Pre-Market IV Report May 28, 2020

Pre-Market IV Report May 28, 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 HEXO PCG BLKN DOCU EBAY LK SFIX AOBC NK ZYNE LL

Options expected to have increasing volume: CRM NTNX HPQ LOGI WDAY BA COST ANF DLTR DG JWN

Option implied volatility for social media into Trump reports

Facebook (FB) 30-day option implied volatility is at 36; compared to its 52-week range of 21 to 82 into President Donald Trump is expected to order a review of a law that has long protected Twitter (TWTR), Facebook and Alphabet’s Google (GOOGL) from being responsible for the material posted by their users, according to a draft executive order and a source familiar with the situation, Reuters reports.

Alphabet (GOOG) 30-day option implied volatility is at 27; compared to its 52-week range of 14 to 75.

Twitter (TWTR) 30-day option implied volatility is at 48; compared to its 52-week range of 27 to 125.

Snap (SNAP) 30-day option implied volatility is at 50; compared to its 52-week range of 37 to 126.

Pinterest (PINS) 30-day option implied volatility is at 60; compared to its 52-week range of 38 to 154.

Amazon (AMZN) 30-day option implied volatility is at 28; compared to its 52-week range of 17 to 69.

Boeing (BA) 30-day option implied volatility is at 65; compared to its 52-week range of 23 to 222 into resumes limited 737 Max production. Call put ratio 2.3 calls to 1 put with focus on June 140 calls.

Moderna (MRNA) May weekly call option implied volatility is at 135, June is at 122; compared to its 52-week range of 50 to 172. Call put ratio 1 call to 1 put.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 35; compared to its 52-week range of 13 to 111.

Straddle prices for stocks expected to report quarterly results this week

Abercrombie & Fitch (ANF) May weekly 13 straddle priced for a move of 15% into the expected release of quarter results before the bell on May 28.

Dollar General (DG) May weekly 187.50 straddle priced for a move of 6% into the expected release of quarter results today.

Dollar Tree (DLTR) May weekly 87 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 7% into the expected release of quarter results today before the bell.

Lumber Liquidators (LL) May weekly 9.5 straddle priced for a move of 19% into the expected release of quarter results today.

Dell Technologies (DELL) June 45 straddle priced for a move of 11% into the expected release of quarter results today after the bell.

Salesforce (CRM) May weekly 177.5 straddle priced for a move of 6% into the expected release of quarter results today after the bell.

Nordstrom (JWN) May weekly 19.5 straddle priced for a move of 17% into the expected release of quarter results today.

Marvell Technology (MRVL) May weekly 30.50 straddle priced for a move of 7% into the expected release of quarter results today after the bell.

Costco (COST) May weekly 305 straddle priced for a move of 3.5% into the expected release of quarter results today.

Sanderson Farms (SAFM) June 140 straddle priced for a move of 10% into the expected release of quarter results today before the bell.

Williams-Sonoma (WSM) June 72.50 straddle priced for a move of 13% into the expected release of quarter results today after the bell.

Ulta Beauty (ULTA) May weekly 250 straddle priced for a move of 9% into the expected release of quarter results today after the bell.

VMware (VMW) May weekly 140 straddle priced for a move of 8% into the expected release of quarter results today after the bell.

Big Lots (BIG) June 40 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 20 straddle priced for a move of 20% into the expected release of quarter results on May 29.

Options with decreasing option implied volatility: PYPL USO TWLO FSCT SNAP SRNE APR
Increasing unusual option volume: NK SYF MARK BCS
Increasing unusual put option volume: ECL BOX VNOM
Popular stocks with increasing unusual volume: MU DIS F M NIO
Active options: BAC AAPL AMD FB GE TSLA MSFT AAL MU NVDA BA NFLX AMZN JPM WFC M F BABA NIO DIS
Global S&P Futures recently mixed to higher in premarket, Nikkei up 2.3%, DAX up 0.6% to higher, WTI Crude oil recently at $31.93, natural gas down 0.9%, gold at $1736 an ounce