Pre-Market IV Report June 16, 2020

Pre-Market IV Report June 16, 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: WMT NFLX NKLA COST INO RIOT TRXC COTY UVXY VIXY VXX SGMO DDS ZYNE

Options expected to have increasing volume: CHK LEN PCG TSLA NKLA ORCL BA CCL

SPDR S&P 500 ETF Trust (SPY) June call option implied volatility is at 35, July is at 29; compared to its 52-week range of 10 to 77 into North Korea blows up liaison office on its side of border with South Korea and Federal Reserve Chair Jerome Powell will testify before the U.S. Congress today.

PowerShares QQQ Trust (QQQ) June call option implied volatility is at 34, July is at 29; compared to its 52-week range of 12 to 79.

iShares Russell 2000 ETF (IWM) June option implied volatility is at 59, July is at 44 compared to its 52-week range of 12 to 81.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 12; compared to its 52-week range of 4 to 75 after the Federal Reserve has moved from buying exchange-traded funds of investment-grade bonds to purchasing individual bonds. The news came as a surprise, and helped LQD, the best-known ETF holding U.S. investment-grade bonds, to hit a new record. Call put ratio 1.3 calls to 1 put.

Ishares Iboxx $ High Yield Corporate Bond Etf (HYG) 30-day option implied volatility is at 18; compared to its 52-week range of 5 to 53. Call put ratio 1 call to 1.1 puts.

Straddle prices for stocks expected to report quarterly results this week

H&R Block (HRB) June 18 straddle priced for a move of 11% into the expected release of quarter results today

Groupon (GRPN) June 24 straddle priced for a move of 24% into the expected release of quarter results today

Oracle (ORCL) June 53 straddle priced for a move of 6% into the expected release of quarter results today after the bell

At Home Group (HOME) June 7 straddle priced for a move of 33% into the expected release of quarter results after the bell on June 18

Carnival Corp (CCL) June 19.50 straddle priced for a move of 20% into the expected release of quarter results before the bell on June 18.

Darden Restaurants (DRI) June 75 straddle priced for a move of 11% into the expected release of quarter results on June 18.

Kroger (KR) June 32 straddle priced for a move of 8% into the expected release of quarter results before the bell on June 18.

Smith & Wesson Brands (SWBI) June 18 straddle priced for a move of 20% into the expected release of quarter results after the bell on June 18.

CarMax (KMX) June 93 straddle priced for a move of 9% into the expected release of quarter results before the bell on June 19.

Jabil (JBL) June 32 straddle priced for a move of 10% into the expected release of quarter results before the bell on June 19.

Chesapeake Energy (CHK) 30-day option implied volatility is at 346; compared to its 52-week range of 73 to 524 amid sharp price movement. Call put ratio 1 call to 1.7 puts.

Options with decreasing option implied volatility: SRNE OXY GRUB TWLO RWT SFIX
Increasing unusual option volume: NKLA ZYNE MITT ANGI ET
Increasing unusual call option volume: NKLA MITT ANGI AZUL
Increasing unusual put option volume: NKLA RSP GOGO LEN BBD
Popular stocks with increasing unusual volume: DAL NIO AAL HTZ DKNG
Active options: AAPL TSLA BA BAC AAL HTZ AMD NIO MSFT FB NKLA BABA GE GSX JPM WFC DKNG F DAL AMZN
Global S&P Futures recently up 1.2% in premarket, Nikkei up 4.5%, DAX up 2%, WTI Crude oil recently at $37.55, natural gas mixed, gold at $1737 an ounce