Pre-Market IV Report October 6, 2020

Pre-Market IV Report October 6, 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: PFE T FIT VZ UPS LAC HYLN AMZN UNG SPOT BIIB BHC OLED

Options expected to have increasing volume: LEVI PAYX DAL TROY

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 25; compared to its 52-week range of 10 to 77 into Fed Chair Powell to give the keynote speech at the annual NABE conference this morning.

iShares Russell 2000 ETF (IWM) 30-day option implied volatility is at 32; compared to its 52-week range of 12 to 81.

Lithium option volume, implied volatility and share price movement increases

Lithium Americas Corp (LAC) October option implied volatility is at 153, November is at 157; compared to its 52-week range of 81 to 203. Call put ratio 3.2 calls to 1 put with focus on October 15, 17.50 and 20 calls.

Albemarle (ALB) October option implied volatility is at 44, November is at 51; compared to its 52-week range of 28 to 98. Call put ratio 3.3 calls to 1 put with focus on October and November 95 calls.

Livent Corporation (LTHM) October option implied volatility is at 98, November is at 90; compared to its 52-week range of 51 to 144. Call put ratio 16 calls to 1 put with focus on October 10 and 12.50 calls.

Tech movers

Zoom Video (ZM) 30-day option implied volatility is at 80; compared to its 52-week range of 36 to 137 as shares near upper end of range. Call put ratio 2 calls to 1 put.

InVitae (NVTA) 30-day option implied volatility is at 86, October is at 75; compared to its 52-week range of 59 to 169 as shares at upper end of range. Call put ratio 3.3 calls to 1 put.

Coupa Software (COUP) 30-day option implied volatility is at 58; compared to its 52-week range of 37 to 123.

Straddle prices for stocks expected to release results this week

Paycheck (PAYX) October 82.50 straddle priced for a move of 6.5% into the expected release of quarter results today before the bell.

Levi Strauss (LEVI) October 15 straddle priced for a move of 12% into the expected release of quarter results today after the bell.

Adtran (ADTN) October 11 straddle priced for a move of 9% into the expected release of quarter results on October 7.

Lamb Weston (LW) October 70 straddle priced for a move of 9% into the expected release of quarter results on October 7.

RPM International (RPM) October 85 straddle priced for a move of 7% into the expected release of quarter results on October 7.

Delta Airlines (DAL) October weekly 32 straddle priced for a move of 5% into the expected release of quarter results on October 8.

Dominos’s Pizza (DPZ) October weekly 425 straddle priced for a move of 7% into the expected release of quarter results on October 8.

Helen of Troy (HELE) October weekly 210 straddle priced for a move of 9% into the expected release of quarter results on October 8.

Acuity Brands (AYI) October 110 straddle priced for a move of 10% into the expected release of quarter results on October 8.

Options with decreasing option implied volatility: DOCU TSLA BIGC ZM CRM CRON MESO INO UNFI GME TLRY FROG
Increasing option volume: ADNT LTHM AMX ACM CYTK PAYX LAC TEN
Increasing unusual call option volume: LTHM ACM SKX GPRE TEN PAYX LEVI LAC MAT
Increasing unusual put option volume: ATUS ARMK EXC PAYX ENB CNK WMB TME TPR LEVI
Popular stocks with increasing volume: AAL DKNG SNAP PLUG TLRY
Active options: AAPL TSLA AMD BABA BAC NIO FB BA MSFT AAL NVDA SQ GE ZM C DKNG SNAP AMZN PLUG TLRY
Global S&P Futures recently mixed to lower in premarket, Nikkei up 0.52%, DAX mixed, WTI Crude oil recently at $39.31, natural gas up 1.7%, gold at $1914 an ounce