Pre-Market IV Report October 13, 2020

Pre-Market IV Report October 13, 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: GME BIIB KSS CGC LI KS REV CLDR T PFE LYFT JETS AAL AMZN SPWR

Options expected to have increasing volume: DIS JNJ XOM PCG AAPL AMZN BBY TGT JPM C WFC BLK USB PNC ETH WSM UNH MS GS

Disney (DIS) 30-day call option implied volatility is at 34; compared to its 52-week range of 19 to 102 into announcing reorganization of media, entertainment units. Call put ratio 3 calls to 1 put with focus on October and November calls.

Option implied volatility into bank earnings season.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 29; compared to its 52-week range of 13 to 111 into bank earnings season. Call put ratio 2 calls to 1 put.

Spdr S&P Regional Banking Etf (KRE) 30-day option implied volatility is at 43; compared to its 52-week range of 17 to 127.

Spdr S&P Bank Etf (KBE) 30-day option implied volatility is at 33; compared to its 52-week range of 16 to 125. Call put ratio 2.9 calls to 1 put.

Straddle prices for stocks expected to report quarterly results this week

Alcoa (AA) October 12.50 straddle priced for a move of 8% into the expected release of quarter results after the bell on October 14.

Bank of America (BAC) October 25.5 straddle priced for a move of 4% into the expected release of quarter results before the bell on October 14.

Goldman Sachs (GS) October 207.50 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on October 14.

U.S.Bancorp (USB) October 39.50 straddle priced for a move of 4% into the expected release of quarter results before the bell on October 14.

Infosys (INFY) October 15 straddle priced for a move of 7.5% into the expected release of quarter results before the bell on October 14.

The PNC Financial Services Group (PNC) October 116 straddle priced for a move of 4% into the expected release of quarter results before the bell on October 14.

United Airlines (UAL) October 36 straddle priced for a move of 8% into the expected release of quarter results on October 14.

UnitedHealth Group (UNH) October 330 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on October 14.

Wells Fargo (WFC) October 25.5 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on October 14.

Honeywell (HON) October 175 straddle priced for a move of 3% into the expected release of quarter results on October 15.

Morgan Stanley (MS) October 50.50 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on October 15.

Commercial Metals (CMC) October 23 straddle priced for a move of 7% into the expected release of quarter results before the bell on October 15.

Del Taco (TACO) October 10 straddle priced for a move of 13% into the expected release of quarter results after the bell on October 15.

Intuitive Surgical (ISRG) October 755 straddle priced for a move of 5% into the expected release of quarter results after the bell on October 15.

Taiwan Semiconductor (TSM) October 90 straddle priced for a move of 5.5% into the expected release of quarter results on October 15.

Truist Financial (TFC) October 42.50 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on October 15.

Walgreens Boots (WBA) October 40 straddle priced for a move of 7% into the expected release of quarter results on October 15.

Ally Financial (ALLY) October 27 straddle priced for a move of 7.5% into the expected release of quarter results before the bell on October 16.

Bank of New York (BK) October 38 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on October 16.

Kansas City Southern (KSU) October 182.50 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on October 16.

Schlumberger (SLB) October 16 straddle priced for a move of 5% into the expected release of quarter results before the bell on October 16.

State Street (STT) October 67.50 straddle priced for a move 5.5% of into the expected release of quarter results before the bell on October 16.

V.F. Corp (VFC) October 77.50 straddle priced for a move of 6% into the expected release of quarter results before the bell on October 16.

Options with decreasing option implied volatility: SIRI CRON TGTX APHA LAC DISH FIT DPZ NKLA AMRN DOCU TSLA ZM
Increasing option volume: GPOR MPLN AMCX AKBA JKS ICLN
Increasing unusual call option volume: JKS ARMK DDS AMCX GOGO TAN VFC
Popular stocks with increasing volume: PTON AAL DKNG F
Active options: AAPL TSLA FB MSFT AMZN F WKHS AMD NIO GE BABA DKNG BAC T NVDA JPM INTC AAL PTON BA
Global S&P Futures recently mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $39.98, natural gas down 1.6%, gold at $1928 an ounce