Pre-Market IV Report June 8, 2021

Pre-Market IV Report June 8, 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: CLNE EDU TAL CLOV NLY ATOS CCIV BNGO BB SIRI SNDL BBIG

Stocks expected to have increasing option volume: AMC BB CLOV SNDL CCIV MVIS MTN COUP MVRL SFIX CPB UPS BBIG

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

Clean Energy Fuels (CLNE) 30-day option implied volatility is at 164; compared to its 52-week range of 61 to 182. Call put ratio 7.5 calls to 1 put with focus on June calls.

New Oriental Education (EDU) 30-day option implied volatility is at 143; compared to its 52-week range of 36 to 143.

TAL Education (TAL) 30-day option implied volatility is at 152; compared to its 52-week range of 38 to 152.

Clover Health Investments (CLOV) 30-day option implied volatility is at 178; compared to its 52-week range of 12 to 177. Call put ratio 9.4 calls to 1 put with focus on July calls.

Annaly Capital Management (NLY) 30-day option implied volatility is at 176; compared to its 52-week range of 13 to 200

Atossa Therapeutics (ATOS) 30-day option implied volatility is at 300; compared to its 52-week range of 112 to 356.

Churchill Capital Corp IV (CCIV) 30-day option implied volatility is at 118; compared to its 52-week range of 79 to 289. Call put ratio 6.7 calls to 1 put.

BioNano Genomics, Inc. (BNGO) 30-day option implied volatility is at 169; compared to its 52-week range of 91 to 247. Call put ratio 9.3 calls to 1 put with focus on June and July 9 calls.

BlackBerry (BB) 30-day option implied volatility is at 228; compared to its 52-week range of 48 to 478.

Sirius XM (SIRI) 30-day option implied volatility is at 54; compared to its 52-week range of 25 to 451. Call put ratio 79 calls to 1 put with focus on June weekly (11) 6.5 calls.

Sundial Growers (SNDL) 30-day option implied volatility is at 223; compared to its 52-week range of 135 to 654. Call put ratio 5.3 calls to 1 put with focus on July 1 calls.

Vinco Ventures (BBIG) 30-day option implied volatility is at 248; compared to its 52-week range of 85 to 249. Call put ratio 18 calls to 1 put with focus on June, July and October 5 calls.

WTI Crude near $70

ConocoPhillips (COP) 30-day option implied volatility is at 34; compared to its 52-week range of 33 to 77. Call put ratio 1 calls to 1.2 puts.

Biogen (BIIB) options active as shares rally on positive data

Biogen (BIIB) June weekly (11) call option implied volatility is at 100, June is at 69; compared to its 52-week range of 28 to 103 after aducanumab in Alzheimer’s PDUFA data. Call put ratio 1 call to 1.2 puts.

Alexander & Baldwin (ALEX) 30-day option implied volatility is at 38; compared to its 52-week range of 33 to 108 after FDA approves Biogen’s (BIIB) Aduhelm for Alzheimer’s disease.

Prothena Corp. (PRTA) 30-day option implied volatility is at 123; compared to its 52-week range of 52 to 197 after FDA approves Biogen’s (BIIB) Aduhelm for Alzheimer’s disease. Call put ratio 6 calls to 1 put.

Athira Pharma Inc. (ATHA) 30-day option implied volatility is at 87; compared to its 52-week range of 59 to 117 after FDA approves Biogen’s (BIIB) Aduhelm for Alzheimer’s disease. Call put ratio 4 calls to 1 put.

Eli Lilly & Co. (LLY) 30-day option implied volatility is at 32; compared to its 52-week range of 22 to 46 after FDA approves Biogen’s (BIIB) Aduhelm for Alzheimer’s disease.

AMC IV bid

AMC Entertainment (AMC) June weekly (W) call option implied volatility is at 460, June is at 430; compared to its 52-week range of 85 to 725. Call put ratio 1.5 calls to 1 put.

Straddle prices into expected release of quarter results next week

Plug Power (PLUG) June weekly 32 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 280 straddle priced for a move of +/- 27% into the expected release of quarter results after the bell on June 9.

Lovesac (LOVE) June 85 straddle priced for a move of +/- 17% into the expected release of quarter results after the bell on June 9.

RH (RH) June weekly 625 straddle priced for a move of +/- 10% 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 78.50 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 42.50 straddle priced for a move of +/- 12% into the expected release of quarter results on June 10.

FuelCell (FCEL) June weekly 11.50 straddle priced for a move of +/- 17% into the expected release of quarter results on June 10.

Signet Jewelers (SIG) June weekly 58.50 straddle priced for a move of +/- 14% into the expected release of quarter results before the bell on June 10.

Options with decreasing option implied volatility: BIIB EBAY DOCU FSLY CLDR PSTH FIVE ZM
Increasing unusual option volume: LH EVFM BBIG CVE EWW BIIB ADMP SKLZ EAT
Increasing unusual call option volume: TAL EVFM CVE IBB ADMP
Increasing unusual put option volume: EDU ATOS BIIB COUP BB SFIX CLOV
Popular stocks with increasing volume: C BB TLRY PLTR
Active options: AMC AAPL TSLA BB CLOV SNDL NIO FB PLTR CCIV MSFT NVDA NOK TLRY WKHS AMD FUBO C AMZN
Global S&P Futures recently mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $68.87, natural gas up 1.6%, gold at $1896 an ounce