Pre-Market IV Report October 16, 2020

Pre-Market IV Report October 16, 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: CVM LLNW NIO XPEV CLDR TWO WMB TACO BYD BP HSY AMC SOLO T PFE VZ JKS BABA JMIA DDOG AMZN

Options expected to have increasing volume: SLB CFB JBHT KSU FSLY BK STT ISRG ALLY VFC

Navistar (NAV) October call option implied volatility is at 180, November is at 64; compared to its 52-week range of 16 to 259 into Traton October 16 deadline for $43 per share Navistar offer. Call put ratio 1.1 calls to 1 put.

Biogen (BIIB) October weekly call option implied volatility is at 48, November is at 91; compared to its 52-week range of 25 to 63 into a FDA panel. Call put ratio 1.3 calls to 1 put into the expected release of quarter results before the bell on October 21.

Jinkosolar (JKS) 30-day call option implied volatility is at 108; compared to its 52-week range of 45 to 145 into the expected release of quarter results on November 17. Call put ratio 1.1 calls to 1 put as shares at upper end of range.

Cloud stock option IV amid wide price movement

Fastly, Inc. (FSLY) October call option implied volatility is at 105, November is at 98; compared to its 52-week range of 53 to 144. Call put ratio 1 call to 1 put after share pull back.

Cloudflare (NET) October call option implied volatility is at 89, November is at 82; compared to its 52-week range of 50 to 119. Call put ratio 2.4 calls to 1 put.

Akamai (AKAM) October call option implied volatility is at 24, November is at 37; compared to its 52-week range of 20 to 70. Call put ratio 3.2 calls to 1 put with focus on October weekly (30) calls.

DocuSign (DOCU) 30-day option implied volatility is at 66; compared to its 52-week range 28 to 108.

CrowdStrike (CRWD) October call option implied volatility is at 48, November is at 56; compared to its 52-week range of 50 to 118. Call put ratio 3.1 calls to 1 put with focus on October 160 calls.

Pure Storage (PSTG) 30-day option implied volatility is at 63; compared to its 52-week range of 31 to 113. Call put ratio 2 calls to 1 put.

Datadog, Inc. (DDOG) October call option implied volatility is at 54, November is at 71; compared to its 52-week range of 53 to 105. Call put ratio 1.9 calls to 1 put.

Snowflake (SNOW) 30-day option implied volatility is at 54.

Straddles for stocks expected to release quarter results next week

Haliburton (HAL) October weekly 13 straddle priced for a move of 8% into the expected release of quarter results before the bell on October 19.

IBM (IBM) October weekly 125 straddle priced for a move of 5% into the expected release of quarter results after the bell on October 20.

Logitech (LOGI) November 80 straddle priced for a move of 11% into the expected release of quarter results on October 20.

Steel Dynamics (STLD) November 33 straddle priced for a move of 12% into the expected release of quarter results after the bell on October 20.

Albertsons (ACI) November 14 straddle priced for a move of 14% into the expected release of quarter results before the bell on October 20.

Canadian National (CNI) November 110 straddle priced for a move of 7% into the expected release of quarter results on October 20.

Canadian Pacific (CP) November 320 straddle priced for a move of 7.5% into the expected release of quarter results on October 20.

iRobot (IRBT) October weekly 90 straddle priced for a move of 13% into the expected release of quarter results after the bell on October 20.

Lockheed Martin (LMT) October weekly 385 straddle priced for a move of 5% into the expected release of quarter results before the bell on October 20.

Netflix (NFLX) October weekly 542 straddle priced for a move of 11% into the expected release of quarter results after the bell on October 20.

Philip Morris (PM) October weekly 79 straddle priced for a move of 4% into the expected release of quarter results before the bell on October 20.

Proctor & Gamble (PG) October weekly 144 straddle priced for a move of 4% into the expected release of quarter results before the bell on October 20.

Snap (SNAP) October weekly 28 straddle priced for a move of 12% into the expected release of quarter results after the bell on October 20.

Options with decreasing option implied volatility: APHA AMCX TSLA NKLA UAL C WFC GS MS CRON FAST IMMU
Increasing option volume: AMCX SNBR TWNK TACO FLEX NAV JKS
Increasing unusual call option volume: AMCX FLEX TACO XXII CARS
Increasing unusual put option volume: AMCX EB VFC JKS TFC TME SIRI
Popular stocks with increasing volume: FSLY ZM DKNG GME PTON PFE
Active options: NIO AAPL TSLA FSLY ZM BAC AMZN DKNG MSFT JPM FB GME PTON AMD BA WFC NFLX PFE
Global S&P Futures recently mixed in premarket, Nikkei mixed to lower, DAX mixed to higher, WTI Crude oil recently at $40.76, natural gas mixed, gold at $1913 an ounce