Pre-Market IV Report June 9, 2020

Pre-Market IV Report June 9, 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: HTZ NKLA CHK LK MFA INO GRPN SFIX NOK COTY IVR WLL AAL

Options expected to have increasing volume: GME TLRD HDS AMC CHWY SFIX COUP CASY BA

Sharp share price, volume and IV movement

Nikola (NKLA) 30-day option implied volatility is at 268; compared to its 52-week range of 67 to 267 after reports of opening reservations for zero emission truck on June 29th. Call put ratio 2.4 calls to 1.

Whiting Petroleum (WLL) 30-day option implied volatility is at 408; compared to its 52-week range of 65 to 477 amid sharp price movement. Call put ratio 3.6 calls to 1 put with focus on June 4 calls and puts after recently filing for bankruptcy.

Hertz Global (HTZ) June weekly call option implied volatility is at 506, puts 748, June is at 544; compared to its 52-week range after sharp rally. Call put ratio 2.3 calls to 1 put after recently filing for bankruptcy.

Luckin Coffee Inc. (LK) June weekly call option implied volatility is at 326, June is at 290; compared to its 52-week range of 59 to 350 amid sharp price movement.

Chesapeake Energy (CHK) 30-day option implied volatility is at 376; compared to its 52-week range of 74 to 524 amid sharp price movement. Call put ratio 2.5 calls to 1 put.

Coty (COTY) 30-day option implied volatility is at 170; compared to its 52-week range of 33 to 170 amid sharp price movement. Call put ratio 13.7 calls to 1 put with focus on July 7 and 8 call.

Macy’s (M) 30-day option implied volatility is at 141; compared to its 52-week range of 31 to 164 amid sharp price movement into raising $4.5B in financing. Call put ratio 4.2 calls to 1 put.

Kohl’s (KSS) 30-day option implied volatility is at 85; compared to its 52-week range of 29 to 159 amid sharp price movement. Call put ratio 3 calls to 1 put with focus on June weekly and June calls.

Amazon.com (AMZN) 30-day option implied volatility is at 26; compared to its 52-week range of 17 to 69 as shares near record high.

Beyond Meet (BYND) 30-day option implied volatility is at 88; compared to its 52-week range of 47 to 140 as shares rallied after announcing a distribution deal with a major Chinese distributor. Call put ratio 2.7 calls to 1 put.

Tesla (TSLA) 30-day option implied volatility is at 67; compared to its 52-week range of 33 to 154 amid Nikola (NKLA) electric truck anticipation.

Straddle prices for stocks expected to report quarterly results this week

AMC Entertainment (AMC) June weekly 6.5 straddle priced for a move of 21% into the expected release of quarter results today after the bell.

Chewy (CHWY) June weekly 49 straddle priced for a move of 12% into the expected release of quarter results today after the bell.

Five Below (FIVE) June weekly 107 straddle priced for a move of 10% into the expected release of quarter results today after the bell.

GameStop (GME) June weekly 5 straddle priced for a move of 25% into the expected release of quarter results today after the bell.

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

Tiffany (TIF) June weekly 121 straddle priced for a move of 4% 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 21% into the expected release of quarter results on June 10.

Adobe (ADBE) June weekly 397.50 straddle priced for a move of 5% into the expected release of quarter results after the bell on June 11.

Luluemon (LULU) June weekly 315 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.

PVH (PVH) June 70 straddle priced for a move of 16% into the expected release of quarter results before the bell on June 12.

Party City (PRTY) June 1.5 straddle priced for a move of 31% into the expected release of quarter results before the bell on June 12.

Federal Reserve meeting begins today

Options with decreasing option implied volatility: CAR AXP PYPL HPQ ZS CLDR BHC GOOS
Increasing unusual option volume: NKLA HEXO NE VAL MARK AZUL
Increasing unusual call option volume: HEXO VAL NE LTM NKLA COTY
Increasing unusual put option volume: NKLA RSP IVR TFC
Popular stocks with increasing unusual volume: M AAL HTZ BYND MGM CCL XOM NKLA
Active options: HTZ GE BA BAC AAPL TSLA AAL F MSFT HEXO WFC BYND OXY AMD MGM CCL NIO XOM M NKLA
Global S&P Futures recently down 1.2% in premarket, Nikkei down 0.3%, DAX down 1%, WTI Crude oil recently at $37.16, natural gas up 1%, gold at $1715 an ounce