Pre-Market IV Report June 23, 2020

Pre-Market IV Report June 23, 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: CRBP ACB INFN NVTA BHC INO AMRN NFLX TLRY AMZN SONO GSX CHK

Options expected to have increasing volume: AAL UAL DAL

American Airlines Group (AAL) June weekly call option implied volatility is at 134, July is at 112; compared to its 52-week range of 29 to 293 into offerings of Secured Notes, Common Stock and Convertible Senior Notes.

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 45; compared to its 52-week range of 21 to 158 amid gold up 16% YTD and trends toward 8-year high.

United States Oil Fund (USO) June weekly call option implied volatility is at 57, July is at 49; compared to its 52-week range of 23 to 250 as WTI trades above $41. Call put ratio 2.3 calls to 1 put.

DocuSign Inc. (DOCU) June weekly call option implied volatility is at 58, July is at 51; compared to its 52-week range of 28 to 108. Call put ratio 1.7 calls to 1 put as shares at record high.

Special Purpose Acquisition Companies or SPACs

Nikola (NKLA) 30-day option implied volatility is at 245; compared to its 52-week range of 66 to 304. Call put ratio 2.4 calls to 1 put.

Virgin Galactic (SPCE) June call option implied volatility is at 106, July is at 112; compared to its 52-week range of 39 to 238. Call put ratio 5.2 calls to 1 put.

DraftKings (DKNG) 30-day option implied volatility is at 94; compared to its 52-week range of 54 to 143.

Vivint Smart Home, Inc. (VVNT) 30-day option implied volatility is at 82; compared to its 52-week range of 55 to 90. Call put ratio 149 calls to 1 put with focus on November 20 calls.

Vertiv Holdings Co. (VRT) 30-day option implied volatility is at 65; compared to its 52-week range of 49 to 160. Call put ratio 1 call to 3 puts.

Spectrum Brands (SPB) Spectrum Brands (SPB) 30-day option implied volatility is at 59; compared to its 52-week range of 28 to 138. Call put ratio 48 calls to 1 put with focus on July 60 calls.

Alarm.com Holdings, Inc. (ALRM) 30-day option implied volatility is at 45; compared to its 52-week range of 29 to 88.

Technology Select Sector Spdr Fund (XLK) June weekly call option implied volatility is at 27, July is at 26; compared to its 52-week range of 13 to 93. Call put ratio 1 call to 1.6 puts.

Straddle prices for stocks expected to report quarterly results this week

California Resources (CRC) July 1.5 straddle priced for a move of 31% into the expected release of quarter results on June 22.

La-Z-Boy (LZB) July 30 straddle priced for a move of 19% into the expected release of quarter results after the bell on June 23.

BlackBerry (BB) June weekly 5 straddle priced for a move of 14% into the expected release of quarter results on June 24.

Huazhu Group (HTHT) July 35 straddle priced for a move of 14% into the expected release of quarter results on June 24.

KB Home (KBH) July 33 straddle priced for a move of 15% into the expected release of quarter results after the bell on June 24.

Paychex (PAYX) July 75 straddle priced for a move of 8% 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 5% into the expected release of quarter results before the bell on June 24.

Apogee (APOG) July 22.50 straddle priced for a move of 20% into the expected release of quarter results on June 24.

Darden (DRI) July 70 straddle priced for a move of 15% 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 100 straddle priced for a move of 6% into the expected release of quarter results after the bell on June 24.

Progress Software (PRGS) July 40 straddle priced for a move of 15% into the expected release of quarter results after the bell on June 24.

Rite Aid (RAD) July 13.50 straddle priced for a move of 26% 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 13% 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.

Options with decreasing option implied volatility: DOCU CHK GRPN HOME LLY MITT HTZ SRNE HEXO
Increasing unusual option volume: SONO NVO WKHS BOX NUAN
Increasing unusual call option volume: BOX NUAN FSM NKLA
Increasing unusual put option volume: NKLA MITT CWH WIX
Active options: AAPL MSFT AMD AAL FB SPCE BA NKLA F TSLA NIO SNAP BAC ROKU GE CCL NFLX DKNG INTC AMRN
Global S&P Futures recently higher in premarket, Nikkei mixed, DAX up 2%, WTI Crude oil recently at $41.26, natural gas mixed, gold at $1770 an ounce