Pre-Market IV Report June 24, 2020

Pre-Market IV Report June 24, 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: AMRN INO NFLX PCG AMZN SONO NKLA GSX LK FSLY CMG APT

Options expected to have increasing volume: DELL VMW TMUS NKE BB

Dell Technologies (DELL) 30-day option implied volatility is at 44; compared to its 52-week range of 26 to 118 into considering options on its VMWare (VMW) stake, WSJ says. DELL call put ratio 31 calls to 1 put with focus on October 55 calls.

VMWare (VMW) 30-day option implied volatility is at 39; compared to its 52-week range of 22 to 87 into Dell Technologies (DELL) considering options on its VMW stake, WSJ says. VMW call put ratio 3.2 calls to 1 put with focus on June weekly calls.

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 44; compared to its 52-week range of 21 to 158 amid gold up 16% YTD and trends toward 8-year high.

Option implied volatility for stocks trading near 52-week highs into end of month and quarter

Apple (AAPL) 30-day option implied volatility at 31; compared to its 52-week range of 18 to 90 as shares near 52-week high. Call put ratio 2.2 calls to 1 put.

NetEase (NTES) 30-day option implied volatility at 40; compared to its 52-week range of 27 to 75 as shares near 52-week high. Call put ratio 1.4 calls to 1 put.

Shopify (SHOP) 30-day option implied volatility at 56; compared to its 52-week range of 40 to 124 as shares near 52-week high. Call put ratio 1.4 calls to 1 put.

Inovio Pharma (INO) 30-day option implied volatility at 231; compared to its 52-week range of 64 to 392 as shares near 52-week high. Call put ratio 3.4 calls to 1 put.

Spotify (SPOT) 30-day option implied volatility at 62; compared to its 52-week range of 26 to 83 as shares near 52-week high. Call put ratio 1.5 calls to 1 put.

Etsy (ETSY) 30-day option implied volatility at 64; compared to its 52-week range of 35 to 125 as shares near 52-week high. Call put ratio 2.9 calls to 1 put.

CBOE Russell 2000 Volatility Index (RVX) set a record Thursday by closing 51% higher than the CBOE Nasdaq-Market 100 Volatility Index (VXN), the biggest premium before then occurred in 2005 according to UBS Group AG.

Straddle prices for stocks expected to report quarterly results this week

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

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

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

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

Accenture PLC (ACN) June weekly 207.50 straddle priced for a move of 6% into the expected release of quarter results before the bell on June 25.

Darden (DRI) July 75 straddle priced for a move of 16% into the expected release of quarter results today before the bell on June 25.

McCormick (MKC) July 170 straddle priced for a move of 6% into the expected release of quarter results today before the bell on June 25.

Nike (NKE) June weekly 102 straddle priced for a move of 5% into the expected release of quarter results after the bell on June 25.

Progress Software (PRGS) July 35 straddle priced for a move of 14% into the expected release of quarter results after the bell on June 25.

Rite Aid (RAD) July 13 straddle priced for a move of 25% into the expected release of quarter results before the bell on June 25.

Worthington Industries (WOR) July 35 straddle priced for a move of 18% 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.

Options with decreasing option implied volatility: CHK NKLA GRPN INO ZS HTZ MITT SRNE HEXO
Increasing unusual option volume: DELL WKHS ELAN ITCI ZGNX NKLA WW SONO
Increasing unusual call option volume: DELL VMW WKHS ITIC WW ZGNX NKLA QD SONO
Increasing unusual put option volume: NKLA LEVI TMUS FSLY BYFT
Popular stocks with increasing volume: AAL NKLA NIO TLRY
Active options: AAPL FB AAL MSFT AMD INO BABA T NKLA AMZN TSLA ORCL BA BAC NIO PLUG TLRY JPM F MU
Global S&P Futures recently down 1.3% in premarket, Nikkei mixed, DAX down 2.3%, WTI Crude oil recently at $39.73, natural gas mixed, gold at $1794 an ounce