Pre-Market IV Report May 20, 2020

Pre-Market IV Report May 20, 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: MRNA SRNE ACB HPQ AZN HTZ ACB SFIX INO SLV BBY LOW NVDA PANW

Options expected to have increasing volume: MRNA TGT URBN BBY ADI LOW MCK JNJ SPOT JNJ UAL

SPDR S&P 500 ETF Trust (SPY) 30-day call option implied volatility is at 27; compared to its 52-week range of 10 to 77 into FOMC release of minutes from monetary policy meeting in late April.

PowerShares QQQ Trust (QQQ) 30-day call option implied volatility is at 28; compared to its 52-week range of 12 to 79

Moderna (MRNA) May weekly call option implied volatility is at 151, June is at 120; compared to its 52-week range of 50 to 172 after a stock offering as news report questions Covid-19 vaccine data. Call put ratio 1 call to 1 put.

Option implied volatility for company’s seeking to develop a Covid-19 vaccine

Novavax (NVAX) May weekly call option implied volatility is at 165, June is at 150; compared to its 52-week range of 85 to 316 amid the company seeking to develop a Covid-19 vaccine.

Inovio Pharma (INO) May weekly call option implied volatility is at 134, June is at 186; compared to its 52-week range of 61 to 391 amid the company seeking to develop a Covid-19 vaccine.

BioNTech SE (BNTX) May weekly call option implied volatility is at 134, June is at 148; compared to its 52-week range of 98 to 170 amid the company seeking to develop a Covid-19 vaccine.

Netflix (NFLX) May weekly call option implied volatility is at 40, June is at 41; compared to its 52-week range of 28 to 99 amid shares trading near record high. Call put ratio 1.7 calls to 1 put.

Straddle prices for stocks expected to report quarterly results this week

Lowes (LOW) May weekly 117 straddle priced for a move of 5% into the expected release of quarter results today before the bell.

McKesson (MCK) May weekly 144 straddle priced for a move of 7.5% into the expected release of quarter results today before the bell.

Take-Two Interactive Software (TTWO) May weekly 140 straddle priced for a move of 6% into the expected release of quarter results today after the bell.

Target (TGT) May weekly 123 straddle priced for a move of 5% into the expected release of quarter results today before the bell.

Vipshop (VIPS) May weekly 16 straddle priced for a move of 6% into the expected release of quarter results today.

Agilent (A) June 82.50 straddle priced for a move of 8% into the expected release of quarter results after the bell on May 21.

Hewlett Packard (HPE) May 10 straddle priced for a move of 7% into the expected release of quarter results after the bell on May 21.

Hormel (HRL) May weekly 47 straddle priced for a move of 6% into the expected release of quarter results before the bell on May 21.

Intuit (INTU) May weekly 285 straddle priced for a move of 6% into the expected release of quarter results after the bell on May 21.

Medtronic (MDT) May weekly 97 straddle priced for a move of 4% into the expected release of quarter results before the bell on May 21.

NVIDIA (NVDA) May weekly 350 straddle priced for a move of 8% into the expected release of quarter results after the bell on May 21.

Palo Alto Networks (PANW) May weekly 227.5 straddle priced for a move of 9% into the expected release of quarter results after the bell on May 21.

Ross Stores (ROST) June 90 straddle priced for a move of 9% into the expected release of quarter results after the bell on May 21.

Teekay Tankers (TNK) June 15 straddle priced for a move of 30% into the expected release of quarter results before the bell on May 21.

L Brands (LB) May weekly 12.50 straddle priced for a move of 17% into the expected release of quarter results after the bell on May 21.

TJX (TJX) June 50 straddle priced for a move of 10% into the expected release of quarter results before the bell on May 21.

Alibaba (BABA) May weekly 217.5 straddle priced for a move of 5% into the expected release of quarter results today before the bell on May 22.

Deere (DE) May weekly 136 straddle priced for a move of 6% into the expected release of quarter results before the bell on May 22.

Pinduoduo (PDD) May 63 straddle priced for a move of 15% into the expected release of quarter results before the bell on May 22.

Spotify (SPOT) May weekly call option implied volatility is at 69, June is at 43; compared to its 52-week range of 25 to 83 after the company said that The Joe Rogan Experience will be coming to the streaming platform.

VectoIQ (VTIQ) June call option implied volatility is at 161, July is at 147; compared to its 26-week range of 66 to 225. Call put ratio 4 calls to 1 put.

Facebook (FB) call put ratio 3.8 calls to 1 put with focus on May weekly 220 calls

Options with decreasing option implied volatility: BCRX CLVS DKNG CSCO SIX XLU FTCH GRUB LQD XLU USO SNAP
Increasing unusual option volume: DVAX URBN SRNE ECL HEXO NOV CHEF
Increasing unusual call option volume: DVAX ECL HEXO CHEF URBN SRNE HPQ ADI
Increasing unusual put option volume: SRNE URBN NOV TRGP
Popular stocks with increasing unusual volume: DAL BIDU MRNA SQ TLRY
Active options: FB AAPL GE AMD WMT BABA MSFT TSLA BA AMZN DIS BAC BYND DAL NVDA BIDU MRNA SQ TLRY WFC
Global S&P Futures recently up 0.6% in premarket, Nikkei up 0.7%, DAX flat, WTI Crude oil recently at $32, natural gas down 0.7%, gold at $1750 an ounce