Pre-Market IV Report June 28, 2021

Pre-Market IV Report June 28, 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: TWTR NFLX PSAC INTC NOK ATOS TAL WISH EDU

Stocks expected to have increasing option volume: TSLA MU SPCE BA JNJ TEVA

Micron Technology (MU) 30-day option implied volatility is at 39; compared to its 52-week range 34 to 61 into expected release of quarter results on June 30. Call put ratio 2.5 calls to 1 put.

Virgin Galactic Holdings (SPCE) 30-day option implied volatility is at 146; compared to its 52-week range of 75 to 230 after sharp rally.

Tesla (TSLA) 30-day option implied volatility is at 58; compared to its 52-week range of 47 to 130 into headlines of safety issue in over 285,000 vehicles in China.

Ford (F) 30-day option implied volatility is at 40; compared to its 52-week range of 37 to 76.

General Motors (GM) 30-day option implied volatility is at 29; compared to its 52-week range of 29 to 66.

IV into events

United Airlines (UAL) 30-day option implied volatility is at 43; compared to its 52-week range of 37 to 114 into update on company growth on June 29.

Capri Holdings Limited (CPRI) 30-day option implied volatility is at 42; compared to its 52-week range of 41 to 112 into hosting an investor day on June 29.

Principal Financial (PFG) 30-day option implied volatility is at 26; compared to its 52-week range of 24 to 61 into hosting an investor day on June 29.

Sempra (SRE) 30-day option implied volatility is at 19; compared to its 52-week range of 18 to 44 into hosting an investor day on June 29

Barnes & Noble Education (BNED) 30-day option implied volatility is at 96; compared to its 52-week range 42 to 270 into hosting an investor day on June 30.

ConocoPhillips (COP) 30-day option implied volatility is at 33; compared to its 52-week range of 31 to 77 into market update on June 30.

Movers

Penn National Gaming (PENN) 30-day option implied volatility is at 53; compared to its 52-week range of 51 to 125.

Overstock.com (OSTK) 30-day option implied volatility is at 70; compared to its 52-week range of 64 to 154.

NVIDIA (NVDA) 30-day option implied volatility is at 37; compared to its 52-week range of 32 to 67.

Riot Blockchain (RIOT) 30-day option implied volatility is at 101; compared to its 52-week range of 101 to 276.

MannKind (MNKD) 30-day option implied volatility is at 70; compared to its 52-week range of 64 to 214.

Straddle prices into expected release of quarter results this week

Herman Miller (MLHR) July 50 straddle priced for a move of +/- 11% into the expected release of quarter results after the bell on June 28.

National Beverage (FIZZ) July 47.50 straddle priced for a move of +/- 14% into the expected release of quarter results after the bell on June 29.

NovaGold (NG) July 8 straddle priced for a move of +/- 8% into the expected release of quarter results after the bell on June 29.

Bed Bath & Beyond (BBBY) July weekly 30 straddle priced for a move of +/- 15% into the expected release of quarter results before the bell on June 30.

Constellation Brands (STZ) July 227.50 straddle priced for a move of +/- 4.5% into the expected release of quarter results before the bell on June 30.

General Mills (GIS) July 60 straddle priced for a move of +/- 5% into the expected release of quarter results before the bell on June 30.

Micron (MU) July weekly 82.50 straddle priced for a move of +/- 6.5% into the expected release of quarter results after the bell on June 30.

McCormick (MKC) July 85 straddle priced for a move of +/- 5% into the expected release of quarter results before the bell on July 1.

Walgreens Boots Alliance (WBA) July weekly 52 straddle priced for a move of +/- 5% into the expected release of quarter results on July 1.

Options with decreasing option implied volatility: CLOV SPLK NKE BBBY
Increasing unusual option volume: XERS WISH EXPR VRAY SPCE XRX
Increasing unusual call option volume: XERS YPF WISH GO EXPR XRX
Increasing unusual put option volume: EXPR ABEV WISH SIRI CCXI LX
Popular stocks with increasing volume: SPCE NKE F BB
Active options: TSLA SPCE AMC AAPL NKE WISH BABA AMZN SNAP BB BAC NOK NFLX PLTR AMD WFC NIO PSFE F BIDU
Global S&P Futures recently mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at 73.93, natural gas up 1%, gold at $1782 an ounce