Pre-Market IV Report October 21, 2020

Pre-Market IV Report October 21, 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: SNAP CMG JKS NTGR IOVA AMX UTZ TXN IRBT

Options expected to have increasing volume: SNAP NFLX CMG GM TSLA VZ ABT BIIB KEY AN NEE WGO

Option implied volatility at lower end of range for high price to sales stocks

Zoom (ZM) October weekly call option implied volatility is at 58, November is at 65; compared to its 52-week range of 36 to 137.

Snowflake (SNOW) October weekly call option implied volatility is at 48, November is at 49; compared to its 5-week range of 47 to 100.

Shopify (SHOP) October weekly call option implied volatility is at 48, November is at 64; compared to its 52-week range of 40 to 124.

nCino, Inc. (NCNO) November call option implied volatility is at 56, December is at 60; compared to its 52-week range of 60 to 106.

Datadog, Inc. (DDOG) October weekly call option implied volatility is at 63, November is at 74; compared to its 52-week range of 53 to 106.

Lemonade (LMND) November call option implied volatility is at 80, December is at 74; compared to its 52-week range of 78 to 122.

CrowdStrike Holdings Inc. (CRWD) October weekly call option implied volatility is at 50, November is at 55; compared to its 52-week range of 50 to 118.

Coupa Software (COUP) October weekly call option implied volatility is at 45, November is at 50; compared to its 52-week range of 37 to 123.

Straddle prices for stocks expected to report quarterly results this week

Tesla (TSLA) October weekly 420 straddle priced for a move of 8.5% into the expected release of quarter results today after the bell.

Whirlpool (WHR) October weekly 200 straddle priced for a move of 6% into the expected release of quarter results today after the bell.

Xilinx (XLNX) October weekly 115 straddle priced for a move of 5% into the expected release of quarter results today after the bell.

American Airlines (AAL) October weekly 13 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on October 22.

AT&T (T) October weekly 26.50 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on October 22.

Bank of Ozark (OZK) November 22.50 straddle priced for a move of 13% into the expected release of quarter results on October 22.

Capital One (COF) October weekly 77 straddle priced for a move of 5% into the expected release of quarter results after the bell on October 22.

Coca-Cola (KO) October weekly 50 straddle priced for a move of 3% into the expected release of quarter results before the bell on October 22.

Freeport-McMoRan (FCX) October weekly 17.50 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on October 22.

Kimberly Clark (KMB) October weekly 149 straddle priced for a move of 5% into the expected release of quarter results before the bell on October 22.

Intel (INTC) October weekly 53.50 straddle priced for a move of 5.5% into the expected release of quarter results after the bell on October 22.

Mattel (MAT) October weekly 12.50 straddle priced for a move of 10% into the expected release of quarter results after the bell on October 22.

Northrop Grumman (NOC) October weekly 310 straddle priced for a move of 4% into the expected release of quarter results before the bell on October 22.

Nucor (NUE) October weekly 48.50 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on October 22.

Southwest Airlines (LUV) October weekly 40 straddle priced for a move of 6% into the expected release of quarter results before the bell on October 22.

Tractor Supply (TSCO) October weekly 150 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on October 22.

Union Pacific (UNP) October weekly 205 straddle priced for a move of 4% into the expected release of quarter results on October 23.

Valero (VLO) October weekly 41 straddle priced for a move of 5% into the expected release of quarter results before the bell on October 22.

American Express (AXP) October weekly 103 straddle priced for a move of 4% into the expected release of quarter results before the bell on October 23.

Cleveland Cliffs (CLF) October weekly 8 straddle priced for a move of 8% into the expected release of quarter results before the bell on October 23.

Illinois Tool Works (ITW) October weekly 202.50 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on October 23.

First Trust Dow Jones Internet Index Fund Etf (FDN) 30-day option implied volatility is at 34; compared to its 52-week range of 14 to 76.

Ishares Msci Usa Momentum Factor Etf (MTUM) 30-day option implied volatility is at 30; compared to its 52-week range of 11 to 80.

Vanguard Information Technology Etf (VGT) 30-day option implied volatility is at 35; compared to its 52-week range of 14 to 75.

Powershares Nasdaq Internat Portfoilio (PNQI) 30-day option implied volatility is at 36; compared to its 52-week range of 13 to 55.

Options with decreasing option implied volatility: TLRY SIRI WLL CRON XLC XLB
Increasing option volume: FLEX CLNY AMX UBS FIZZ TWNK JKS
Increasing unusual call option volume: FLEX BHVN JKS FIS LOGI DOMO TCS
Increasing unusual put option volume: PE TAN IRBT BX JKS LOGI ELAN NLSN
Increasing option volume: SPCE GM DKNG ZM CCL AAL HTZ
Active options: AAPL TSLA NIO BAC FB MSFT DKNG SPCE SNAP AAL AMZN GM NFLX UBER IBM ZM BABA HTZ WFC
Global S&P Futures recently mixed in premarket, Nikkei mixed, DAX down 0.57, WTI Crude oil recently at $41.12, natural gas up 1.7%, gold at $19125 an ounce