Pre-Market IV Report November 2, 2020

Pre-Market IV Report November 2, 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: BIIB LQD IEF BABA TGTX CORT DVN UVXY UCO SNOW JMIA SE UVXY SNOW TWTR JKS AAPL GOOG FB SPXU IEF

Options expected to have increasing volume: SPY QQQ XLF VHC DNKN MDLZ

Option implied Volatility bid into upcoming election results and FOMC meeting

SPDR S&P 500 ETF Trust (SPY) November weekly calls option implied volatility is at 40, November is at 36; compared to its 52-week range of 10 to 77 into elections and the FOMC meets on Tuesday and Wednesday.

PowerShares QQQ Trust (QQQ) November weekly calls option implied volatility is at 45, November is at 41; compared to its 52-week range of 12 to 79.

Financial Select Sector SPDR ETF (XLF) October weekly option implied volatility is at 43, November is at 36; compared to its 52-week range of 13 to 111.

Market Vectors Gold Miners ETF (GDX) November weekly call option implied volatility is at 49, November is at 46; compared to its 52-week range of 22 to 158.

Alibaba (BABA) November weekly call option implied volatility is at 70, November is at 53; compared to its 52-week range of 22 to 63 into China’s Ant Group, a fintech company backed by Alibaba, offering. BABA is expected to release quarter results on November 5.

IV after corporate results

Apple (AAPL) November weekly call option implied volatility is at 47, November is at 43; compared to its 52-week range of 18 to 90 after the release of quarter results.

Amazon (AMZN) November weekly call option implied volatility is at 51, November is at 48; compared to its 52-week range of 17 to 69 after the release of quarter results.

Alphabet (GOOG) November weekly call option implied volatility is at 46, November is at 39; compared to its 52-week range of 14 to 75 after the release of quarter results.

Twitter (TWTR) November weekly call option implied volatility is at 77, November is at 67; compared to its 52-week range of 27 to 126 after the release of quarter results.

Facebook (FB) November weekly call option implied volatility is at 51, November is at 48; compared to its 52-week range of 21 to 82 after the release of quarter results.

Shopify (SHOP) November weekly call option implied volatility is at 59, November is at 58`; compared to its 52-week range of 40 to 124 after the release of quarter results.

Microsoft (MSFT) October weekly call option implied volatility is at 38, November is at 37; compared to its 52-week range of 15 to 90 into two new Xbox models roll out on November 10.

Sony Corp (SNE) November weekly call option implied volatility is at 37, November is at 34; compared to its 52-week range of 19 to 71 into next –generation PlayStation 5 (PS5) console rollout on November 12.

Straddle prices for stocks expected to report quarterly results next week

AMC (AMC) November weekly 2.5 straddle priced for a move of 21% into the expected release of quarter results today after the bell.

Berkshire Hathaway (BRK/B) November weekly 200 straddle priced for a move of 4% into the expected release of quarter results today.

Cirrus Logic (CRUS) November weekly 69 straddle priced for a move of 9% into the expected release of quarter results today after the bell.

Clorox (CLX) November weekly 207.50 straddle priced for a move of 5.5% into the expected release of quarter results today before the bell.

Wingstop (WING) November 115 straddle priced for a move of 10% into the expected release of quarter results today before the bell.

Bausch Health (BHC) November weekly 16.50straddle priced for a move of 6.5% into the expected release of quarter results on November 3.

McKesson (MCK) November weekly 147 straddle priced for a move of 6% into the expected release of quarter results before the bell on November 3.

Sysco (SYY) November weekly 55 straddle priced for a move of 7.5% into the expected release of quarter results before the bell on November 3.

Wayfair (W) November weekly 247 straddle priced for a move of 9% into the expected release of quarter results before the bell on November 3.

Amarin (AMRN) November weekly 5 straddle priced for a move of 9% into the expected release of quarter results after the bell on November 4.

Expedia (EXPE) November weekly 94 straddle priced for a move of 9% into the expected release of quarter results after the bell on November 4.

Hilton (HLT) November straddle priced for a move of 10% into the expected release of quarter results before the bell on November 4.

Hyatt (H) November 55 straddle priced for a move of 12% into the expected release of quarter results after the bell on November 4.

Qualcomm (QCOM) November weekly 123 straddle priced for a move of 8% into the expected release of quarter results after the bell on November 4.

Wendys (WEN) November straddle priced for a move of 10% into the expected release of quarter results before the bell on November 4.

Wynn Resorts (WYNN) November weekly 72.50 straddle priced for a move of 9% into the expected release of quarter results on November 4.

Zynga (ZNGA) November weekly 9straddle priced for a move of 10% into the expected release of quarter results on November 4.

VirnetX Holding (VHC) 30-day option implied volatility is at 113; compared to its 52-week range of 55 to 160 into Apple (AAPL) ordered to pay VirnetX $503M in security-patent trial, Bloomberg says. Call put ratio 4.9 calls to 1 put with focus on November 5, 6 and 7 calls.

Dunkin’ Brands (DNKN) 30-day option implied volatility is at 43; compared to its 52-week range of 17 to 127 Inspire Brands, Inc. and Dunkin’ Brands announced that they have entered into a definitive merger agreement under which Inspire will acquire Dunkin Brands for $106.50 per share in cash in a transaction valued at approximately $11.3B including the assumption of Dunkin Brands debt.

Options with decreasing option implied volatility: SNAP TWTR DNKN FSLY TIF
Increasing option volume: LEG IEF DNKN MGI CYH IWD
Increasing unusual call option volume: IEF DNKN MTDR FLEX MGI
Increasing unusual put option volume: RL PBI IEF FSR ARMK SKX FEZ
Increasing option volume: NIO CCL PINS ZM AAL
Active options: AAPL TSLA NIO FB AMZN AMD TWTR MSFT SNAP CCL PINS BA NFLX INTC BAC ZM NVDA BABA AAL GE
Global S&P Futures recently mixed to higher in premarket, Nikkei up 1%, DAX mixed, WTI Crude oil recently at $34.32, natural gas down 1%, gold at $1880 an ounce