Pre-Market IV Report June 22, 2020

Pre-Market IV Report June 22, 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: APT REV RLJ

Options expected to have increasing volume: TSN AAL DAL

Apple (AAPL) 30-day option implied volatility is at 31; compared to its 52-week range of 18 to 90 as shares at record high. Call put ratio 1 call to 1 put into Apple is hosting Worldwide Developers Conference virtually WWDC20.

Bristol-Myers Squibb (BMY) 30-day option implied volatility is at 40; compared to its 52-week range of 19 to 71 into hosting a virtual investor meeting today.

Kansas City Southern (KSU) 30-day option implied volatility is at 47; compared to its 52-week range of 18 to 82 into hosting a webcast investor meeting on June 23. Call put ratio 4.6 calls to 1 put with focus on July calls.

Zoom Video Communications (ZM) June weekly call option implied volatility is at 61, July is at 63; compared to its 52-week range of 36 to 136. Call put ratio 1.3 calls to 1 put.
Tyson Foods (TSN) 30-day option implied volatility is at 41; compared to its 52-week range of 21 to 113 into China suspended poultry imports from a Tyson Foods plant.

Square (SQ) 30-day option implied volatility is at 55; compared to its 52-week range of 30 to 142 into Wirecard withdrew financial statements for 2019.

Virtu Financial (VIRT) 30-day option implied volatility is at 46; compared to its 52-week range of 29 to 115. Call put ratio 28 call to 1 put with focus on December 22.50 calls.

American Airlines (AAL) 30-day option implied volatility is at 122; compared to its 52-week range of 28 to 293 into reports of planning $1.5B stock, convertible sales.

Tesla (TSLA) 30-day option implied volatility is at 65; compared to its 52-week range of 33 to 154.

NIO Inc. (NIO) 30-day option implied volatility is at 115; compared to its 52-week range of 76 to 220. Call put ratio 4.4 calls to 1 put with focus on January calls.

Nikola (NKLA) 30-day option implied volatility is at 246; compared to its 52-week range of 66 to 304.

Straddle prices for stocks expected to report quarterly results this week

California Resources (CRC) July 1.5 straddle priced for a move of 28% into the expected release of quarter results on June 22.

La-Z-Boy (LZB) July 25 straddle priced for a move of 18% into the expected release of quarter results after the bell on June 23.

BlackBerry (BB) June weekly 5 straddle priced for a move of 16% into the expected release of quarter results on June 24.

Huazhu Group (HTHT) July 35 straddle priced for a move of 15% into the expected release of quarter results on June 24.

KB Home (KBH) July 32 straddle priced for a move of 16% into the expected release of quarter results after the bell on June 24.

Paychex (PAYX) July 75 straddle priced for a move of 11% into the expected release of quarter results before the bell on June 24.

58.com (WUBA) July 55 straddle priced for a move of 4% into the expected release of quarter results on June 24.

Accenture PLC (ACN) June weekly 202.50 straddle priced for a move of 7% into the expected release of quarter results before the bell on June 24.

Apogee (APOG) July 22.50 straddle priced for a move of 18% into the expected release of quarter results on June 24.

Darden (DRI) July 70 straddle priced for a move of 14% into the expected release of quarter results before the bell on June 24.

McCormick (MKC) July 170 straddle priced for a move of 7% into the expected release of quarter results before the bell on June 24.

Nike (NKE) June weekly 95.50 straddle priced for a move of 7% into the expected release of quarter results after the bell on June 24.

Progress Software (PRGS) July 35 straddle priced for a move of 14% into the expected release of quarter results after the bell on June 24.

Rite Aid (RAD) July 12.50 straddle priced for a move of 27% into the expected release of quarter results before the bell on June 24.

Worthington Industries (WOR) July 35 straddle priced for a move of 19% into the expected release of quarter results before the bell on June 25.

National Beverage (FIZZ) July 65 straddle priced for a move of 14% into the expected release of quarter results on June 25.

Winnebago (WGO) July 70 straddle priced for a move of 16% into the expected release of quarter results before the bell on June 25.

Western Digital (WDC) 30-day option implied volatility is at 61; compared to its 52-week range of 31 to 138 after Eric Savitz of Barron’s listed as cheap tech stock.

Intel (INTC) 30-day option implied volatility is at 38; compared to its 52-week range of 20 to 99 into Eric Savitz of Barron’s listed as cheap tech stock.

Seagate Technology (STX) 30-day option implied volatility is at 41; compared to its 52-week range of 23 to 91 into Eric Savitz of Barron’s listed as cheap tech stock.

Options with decreasing option implied volatility: SGMO TWO PLAY GRPN HOME UVXY ZI
Increasing unusual option volume: ZGNX NUAN TME NKLA
Increasing unusual call option volume: NUAN TME NKLA WKHS NBRV NVO
Increasing unusual put option volume: NKLA XLB ENB SPOT SWBI
Popular stocks with increasing volume: SNAP NIO BYND NKLA ROKU AAL
Active options: AAPL FB MSFT TSLA AMD BA WFC AAL BAC ROKU AMZN DIS CCL NIO SNAP F NVDA BYND JPM NKLA
Global S&P Futures recently mixed to higher in premarket, Nikkei mixed, DAX mixed to higher, WTI Crude oil recently at $39.75, natural gas mixed, gold at $1760 an ounce