Pre-Market IV Report June 7, 2021

Pre-Market IV Report June 7, 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: MAT ATOS SNDL CLNE SIRI GNUS TAL BBIG EDU

Stocks expected to have increasing option volume: AMC GME BBBY BB BIIB UPS AAPL

Option volume, IV, delta, gamma, vega and share price movers

AMC Entertainment (AMC) June weekly (W) call option implied volatility is at 440, June is at 425; compared to its 52-week range of 85 to 725. Call put ratio 1.7 calls to 1 put.

GameStop (GME) June weekly call option implied volatility is at 214, June is at 190; compared to its 52-week range of 78 to 553.

BlackBerry (BB) June weekly (11) call option implied volatility is at 260, June is at 250; compared to its 52-week range of 47 to 478. Call put ratio 3 calls to 1 put.

Bed Bath & Beyond (BBBY) June weekly (11) call option implied volatility is at 130, June is at 120; compared to its 52-week range of 66 to 482. Call put ratio 1.1 calls to 1 put.

Clean Energy Fuels (CLNE) 30-day option implied volatility is at 155; compared to its 52-week range of 61 to 182. Call put ratio 9 calls to 1 put.

Sundial Growers (SNDL) 30-day option implied volatility is at 230; compared to its 52-week range of 135 to 654. Call put ratio 7.2 calls to 1 put with focus on June weekly calls.

IV into events

Apple (AAPL) June weekly (11) call option implied volatility is at 22, June is at 22; compared to its 52-week range of 22 to 62 into Apple Worldwide Developers Conference. Call put ratio 2.7 calls to 1 put.

Biogen (BIIB) June weekly (11) call option implied volatility is at 220, June is at 156; compared to its 52-week range of 28 to 103 into aducanumab in Alzheimer’s PDUFA date of June 7. Call put ratio 1.2 calls to 1 put.

Regeneron (REGN) 30-day option implied volatility is at 24; compared to its 52-week range of 24 to 48 into discussing their cancer drug pipeline today at ASCO.

Merck (MRK) 30-day option implied volatility is at 19; compared to its 52-week range of 17 to 35 into discussing their cancer drug pipeline today at ASCO.

Ecolab (ECL) 30-day option implied volatility is at 20; compared to its 52-week range of 19 to 48 into discussing their ESG strategy on June 8.

UPS (UPS) June weekly (11) call option implied volatility is at 31, June is at 27; compared to its 52-week range of 22 to 52 ahead of the company’s analyst day on June 9th.

BlackRock (BLK) 30-day option implied volatility is at 19; compared to its 52-week range of 19 to 44 into hosting an investor day on June 10.

Ishares Silver Trust (SLV) 30-day option implied volatility is at 30; compared to its 52-week range of 23 to 79. Call put ratio 3 calls to 1 put as shares near upper end of range.

Straddle prices into expected release of quarter results next week

Coupa (COUP) June weekly 230 straddle priced for a move of +/- 9% into the expected release of quarter results after the bell on June 7.

Marvell Technology (MRVL) June weekly 49 straddle priced for a move of +/- 7% into the expected release of quarter results after the bell on June 7.

Stitch Fix (SFIX) June weekly 56 straddle priced for a move of +/- 19% into the expected release of quarter results after the bell on June 7.

Vail Resorts (MTN) June 330 straddle priced for a move of +/- 8% into the expected release of quarter results after the bell on June 7.

Plug Power (PLUG) June weekly 30.50 straddle priced for a move of +/- 9% into the expected release of quarter results on June 8.

Campbell Soup (CPB) June weekly 49.50 straddle priced for a move of +/- 4% into the expected release of quarter results before the bell on June 9.

GameStop (GME) June weekly 247 straddle priced for a move of +/- 24% into the expected release of quarter results after the bell on June 9.

Lovesac (LOVE) June 85 straddle priced for a move of +/- 16% into the expected release of quarter results after the bell on June 9.

RH (RH) June weekly 612.50 straddle priced for a move of +/- 13% into the expected release of quarter results after the bell on June 9.

United Natural Foods (UNFI) June 40 straddle priced for a move of +/- 18% into the expected release of quarter results before the bell on June 9.

Chewy (CHWY) June weekly 75 straddle priced for a move of +/- 9% into the expected release of quarter results after the bell on June 10.

Dave & Busters (PLAY) June weekly 41.50 straddle priced for a move of +/- 11% into the expected release of quarter results on June 10.

FuelCell (FCEL) June weekly 10 straddle priced for a move of +/- 16% into the expected release of quarter results on June 10.

Signet Jewelers (SIG) June weekly 60 straddle priced for a move of +/- 13% into the expected release of quarter results before the bell on June 10.

Options with decreasing option implied volatility: DOCU FSLY CLDR ABT SIRI CLDR
Increasing unusual option volume: BKLN SIRI GTT SOXS CLNE SENS LODE BB EDU TPR EH
Increasing unusual call option volume: BBIG SIRI SOXS LODE KNDI
Increasing unusual put option volume: EDU BB SENS LB DOCU CLNE
Popular stocks with increasing volume: BB F SQ TLRY PLTR
Active options: AMC TSLA AAPL F BB NVDA SNDL PLTR WKHS MSFT FB NIO AMD MVIS NOK SQ SENS BAC TLRY AMZN
Global S&P Futures recently mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $69.27, natural gas mixed, gold at $1886 an ounce