Pre-Market IV Report May 26, 2020

Pre-Market IV Report May 26, 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 LK BKLN TLRY SFIX FSCT PDD FG

Options expected to have increasing volume: REGN NVAX AZO DELL COST DG DLR CRM TOL ULTA

Option IV into Macau gambling king Stanley Ho, dies

Melco Resorts (MLCO) 30-day option implied volatility is at 67; compared to its 52-week range of 31 to 151 into Macau gambling king Stanley Ho, who built a gambling business empire from scratch in the former Portuguese colony and became one of Asia’s richest men, died peacefully at the age of 98, his family confirmed on Tuesday. Call put ratio 14 calls to 1 put with focus on July 15 calls.

Wynn Resorts Ltd (WYNN) 30-day option implied volatility is at 75; compared to its 52-week range of 31 to 216 into Macau gambling king Stanley Ho, died peacefully at the age of 98.

Las Vegas Sands (LVS) 30-day option implied volatility is at 47; compared to its 52-week range 22 to 179.

MGM Resorts (MGM) 30-day option implied volatility is at 79; compared to its 52-week range of 22 to 337.

Caesars Entertainment (CZR) 30-day option implied volatility is at 51; compared to its 52-week range 10 to 343.

DraftKings (DKNG) May weekly call option implied volatility is at 92, June is at 88; compared to its 52-week range of 54 to 143.

iShares MSCI Brazil (EWZ) 30-day option implied volatility is at 52; compared to its 52-week range of 22 to 145 into U.S. implementing a travel ban on Brazil.

Hertz Global (HTZ) May weekly (29) Call put ratio 1 call to 1.1 puts into filing for bankruptcy protection on Friday. Call option implied volatility is at 493, puts at 517, June calls are at 285, puts at 340; compared to its 52-week range of 40 to 455.

Avis Budget Group (CAR) June call option implied volatility is at 119, June is at 120; compared to its 52-week range of 36 to 320 into Hertz Global (HTZ) filing for bankruptcy protection on Friday – Reuters.

Virgin Galactic Holdings (SPCE) May weekly call option implied volatility is at 108, June is at 113; compared to its 52-week range of 39 to 239 into orbit launch attempt ends without trip to space. Call put ratio 3.4 calls to 1 put with focus on July weekly (2) 18 calls.

Novavax (NVAX) May weekly call option implied volatility is at 110, June is at 120; compared to its 52-week range of 85 to 316 into initiating Phase 1 Covid-19 vaccine.

Grubhub (GRUB) May weekly call option implied volatility is at 71, June is at 64; compared to its 52-week range of 38 to 143 amid recent reports Uber (UBER) made all-stock offer to acquire.

Wix.com (WIX) 30-day call option implied volatility is at 54; compared to its 52-week range of 28 to 105 amid wide price movement.

ATARA Biotherapeutics (ATRA) 30-day option implied volatility is at 136; compared to its 52-week range of 65 to 175 amid wide price movement. Call put ratio 7.1 calls to 1 put with focus on June 20 calls.

ForeScout Technologies, Inc. (FSCT) June call option implied volatility is at 77, July is at 71; compared to its 52-week range of 8 to 111 amid wide price movement.

Straddle prices for stocks expected to report quarterly results this week

AutoZone (AZO) May weekly 1122 straddle priced for a move of 6.5% into the expected release of quarter results today before the bell.

Autodesk (ADSK) May weekly 195 straddle priced for a move of 9% into the expected release of quarter results after the bell on May 27.

Box (BOX) June 19 straddle priced for a move of 14% into the expected release of quarter results after the bell on May 27.

Canada Goose (GOOS) May weekly straddle priced for a move of 11% into the expected release of quarter results on May 27.

Capri Holdings (CPRI) May weekly 14.5 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 44.50 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 72.5 straddle priced for a move of 15% 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 170 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.

Dollar General (DG) May weekly 177.50 straddle priced for a move of 8% into the expected release of quarter results on May 28.

Dollar Tree (DLTR) June 81.50 straddle priced for a move of 7.5% into the expected release of quarter results on May 28.

Burlington Stores (BURL) May weekly 202.50 straddle priced for a move of 11% into the expected release of quarter results before the bell on May 28.

Costco (COST) May weekly 302.50 straddle priced for a move of 4% into the expected release of quarter results on May 28.

Dell Technologies (DELL) June 42.5 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 21% into the expected release of quarter results on May 28.

Nordstrom (JWN) May weekly 15.5 straddle priced for a move of 18% into the expected release of quarter results on May 28.

Marvell Technology (MRVL) May weekly 30 straddle priced for a move of 7% into the expected release of quarter results after the bell on May 28.

Salesforce (CRM) May weekly 177.5 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 220 straddle priced for a move of 12% into the expected release of quarter results after the bell on May 28.

VMware (VMW) May weekly 135 straddle priced for a move of 8% into the expected release of quarter results after the bell on May 28.

Williams-Sonoma (WSM) June 67.5 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 15% into the expected release of quarter results before the bell on May 29.

Canopy Growth (CGC) May weekly 19.50 straddle priced for a move of 21% into the expected release of quarter results on May 29.

Options with decreasing option implied volatility: USO PYPL TWLO SNAP UCO APT SRNE PCG CODX DKNG
Increasing unusual option volume: BJ MARK VICI CERS EGHT TPX VNO EWC CDEV
Increasing unusual call option volume: HPE MARK CERS EGHT COTY TPX SPLX SIG
Increasing unusual put option volume: SRNE VNO OVV PAGS APPN EWC TIF
Popular stocks with increasing unusual volume: IQ UA VIPS TIF TLRY JD CGC UBER ROKU CRON
Active options: FB BABA TSLA AAPL NVDA TLRY AMD BAC AMZN BA MSFT ROKU T NFLX JD CRON GE DIS CGC UBER
Global S&P Futures recently up 1.2% in premarket, Nikkei up 2.2%, DAX up 0.6%, WTI Crude oil recently at $34.03, natural gas mixed, gold at $1722 an ounce