Pre-Market IV Report June 2, 2021

Pre-Market IV Report June 2, 2021

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: PSTH BB SOFI SNDL AMC EDU GME WISH BBIG TAL GME BBBY

Stocks expected to have increasing option volume: AMC BIIB CGC HPQ ZM AAP NTAP AVGO DOCU LULU AMGN BB GME

Option volume and IV movers

AMC Entertainment (AMC) 30-day option implied volatility is at 263; compared to its 52-week range of 85 to 726. Call put ratio 1.8 calls to 1 put as shares trade up 27% in the premarket.

GameStop (GME) 30-day option implied volatility is at 180; compared to its 52-week range of 78 to 553.Call put ratio 2.3 calls to 1 put as shares trade above $260 in premarket.

Sofi Technologies (SOFI) June call option implied volatility is at 116, July is at 100.

C3.ai (AI) June call option implied volatility is at 91, July is at 75; compared to its 52-week range of 72 to 133 as shares rall. Call put ratio 3 calls to 1 put.

Box (BOX) 30-day option implied volatility is at 40; compared to its 52-week range of 34 to 78. Call put ratio 3.8 calls to 1 put with focus on June 24 calls.

BIIB IV elevated into event

Biogen (BIIB) June weekly call option implied volatility is at 73, June is at 126; compared to its 52-week range of 28 to 106 into for aducanumab in Alzheimer’s PDUFA date of June 7. Call put ratio 2 call to 1 put.

Straddle prices into expected release of quarter results this week

Advanced Auto Parts (AAP) June weekly 195 straddle priced for a move of +/- 7.5% into the expected release of quarter results today before the bell.

J.M. Smucker (SJM) June 135 straddle priced for a move of +/- 4.5% into the expected release of quarter results today before the bell.

Lands End (LE) June 25 straddle priced for a move of +/- 16% into the expected release of quarter results today before the bell.

NetApp (NTAP) June weekly 77 straddle priced for a move of +/- 8% into the expected release of quarter results today after the bell.

PVH Corp (PVH) June 115 straddle priced for a move of +/- 8.5% into the expected release of quarter results today after the bell.

Splunk (SPLK) June weekly 120 straddle priced for a move of +/- 6.5% into the expected release of quarter results today after the bell.

Broadcom (AVGO) June weekly 470 straddle priced for a move of +/- 3% into the expected release of quarter results after the bell on June 3.

Ciena (CIEN) June weekly 53.50 straddle priced for a move of +/- 8% into the expected release of quarter results before the bell on June 3.

CrowdStrike (CRWD) June weekly 222.50 straddle priced for a move of +/- 10% into the expected release of quarter results after the bell on June 3.

Duluth (DLTH) June 17.50 straddle priced for a move of +/- 17% into the expected release of quarter results before the bell on June 3.

Express (EXPR) June weekly 5 straddle priced for a move of +/- 19% into the expected release of quarter results before the bell on June 3.

Five Below (FIVE) June weekly 182 straddle priced for a move of +/- 8% into the expected release of quarter results after the bell on June 3.

Lululemon (LULU) June weekly 317 straddle priced for a move of +/- 8% into the expected release of quarter results after the bell on June 3.

PageDuty (PD) June weekly 40 straddle priced for a move of +/- 12% into the expected release of quarter results after the bell on June 3.

Slack Technologies (WORK) June weekly 44 straddle priced for a move of +/- 9% into the expected release of quarter results after the bell on June 3.

Options with decreasing option implied volatility: T CLDR FUTU TWTR
Increasing unusual option volume: OEG WPG TEN NEM EDU MUDS EWW MUX IHRT AI
Increasing unusual call option volume: OEG WPG AYRO SOXS NEM EDU AHT CLDR PDD QD STM
Increasing unusual put option volume: CLDR WPG HIMX DELL ABT
Popular stocks with increasing volume: PLTR XOM AAL T PDD BB
Active options: AMC AAPL NIO TSLA AMD SNDL BB F PLTR CCIV BA PDD XOM NVDA BABA BAC AAL T MSFT FB
Global S&P Futures recently mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $68.11, natural gas mixed, gold at $1898 an ounce