Pre-Market IV Report June 5, 2020

Pre-Market IV Report June 5, 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: AAL TIF PLUG GLUU FIT UAL JETS SFIX ORCL INO WORK NOK NKLA HTZ LK COTY

Options expected to have increasing volume: DOCU AVGO GPS WORK HTZ

Airliners calls active as shares trend higher

Delta (DAL) 30-day option implied volatility is at 83; compared to its 52-week range of 20 to 265. Call put ratio 3.6 calls to 1 put.

Southwest Airlines (LUV) 30-day option implied volatility is at 70; compared to its 52-week range of 17 to 203. Call put ratio 4.5 calls to 1 put.

American Airlines (AAL) 30-day option implied volatility is at 161; compared to its 52-week range of 29 to 293. Call put ratio 1.8 calls to 1 put.

United Airlines (UAL) 30-day option implied volatility is at 112; compared to its 52-week range of 20 to 421. Call put ratio 2.3 calls to 1 put.

U.S. Global Jets ETF (JETS) 30-day option implied volatility is at 78; compared to its 52-week range of 14 to 204. Call put ratio 3.4 calls to 1 put.

Option implied volatility into OPEC+ meeting on June 7, 2020

ExxonMobil (XOM) 30-day option implied volatility is at 36; compared to its 52-week range of 16 to 110.

BP plc (BP) 30-day option implied volatility is at 37; compared to its 52-week range of 15 to 154.

Chevron (CVX) 30-day option implied volatility is at 34; compared to its 52-week range of 15 to 112.

ConocoPhillips (COP) 30-day option implied volatility is at 48; compared to its 52-week range of 21 to 151.

Phillips 66 (PSX) 30-day option implied volatility is at 44; compared to its 52-week range of 17 to 119.

Marathon Oil (MRO) 30-day option implied volatility is at 77; compared to its 52-week range of 30 to 268.

Straddle prices for stocks expected to report quarterly results next week

Coupa Software (COUP) June weekly 217.5 straddle priced for a move of 12% into the expected release of quarter results after the bell on June 8.

Stitch Fix (SFIX) June weekly 25 straddle priced for a move of 20% into the expected release of quarter results after the bell on June 8.

AMC Entertainment (AMC) June weekly 5.5 straddle priced for a move of 19% into the expected release of quarter results after the bell on June 9.

Chewy (CHWY) June weekly 49 straddle priced for a move of 14% into the expected release of quarter results after the bell on June 9.

Five Below (FIVE) June weekly 106 straddle priced for a move of 9% into the expected release of quarter results after the bell on June 9.

GameStop (GME) June weekly 4.5 straddle priced for a move of 20% into the expected release of quarter results after the bell on June 9.

HD Supply Holdings (HDS) June 35 straddle priced for a move of 8% into the expected release of quarter results on June 9.

Signet Jewelers (SIG) June 15.50 straddle priced for a move of 20% into the expected release of quarter results on June 9.

Tailored Brands (TLRD) June 1.5 straddle priced for a move of 35% into the expected release of quarter results after the bell on June 10.

Tiffany (TIF) June weekly 115 straddle priced for a move of 6% into the expected release of quarter results before the bell on June 10.

United Natural Foods (UNFI) June 20 straddle priced for a move of 18% into the expected release of quarter results on June 10.

Adobe (ADBE) June weekly 385 straddle priced for a move of 14% into the expected release of quarter results after the bell on June 11.

Luluemon (LULU) June weekly 317.50 straddle priced for a move of 9% into the expected release of quarter results after the bell on June 11.

Tsakos Energy (TNP) June 2.5 straddle priced for a move of 22% into the expected release of quarter results before the bell on June 11.

Party City (PRTY) June 1.5 straddle priced for a move of 24% into the expected release of quarter results before the bell on June 12.

Danaher (DHR) 30-day option implied volatility is at 27; compared to its 52-week range of 17 to 123 after recent debt fund raising. Call put ratio 6.7 calls to 1 put.

Options with decreasing option implied volatility: TSN SRNE ZS HTZ TWLO
Increasing unusual option volume: GLUU MARK COTY ZUO NKLA SU
Increasing unusual option volume: GLUU ECL JETS COTY MARK RRR FLEX ZUO RUTH NKLA
Increasing unusual put option volume: ECL DKNG NKLA HEXO SMAR
Popular stocks with increasing unusual volume: AAL UAL ZM CCL F UAL LK
Active options: AAL BA TSLA NIO BAC AAPL DAL UAL MGM AMD LK FB SNAP MU GLUU GE ZM CCL DIS F