Pre-Market IV Report October 5, 2020

Pre-Market IV Report October 5, 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 T PFE VZ ET UNG HYLN AMZN LAC SPOT APT USO OVID

Options expected to have increasing volume: REGN CSCO NVDA ALXN BLL LEVI PAYX LW ADI MXIM DUK AMC CNK IMAX T

Regeneron Pharmaceuticals (REGN) 30-day option implied volatility is at 38; compared to its 52-week range of 25 to 79 into Regeneron confirmed that, as announced by the White House Press Secretary, Regeneron provided a single 8 gram dose of REGNCOV2, a cocktail of two monoclonal antibodies, for use by President Trump.

Gilead (GILD) 30-day option implied volatility is at 33; compared to its 52-week range of 19 to 108 into developing Covid-19 vaccine

NVIDIA (NVDA) 30-day option implied volatility is at 52; compared to its 52-week range of 28 to 110 into hosting an analyst event.

Cisco (CSCO) 30-day option implied volatility is at 29; compared to its 52-week range of 17 to 87 into hosting an analyst event.

Target (TGT) 30-day option implied volatility is at 28; compared to its 52-week range of 19 to 91 into Target Deal Days.

Amazon (AMZN) 30-day option implied volatility is at 52; compared to its 26-week range of 17 to 69 into Prime Day event on October 13 & 14.

AMC, CNK & IMAX IV New James Bond film ‘No Time to Die’ delayed until April 2, 2021

AMC Entertainment (AMC) 30-day option implied volatility is at 104; compared to its 52-week range of 48 to 387 into new James Bond film ‘No Time to Die’ delayed until April 2, 2021.

Cinemark (CNK) 30-day option implied volatility is at 106; compared to its 52-week range of 20 to 338 into new James Bond film ‘No Time to Die’ delayed until April 2, 2021.

IMAX (IMAX) 30-day option implied volatility is at 71; compared to its 52-week range 25 to 343 of into new James Bond film ‘No Time to Die’ delayed until April 2, 2021.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 9; compared to its 52-week range of 5 to 74.

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 11; compared to its 52-week range of 5 to 53.

Spdr Barclays Convertible Securities Etf (CWB) 30-day option implied volatility is at 19; compared to its 52-week range of 8 to 54.

Vanguard Reit Etf (VNQ) 30-day option implied volatility is at 27; compared to its 52-week range of 10 to 90.

Utilities Sel Sect Spdr Fd (XLU) 30-day option implied volatility is at 20; compared to its 52-week range of 9 to 86.

Straddle prices for stocks expected to release results this week

Mattel (MAT) October weekly 12 straddle priced for a move of 6% into the expected release of quarter results today.

Levi Strauss (LEVI) October 14 straddle priced for a move of 12% into the expected release of quarter results after the bell on October 6.

Paycheck (PAYX) October 80 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 11% 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 32 straddle priced for a move of 7.5% into the expected release of quarter results on October 8.

Dominos’s Pizza (DPZ) October weekly 435 straddle priced for a move of 7% into the expected release of quarter results on October 8.

Options with decreasing option implied volatility: CRM DOCU ZM GME INO CRON CLVS INO
Increasing option volume: AXTA LAC CNP CYTK CLNY AMCX PACB
Increasing unusual call option volume: LAC CNP CYTK AMCX
Increasing unusual put option volume: CCJ BBBY EMB MESO RL WMB OLLI JKS
Popular stocks with increasing volume: ZM NKLA XOM PTON BBBY SPCE AAL
Active options: AAPL TSLA AAL NIO AMZN ZM AMD MSFT BA BAC FB NKLA NVDA BABA NFLX XOM PTON BBBY SPCE JPM
Global S&P Futures recently mixed to higher in premarket, Nikkei up 1.2%, DAX up 0.5%, WTI Crude oil recently at $38.08, natural gas up 4.5%, gold at $1897 an ounce