Pre-Market IV Report October 2, 2020

Pre-Market IV Report October 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: AMZN PFE SHLL UNG SPOT VZ GNUS T AR AEL FEAC SRNE RKT

Options expected to have increasing volume: SPY QQQ IWM RUT

Option implied volatility into President Trump tests positive for Covid-19 and September employment report

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 24; compared to its 52-week range of 10 to 77 into President Trump tests positive for Covid-19 and September employment report.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 32; compared to its 52-week range of 12 to 79.

iShares Russell 2000 ETF (IWM) 30-day option implied volatility is at 31; compared to its 52-week range of 12 to 81.

Option implied volatility for vaccine developers into President Trump tests positive for Covid-19

Pfizer (PFE) 30-day option implied volatility is at 33; compared to its 52-week range of 15 to 72 into developing Covid-19 vaccine.

BioNTech SE (BNTX) 30-day option implied volatility is at 98; compared to its 52-week range of 98 to 185

Johnson & Johnson (JNJ) 30-day option implied volatility is at 23; compared to its 52-week range 13 to 70

Moderna (MRNA) 30-day option implied volatility is at 82; compared to its 52-week range of 51 to 173

CureVac B.V. (CVAC) 30-day option implied volatility is at 93; compared to its 52-week range of 89 to 99

AstraZeneca (AZN) 30-day option implied volatility is at 34; compared to its 52-week range of 16 to 85

Novavax (NVAX) 30-day option implied volatility is at 113; compared to its 52-week range of 85 to 312

Inovio Pharma (INO) 30-day option implied volatility is at 148; compared to its 52-week range of 64 to 392 into developing Covid-19 vaccine.

Sanofi (SNY) 30-day option implied volatility is at 27; compared to its 52-week range of 16 to 94

GlaxoSmithKline (GSK) 30-day option implied volatility is at 25; compared to its 52-week range of 13 to 74

Gilead (GILD) 30-day option implied volatility is at 31; compared to its 52-week range of 19 to 108

Regeneron (REGN) 30-day option implied volatility is at 37; compared to its 52-week range of 25 to 79

Cruise Line option implied volatility into shares trading lower in premarket on Trump tests positive for Covid-19

Norwegian Cruise Line (NCLH) 30-day option implied volatility is at 93; compared to its 52-week range of 20 to 267

Carnival Corp. (CCL) 30-day option implied volatility is at 85; compared to its 52-week range of 18 to 268.

Royal Caribbean Cruises (RCL) 30-day option implied volatility is at 79; compared to its 52-week range of 20 to 271.

Straddle prices for stocks expected to release results next week

Mattel (MAT) October weekly 12 straddle priced for a move of 7% into the expected release of quarter results on October 5.

Levi Strauss (LEVI) October 14 straddle priced for a move of 13% into the expected release of quarter results after the bell on October 6.

Paycheck (PAYX) October straddle priced for a move of 7.5% into the expected release of quarter results before the bell on October 6.

Adtran (ADTN) October 10 straddle priced for a move of 9.5% into the expected release of quarter results on October 7.

Lamb Weston (LW) October 65 straddle priced for a move of 10% into the expected release of quarter results on October 7.

Delta Airlines (DAL) October weekly straddle priced for a move of % into the expected release of quarter results on October 8.

Dominos’s Pizza (DPZ) October weekly 31 straddle priced for a move of 7.5% into the expected release of quarter results on October 8.

Options with decreasing option implied volatility: CRM DOCU ZM TSLA CVNA CCJ CLVS INO EDIT BBBY
Increasing option volume: AXTA SNDL ZYME FTAI NAV AGO
Increasing unusual call option volume: FTAI NAV GBT XHB SAIL LAC LEVI
Increasing unusual put option volume: BBBY AEO TRGP MITT CLR SSSS SIX
Global S&P Futures recently mixed to down 0.4% in premarket, Nikkei down 0.4%, DAX down 0.4%, WTI Crude oil recently at $37.51, natural gas down 1.7%, gold at $1913 an ounce