Pre-Market IV Report October 1, 2020

Pre-Market IV Report October 1, 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: BBBY T AMZN KRE UPS GNW SHLL UNG CRBP MESO WWW UAA BIIB BCLI TWLO CAG

Options expected to have increasing volume: BBBY CAG STX PEP BA APO

Boeing (BA) 30-day option implied volatility is at 58; compared to its 52-week range of 23 to 223 amid FAA review of 737 Max. Call put ratio 3.9 calls to 1 put with focus on October weekly and December calls.

Bank option implied volatility into Fed announces it will extend for an additional quarter several measures to ensure that large banks maintain a high level of capital resilience

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 31; compared to its 52-week range of 13 to 111.

Bank of America (BAC) 30-day option implied volatility is at 39; compared to its 52-week range of 17 to 124.

Citigroup (C) 30-day option implied volatility is at 45; compared to its 52-week range of 18 to 146.

Goldman Sachs (GS) 30-day option implied volatility is at 37; compared to its 52-week range of 18 to 116.

JPMorgan (JPM) 30-day option implied volatility is at 36; compared to its 52-week range of 15 to 119.

Straddle prices for stocks expected to report quarterly results this week

Bed Bath & Beyond (BBBY) October weekly 15 straddle priced for a move of 15% into the expected release of quarter results today before the bell

Conagra Brands (CAG) October 35.5 straddle priced for a move of 5.5% into the expected release of quarter results today before the bell.

Constellation Brands (STZ) October 190 straddle priced for a move of 6% into the expected release of quarter results today after the bell.

PepsiCo (PEP) October 139 straddle priced for a move of 3% into the expected release of quarter results today before the bell.

Duke Energy (DUK) 30-day option implied volatility is at 29; compared to its 52-week range of 12 to 99 after a recent WSJ report NextEra Energy (NEE) made a takeover approach to Duke Energy. Call put ratio 2.9 calls to 1 put.

NextEra (NEE) 30-day option implied volatility is at 29; compared to its 52-week range of 14 to 90 after a recent WSJ report NextEra made a takeover approach to Duke Energy (DUK). Call put ratio 1.4 calls to 1 put.

AMAG Pharma (AMAG) 30-day call option implied volatility is at 82; compared to its 52-week range of 63 to 212 as shares are bid higher in the prema

Options with decreasing option implied volatility: DOCU TGT ZM CRBP MU COST ZM CRM
Increasing unusual call option volume: KDP LAC BBD MKC DUK HTHT DDOG GOOS BBBY
Increasing unusual call option volume: BBD LAC FTAI DUK SSS ELAN NYMT DDOG GOOS
Increasing unusual put option volume: XLC SABR NOV CAG BBD DUK EAT WB BBBY WB ABB
Popular stocks with increasing volume: NKLA AAL DDOG WMT SPCE INTC
Active options: AAPL NIO TSLA BA BABA NKLA MU MSFT AMD FB AAL DDOG AMZN NVDA CCL WMT BAC INTC SPCE NFLX
Global S&P Futures recently mixed to higher in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $39.90, natural gas up 0.8%, gold at $1901 an ounce