Pre-Market IV Report May 13, 2020

Pre-Market IV Report May 13, 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: GRUB SFIX LORL DKNG GNW CLVS SDC VIIQ CHK PDD
Options expected to have increasing volume: LVS CSCO AMAT EGHT GRUB UBER

Grubhub (GRUB) May call option implied volatility is at 126, June is at 77; compared to its 52-week range of 38 to 143 after reports Uber (UBER) made all-stock offer to acquire. Call put ratio 1.5 calls to 1 put.

DraftKings (DKNG) May call option implied volatility is at 191, June is at 141; compared to its 52-week range of 54 to 143. Call put ratio 8.7 calls to 1 put with focus on May 30 calls.

Federal Reserve Chair Jerome Powell will discuss the economy today at 9ET

SPDR S&P 500 ETF Trust (SPY) 30-day call option implied volatility is at 29; compared to its 52-week range of 10 to 77 into Federal Reserve Chair Jerome Powell will discuss the economy today at 9ET.

PowerShares QQQ Trust (QQQ) 30-day call option implied volatility is at 31; compared to its 52-week range of 12 to 79.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 18; compared to its 52-week range of 8 to 48.

iShares Russell 2000 ETF (IWM) 30-day option implied volatility is at 43; compared to its 52-week range of 12 to 81.

Market Vectors Gold Miners ETF (GDX) Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 47; compared to its 52-week range of 21 to 158 into Federal Reserve Chair Jerome

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 39; compared to its 52-week range of 13 to 110. Call put ratio 1 call to 3.4 puts.

Straddle prices for stocks expected to report quarterly results this week

Alibaba (BABA) May 200 straddle priced for a move of 4% into the expected release of quarter results today before the bell.

SmileDirectClub (SDC) May 8 straddle priced for a move of 24% into the expected release of quarter results today after the bell today.

Cisco (CSCO) May 43.50 straddle priced for a move of 6.5% into the expected release of quarter results after today after the bell.

Brookfield Asset Management (BAM) May 35 straddle priced for a move of 10% into the expected release of quarter results before the bell on May 14.

Applied Materials (AMAT) May 52 straddle priced for a move of 7% into the expected release of quarter results after the bell on May 14.

JD.Com (JD) May 47 straddle priced for a move of 8% into the expected release of quarter results before the bell on May 15.

V.F. Corp (VFC) May 55.50 straddle priced for a move of 9% into the expected release of quarter results before the bell on May 15.

Microsoft (MSFT) 30-day option implied volatility is at 29; compared to its 52-week range of 15 to 99 as shares price outperforms the SPY and QQQ.

Chesapeake Energy (CHK) May call option implied volatility is at 305, June is at 244; compared to its 52-week range of 61 to 523. Call put ratio 1 call to 3.3 puts.

Option implied volatility flat for solar stocks

Canadian Solar (CSIQ) 30-day call option implied volatility is at 61; compared to its 52-week range of 39 to 147.

First Solar (FSLR) 30-day call option implied volatility is at 52; compared to its 52-week range of 28 to 113

SunPower (SPWR) 30-day call option implied volatility is at 77; compared to its 52-week range of 46 to 146

Options with decreasing option implied volatility: XLU CHGG RTX USO SNAP STNG
Increasing unusual option volume: LOGI TCO SMAR PAGS GRUB UBER PAAS SDC EGHT DKNG
Increasing unusual call option volume: DDOG SDC EGHT DKNG
Increasing unusual put option volume: VIPS APO GNW CYBR IVR CRC FOXA MDY DDOG SDC EGHT DKNG
Popular stocks with increasing unusual volume: BYND AAL BA DKNG PTON GRUB
Active options: AAPL UBER TSLA BYND BAC AMD MSFT AAL SDC BA CSCO FB DKNG SQ BABA ROKU DIS PTON NVDA JPM
Global S&P Futures recently mixed in premarket, Nikkei down 0.4%, DAX down 1.8%, WTI Crude oil recently at $25.53, natural gas down 1.8%, gold at $1706 an ounce