Pre-Market IV Report May 29, 2020

Pre-Market IV Report May 29, 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: TLRY DOCU PCG SFIX BKLN HTZ LK VTIQ HSBC DB EWH SHY JWN GE DELL CRM WSM

Options expected to have increasing volume: CRM JWN MRVL COST TWTR WSM

Wells Fargo (WFC) 30-day option implied volatility is at 53; compared to its 52-week range of 16 to 138 into Charlie Scharf, President & CEO presentation at Bernstein 36th Annual Strategic Decisions Conference today at 9:00 AM EDT. Call put ratio 1.7 calls to 1 put.

Twitter (TWTR) May weekly option implied volatility is at 69, July is at 51; compared to its 52-week range of 27 to 125 into President Trump signs executive order targeting social media firms. Call put ratio 1 call to 2 puts.

FaceBook (FB) May weekly option implied volatility is at 42, July is at 37; compared to its 52-week range of 21 to 82 into President Trump signs executive order targeting social media firms. Call put ratio 1.6 calls to 1 put.

SPDR S&P 500 ETF Trust (SPY) 30-day call option implied volatility is at 24; compared to its 52-week range of 10 to 77 into U.S. President Trump’s press conference that will focus on China.

PowerShares QQQ Trust (QQQ) 30-day call option implied volatility is at 26; compared to its 52-week range of 12 to 79.

DraftKings (DKNG) May weekly call option implied volatility is at 133, June is at 99; compared to its 52-week range of 54 to 143. Call put ratio 3 calls to 1 put with focus on June 40 calls.

Straddle prices for stocks expected to report quarterly results next week

Autohome (ATHM) June 75 straddle priced for a move of 14% into the expected release of quarter results before the bell on June 1.

Embraer (ERJ) June 5 straddle priced for a move of 22% into the expected release of quarter results on June 1.

Party City (PRTY) June 1 straddle priced for a move of 42% into the expected release of quarter results before the bell on June 1.

Ambarella (AMBA) June weekly straddle priced for a move of 14% into the expected release of quarter results after the bell on June 2.

Cracker Barrel (CBRL) June 110 straddle priced for a move of 11% into the expected release of quarter results before the bell on June 2.

Dicks Sporting Goods (DKS) June weekly straddle priced for a move of 11% into the expected release of quarter results before the bell on June 2.

CrowdStrike (CRWD) June 80 straddle priced for a move of 14% into the expected release of quarter results after the bell on June 2.

GameStop (GME) June weekly 4 straddle priced for a move of 21% into the expected release of quarter results on June 2.

Zoom Video Communications (ZM) June weekly 162.50 straddle priced for a move of 12% into the expected release of quarter results after the bell on June 2.

American Eagle (AEO) June weekly 9.5 straddle priced for a move of 14% into the expected release of quarter results before the bell on June 3

Campbell Soup (CPB) June weekly 49.50 straddle priced for a move of 7% into the expected release of quarter results before the bell on June 3.

Canada Goose (GOOS) June weekly 20 straddle priced for a move of 16% into the expected release of quarter results on June 3.

Cloudera (CLDR) June weekly 10 straddle priced for a move of 14% into the expected release of quarter results after the bell on June 3.

Express (EXPR) June 2 straddle priced for a move of 30% into the expected release of quarter results before the bell on June 3.

United Natural Foods (UNFI) June 17.5 straddle priced for a move of 16% into the expected release of quarter results on June 3.

At Home (HOME) June 5 straddle priced for a move of 30% into the expected release of quarter results before the bell on June 4.

Broadcom (AVGO) June weekly straddle priced for a move of 6% into the expected release of quarter results on June 4.

Ciena (CIEN) June weekly 55 straddle priced for a move of 10% into the expected release of quarter results before the bell on June 4.

DocuSign (DOCU) June weekly 128 straddle priced for a move of 11% into the expected release of quarter results after the bell on June 4.

Gap Inc (GPS) June weekly 9.5 straddle priced for a move of 16% into the expected release of quarter results on June 4.

J.M. Smucker (SJM) June 110 straddle priced for a move of 7% into the expected release of quarter results on June 4.

Navistar (NAV) June weekly 25.50 straddle priced for a move of 12% into the expected release of quarter results before the bell on June 4.

Slack (WORK) June weekly 32.50 straddle priced for a move of 12% into the expected release of quarter results before the bell on June 4.

Disney (DIS) May weekly call option implied volatility is at 47, June is at 36; compared to its 52-week range of 17 to 102a amid agenda of amusement and resort park openings.

Options with decreasing option implied volatility: PYPL USO FSCT SNAP TWLO NTNX CAR PDD EURN FL ANF HPQ VIPS SPLK DLTR
Increasing unusual option volume: COMM MARK ECL IFF CNP DKNG
Increasing unusual option volume: COMM ECL MARK COTY DKNG VTIQ DLTR SKX CNP
Increasing unusual put option volume: ECL SABR NGL CNP DKNG SRNE CWH TD
Popular stocks with increasing unusual volume: COTY BYD SKX Y UPS SNAP DKNG AAL M CRM
Active options: AAPL GE FB TSLA AMD BA SNAP BAC MSFT TWTR DKNG NVDA BABA AAL NFLX MU DIS AMZN M CRM
Global S&P Futures recently down 0.3% in premarket, Nikkei mixed, DAX down 1.5% to higher%, WTI Crude oil recently at $32.40, natural gas up 1%, gold at $1738 an ounce