Pre-Market IV Report May 22, 2020

Pre-Market IV Report May 22, 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: PANW NVDA MDT DE HTZ SFIX PCG LK INO PDD LK FL

Options expected to have increasing volume: BABA FL MDT PANW NVDA HPE MU HTZ CAR GERN USFD DE FL

Micron (MU) May weekly call option implied volatility is at 64, June is at 52; compared to its 52-week range of 31 to 115 into a company hosted investor update conference call on May 22 at 1 pm. Call put ratio 1.6 calls to 1 put with focus on June 47 calls.

iShares China Large-Cap (FXI) May weekly call option implied volatility is at 42, July is at 23; compared to its 52-week range of 15 to 64 into renewed Hong Kong security law headlines. Call put ratio 1 call to 3 puts with focus on June 34 and 37 puts.

Db X-trackers Harvest Csi 300 China A – Shares Fund (ASHR) May weekly call option implied volatility is at 28, June is at 23; compared to its 52-week range of 17 to 59 into renewed Hong Kong security law headlines. Call put ratio 1 call to 1.8 puts.

Vanguard Reit Etf (VNQ) 30-day option implied volatility is at 33; compared to its 52-week range of 10 to 90. Call put ratio 20 calls to 1 put with focus on September 85 calls.

Ishares U.S. Home Construction Etf (ITB) 30-day option implied volatility is at 41; compared to its 52-week range of 15 to 109. Call put ratio 3.8 calls to 1 put with focus on October calls.

US Foods (USFD) 30-day call option implied volatility is at 71; compared to its 52-week range of 18 to 206. Call put ratio 4.4 calls to 1 put with focus on October 22.50 calls into KKR reveals active stake.

Straddle prices for stocks expected to report quarterly results next week

AutoZone (AZN) May weekly 55 straddle priced for a move of 6% into the expected release of quarter results before the bell on May 26.

Autodesk (ADSK) May weekly 195 straddle priced for a move of 8% into the expected release of quarter results after the bell on May 27.

Box (BOX) June 18 straddle priced for a move of 13% into the expected release of quarter results after the bell on May 27.

Canada Goose (GOOS) May weekly straddle priced for a move of 12% into the expected release of quarter results on May 27.

Capri Holdings (CPRI) May weekly 15 straddle priced for a move of 12% into the expected release of quarter results before the bell on May 27.

HP (HPQ) May weekly 17 straddle priced for a move of 11% into the expected release of quarter results after the bell on May 27.

NetApp (NTAP) May weekly 45.50 straddle priced for a move of 8% into the expected release of quarter results after the bell on May 27.

Ralph Lauren (RL) May weekly 74.5 straddle priced for a move of 17% into the expected release of quarter results before the bell on May 27.

PVH (PVH) June 45 straddle priced for a move of 16% into the expected release of quarter results on May 27.

Vipshop (VIPS) May weekly 15 straddle priced for a move of 13% into the expected release of quarter results before the bell on May 27.

Workday (WDAY) May weekly 162.50 straddle priced for a move of 8% into the expected release of quarter results after the bell on May 27.

Abercrombie & Fitch (ANF) May weekly 12 straddle priced for a move of 18% into the expected release of quarter results before the bell on May 28.

Burlington Stores (BURL) May weekly 202.50 straddle priced for a move of 10% into the expected release of quarter results before the bell on May 28.

Costco (COST) May weekly 300 straddle priced for a move of 4% into the expected release of quarter results on May 28.

Dell Technologies (DELL) June 45 straddle priced for a move of 13% into the expected release of quarter results after the bell on May 28.

Lumber Liquidators (LL) May weekly 8 straddle priced for a move of 23% into the expected release of quarter results on May 28.

Nordstrom (JWN) May weekly 16 straddle priced for a move of 18% into the expected release of quarter results on May 28.

Marvell Technology (MRVL) May weekly 29 straddle priced for a move of 7% into the expected release of quarter results after the bell on May 28.

Salesforce (CRM) May weekly 175 straddle priced for a move of 6% into the expected release of quarter results after the bell on May 28.

Sanderson Farms (SAFM) June 135 straddle priced for a move of 12% into the expected release of quarter results before the bell on May 28.

Ulta Beauty (ULTA) May weekly 222.50 straddle priced for a move of 12% into the expected release of quarter results after the bell on May 28.

VMware (VMW) May weekly 137 straddle priced for a move of 9% into the expected release of quarter results after the bell on May 28.

Williams-Sonoma (WSM) June 65 straddle priced for a move of 13% into the expected release of quarter results after the bell on May 28.

Big Lots (BIG) June 32.50 straddle priced for a move of 16% into the expected release of quarter results before the bell on May 29.

Canopy Growth (CGC) May weekly straddle priced for a move of 14% into the expected release of quarter results on May 29.

Options with decreasing option implied volatility: NAT LQD TWLO SNAP UCO CODX APT CLVS AAL
Increasing unusual option volume: EGHT BJ SONO ECL VGK AZN PEG URBN LB
Increasing unusual call option volume: EGHT SONO BJ ECL AZN URBN TIF
Increasing unusual put option volume: VGK ECL SRNE NTR MNK TTWO SPOT
Popular stocks with increasing unusual volume: DIS TLRY CCL UBER
Active options: FB AAPL TSLA BA BABA AMD AMZN MSFT BAC NVDA F DIS NFLX GE T TWTR DAL TLRY CCL UBER
Global S&P Futures recently mixed to lower in premarket, Nikkei mixed, DAX closed, WTI Crude oil recently at $32.06, natural gas mixed, gold at $1727 an ounce