Pre-Market IV Report May 5, 2020

Pre-Market IV Report May 5, 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 CAR INO ACB DKNG ZNGA STNG EURN NAT WLL CVM EURN SIG

Options expected to have increasing volume: ATVI ABC DIS HTZ CAR AIG LB SHAK CHGG SWKS XPO FANG AIG LB TOT PYPL UAL DAL LUV AAL ALGT HA

Activision Blizzard (ATVI) May weekly call option implied volatility is at 78, May is at 56; compared to its 52-week range of 23 to 88 into the expected release of quarter results today after the bell. Call put ratio 2 calls to 1 put.

Walt Disney (DIS) May weekly call option implied volatility is at 80, May is at 57; compared to its 52-week range of 17 to 101 into the expected release of quarter results today after the bell. Call put ratio 1 call to 1.5 puts.

Beyond Meat (BYND) May weekly call option implied volatility is at 167, May is at 118; compared to its 52-week range of 47 to 140 into the expected release of quarter results today after the bell. Call put ratio 2.2 calls to 1 put.

Straddle prices for stocks expected to report quarterly results this week

3D Systems (DDD) May weekly 8 straddle priced for a move of 16% into the expected release of quarter results after the bell on May 6.

Adtran (ADTN) May 10 straddle priced for a move of 15% into the expected release of quarter results after the bell on May 6.

Apache (APA) May weekly 12 straddle priced for a move of 16% into the expected release of quarter results after the bell on May 6.

Barrick Gold (GOLD) May weekly 27 straddle priced for a move of 5% into the expected release of quarter results after the bell on May 6.

Chesapeake Energy (CHK) May weekly 15.50 straddle priced for a move of 31% into the expected release of quarter results before the bell on May 6.

Fossil Group (FOSL) May weekly 3.5 straddle priced for a move of 16% into the expected release of quarter results on May 6.

General Motors (GM) May weekly 21 straddle priced for a move of 11% into the expected release of quarter results before the bell on May 6.

Hyatt (H) May weekly 50 straddle priced for a move of 12% into the expected release of quarter results after the bell on May 6.

IAC/InterActive (IAC) May weekly 220 straddle priced for a move of 12% into the expected release of quarter results after the bell on May 6.

KKR (KKR) May weekly 24.50 straddle priced for a move of 9% into the expected release of quarter results before the bell on May 6.

Marathon Oil (MRO) May weekly 6 straddle priced for a move of 11% into the expected release of quarter results after the bell on May 6.

Peloton (PTON) May weekly 34 straddle priced for a move of 19% into the expected release of quarter results after the bell on May 6.

PayPal (PYPL) May weekly 124 straddle priced for a move of 5.5% into the expected release of quarter results after the bell on May 6.

Shopify (SHOP) May weekly 660 straddle priced for a move of 12% into the expected release of quarter results before the bell on May 6.

Spirit Airlines (SAVE) May 12.50 straddle priced for a move of 19% into the expected release of quarter results after the bell on May 6.

Spirit Aerospace (SPR) May 20 straddle priced for a move of 18% into the expected release of quarter results after the bell on May 6.

T-Mobile (TMUS) May weekly 89 straddle priced for a move of 6% into the expected release of quarter results after the bell on May 6.

Wingstop (WING) May 120 straddle priced for a move of 13% into the expected release of quarter results before the bell on May 6.

Zynga (ZNGA) May weekly 7.5 straddle priced for a move of 12% into the expected release of quarter results after the bell on May 6.

Dropbox (DBX) May weekly 20 straddle priced for a move of 10% into the expected release of quarter results after the bell on May 7.

Norwegian Cruise (NCLH) May weekly 14.50 straddle priced for a move of 16% into the expected release of quarter results on May 7.

Penn National Gaming (PENN) May 16 straddle priced for a move of 17% into the expected release of quarter results after the bell on May 7.

Wynn Resorts (WYNN) May weekly 80.50 straddle priced for a move of 13% into the expected release of quarter results on May 7.

Yelp (YELP) May weekly 23 straddle priced for a move of 18% into the expected release of quarter results after the bell on May 7.

AmerisourceBergen (ABC) 30-day option implied volatility is at 44; compared to its 52-week range of 24 to 85 into Reuters reports ABC to explore acquisition of Walgreens Boots Alliance (WBA) drug wholesale business. Call put ratio 3.2 calls to 1 put with focus on May weekly calls.

Walgreens Boots Alliance (WBA) 30-day option implied volatility is at 44; compared to its 52-week range of 19 to 88.

L Brands (LB) 30-day option implied volatility is at 114; compared to its 52-week range of 35 to 202 into terminates deal with Sycamore Partners. Call put ratio 2.2 calls to 1 put.

Berkshire Hathaway (BRK.B) 30-day option implied volatility is at 28; compared to its 52-week range of 13 to 78.

Hertz Global (HTZ) May weekly call option implied volatility is at 630, May is at 440; compared to its 52-week range of 40 to 434 into the expected release of quarter results today before the bell. Call put ratio 2.5 calls to 1 put.

Options with decreasing option implied volatility: CVX AXP NLY LQD AMRN SCO HOG TWTR HAS
Increasing unusual option volume: ACWI EURN BNS RRC CCJ NAT
Increasing unusual call option volume: EURN WSM CCJ ATUS VSTM ITUB
Increasing unusual put option volume: RRC ACWI VNQ EMN CAR SC HTZ EURN
Popular stocks with increasing unusual volume: UBER LUV ET DIS CCL UAL AAL
Active options: AAPL AAL TSLA AMD MSFT DAL X GE FB BA BABA DIS BAC CCL AMZN NFLX UAL UBER LUV ET
Global S&P Futures are recently up 0.7% premarket, Nikkei down 2.8%, DAX up 1%, WTI Crude oil is recently at $22.26, natural gas up 5%, gold at $1708 an ounce