at 102; compared to its 52-week range of 22 to 222 into shares trading lower in premarket. Call put ratio 1.2 calls to 1 put.

Index option implied volatility into stocks down 2% in premarket

SPDR S&P 500 ETF Trust (SPY) June call option implied volatility is at 34, July is at 31; compared to its 52-week range of 10 to 77.

PowerShares QQQ Trust (QQQ) June call option implied volatility is at 32, July is at 30; compared to its 52-week range of 12 to 79.

iShares Russell 2000 ETF (IWM) June option implied volatility is at 57, July is at 46 compared to its 52-week range of 12 to 81.

Straddle prices for stocks expected to report quarterly results this week

H&R Block (HRB) June 18 straddle priced for a move of 12% into the expected release of quarter results after the bell on June 16.

Lennar (LEN) June 59 straddle priced for a move of 11% into the expected release of quarter results after the bell on June 16.

Oracle (ORCL) June 52 straddle priced for a move of 6% into the expected release of quarter results after the bell on June 16.

At Home Group (HOME) June 7 straddle priced for a move of 34% into the expected release of quarter results after the bell on June 18.

Carnival Corp (CCL) June 20 straddle priced for a move of 18% into the expected release of quarter results before the bell on June 18.

Darden Restaurants (DRI) June 75 straddle priced for a move of 9% into the expected release of quarter results on June 18.

Kroger (KR) June 32 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 20% into the expected release of quarter results after the bell on June 18.

CarMax (KMX) June 90 straddle priced for a move of 12% into the expected release of quarter results before the bell on June 19.

Jabil (JBL) June 31 straddle priced for a move of 10% into the expected release of quarter results before the bell on June 19.

Lyft (LYFT) 30-day option implied volatility is at 75; comped to its 52-week range of 38 to 195 into hosting a virtual shareholder annual meeting on June 19.

Slack (WORK) 30-day option implied volatility is at 73; compared to its 52-week range of 43 to 150 into hosting a virtual shareholder annual meeting on June 19.

Nikola (NKLA) June option implied volatility is at 190, July is at 230; compared to its 52-week range of 67 to 305. Call put ratio 2.4 calls to 1 put.

Whiting Petroleum (WLL) June call option implied volatility is at 320, July is at 250; compared to its 52-week range of 65 to 477. Call put ratio 2.1 calls to 1 put.

Hertz Global (HTZ) June call option implied volatility is at 451, July is at 352; compared to its 52-week range 40 to 456. Call put ratio 1.4 calls to 1 put.

Chesapeake Energy (CHK) 30-day option implied volatility is at 371; compared to its 52-week range of 74 to 524 amid sharp price movement.

American Express (AXP) 30-day option implied volatility is at 51; compared to its 52-week range of 14 to 123 into receives clearance to process local transactions in China.

Shopify (SHOP) 30-day option implied volatility is at 59; compared to its 52-week range of 40 to 123 as shares near upper end of range.

Options with decreasing option implied volatility: SRNE GRUB TWLO ACB SFIX
Increasing unusual option volume: PUMP MITT NKLA RSP AZUL
Increasing unusual call option volume: MITT NKLA AZUL SNE MARK AVLR
Increasing unusual put option volume: NKLA RSP CNP FXY MMP MET AER HTZ
Popular stocks with increasing unusual volume: AAL UAL DAL HTZ NCLH
Active options: AAPL TSLA AAL BA AMD MSFT HTZ BAC AMZN GE FB CCL UAL WFC NCLH F DIS DAL C NVDA
Global S&P Futures recently down 2% in premarket, Nikkei down 3.4%, DAX down 1.9%, WTI Crude oil recently at $35.60, natural gas down 0.9%, gold at $1726 an ounce