Pre-Market IV Report May 27, 2020

Pre-Market IV Report May 27, 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: SFIX PCG BKLN DOCU LK THTZ VTIQ FG ZYNE EURN GNSS

Options expected to have increasing volume: DPZ TSCO RL HPQ COST DLTR DG NTAP CRM

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 34; compared to its 52-week range of 13 to 111 as banks move higher.

Recreation vehicle and Boating stock prices up as option implied volatility comes in from record highs

LCI Industries (LCII) 30-day option implied volatility is at 84; compared to its 52-week range of 63 to 131.

Polaris Industries (PII) 30-day option implied volatility is at 54; compared to its 52-week range of 31 to 118.

Brunswick (BC) 30-day option implied volatility is at 53; compared to its 52-week range of 24 to 125.

MasterCraft Boat (MCFT) 30-day option implied volatility is at 78; compared to its 52-week range of 40 to 154.

Thor Industries (THO) 30-day option implied volatility is at 79; compared to its 52-week range of 34 to 131.

Winnebago Industries (WGO) 30-day option implied volatility is at 59; compared to its 52-week range of 34 to 154. Call put ratio 1.9 calls to 1 put.

Camping World (CWH) 30-day option implied volatility is at 93; compared to its 52-week range of 50 to 242. Call put ratio 4.5 calls to 1 put with focus on September 28 calls.

Straddle prices for stocks expected to report quarterly results this week

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

Box (BOX) June 19 straddle priced for a move of 15% into the expected release of quarter results today after the bell.

Capri Holdings (CPRI) May weekly 16.5 straddle priced for a move of 12% into the expected release of quarter results today before the bell.

HP (HPQ) May weekly 17 straddle priced for a move of 8% into the expected release of quarter results today after the bell.

NetApp (NTAP) May weekly 45 straddle priced for a move of 8% into the expected release of quarter results today after the bell.

Ralph Lauren (RL) May weekly 81 straddle priced for a move of 10% into the expected release of quarter results today before the bell.

PVH (PVH) June 50 straddle priced for a move of 16% into the expected release of quarter results today.

Canada Goose (GOOS) May weekly 21 straddle priced for a move of 10% into the expected release of quarter results today.

Vipshop (VIPS) May weekly 16 straddle priced for a move of 13% into the expected release of quarter results today before the bell.

Workday (WDAY) May weekly 170 straddle priced for a move of 8% into the expected release of quarter results today after the bell.

Abercrombie & Fitch (ANF) May weekly 12.50 straddle priced for a move of 13% into the expected release of quarter results before the bell on May 28.

Dollar General (DG) May weekly 180 straddle priced for a move of 7% into the expected release of quarter results on May 28.

Dollar Tree (DLTR) June 85 straddle priced for a move of 8% into the expected release of quarter results on May 28.

Burlington Stores (BURL) May weekly 207.50 straddle priced for a move of 8% into the expected release of quarter results before the bell on May 28.

Costco (COST) May weekly 305 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 11% into the expected release of quarter results after the bell on May 28.

Lumber Liquidators (LL) May weekly 9 straddle priced for a move of 15% into the expected release of quarter results on May 28.

Nordstrom (JWN) May weekly 17 straddle priced for a move of 17% into the expected release of quarter results on May 28.

Marvell Technology (MRVL) May weekly 30.50 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 140 straddle priced for a move of 10% into the expected release of quarter results before the bell on May 28.

Ulta Beauty (ULTA) May weekly 240 straddle priced for a move of 9% into the expected release of quarter results after the bell on May 28.

VMware (VMW) May weekly 138 straddle priced for a move of 8% into the expected release of quarter results after the bell on May 28.

Williams-Sonoma (WSM) June 70 straddle priced for a move of 13% into the expected release of quarter results after the bell on May 28.

Big Lots (BIG) June 35 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 20 straddle priced for a move of 22% into the expected release of quarter results on May 29.

SPY traded above the round number of 300, managed to get above its 200-day moving average for the first time in the Covid crisis, and moved above its 61.8% Fibonacci retracement level into end of year into end of month trading.

Options with decreasing option implied volatility: SRNE APT INO PYPL FSCT TWLO SNAP CODX DKNG TNK CAR UAL KSS
Increasing unusual option volume: BJ MARK VICI CERTS EGHT
Increasing unusual call option volume: BJ MARK CERS EGHT COTY TPX
Increasing unusual put option volume: SRNE VNO OVV PAGS APPN EWC
Popular stocks with increasing unusual volume: DAL TLRY AAL UAL T
Active options: AAPL BAC FB AAL TSLA WFC AMD GE MSFT JPM DAL BA BABA TLRY UAL DIS F NVDA C T
Global S&P Futures recently mixed to higher in premarket, Nikkei flat, DAX mixed to higher%, WTI Crude oil recently at $33.58, natural gas mixed, gold at $1718 an ounce