Pre-Market IV Report September 11, 2020

Pre-Market IV Report September 11, 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: T CHWY TIF FLR ORCL AA BGCP SAVE UCO USO SHLL OSTK TSLA CHWY T JETS PFE

Options expected to have increasing volume: PTON CHWY ORCL KR

Micron (MU) 30-day option implied volatility is at 53; compared to its 52-week range of 31 to 115 into the expected release of quarter results on September 29. Call put ratio 1.3 calls to 1 put.

Velocity

Wayfair (W) 30-day option implied volatility is at 79; compared to its 52-week range of 41 to 210 amid price movement. Call put ratio 1.2 calls to 1 put.

Overstock.com (OSTK) 30-day option implied volatility is at 151; compared to its 52-week range of 68 to 213. Call put ratio 2.8 calls to 1 put amid wide price movement.

Option volume increases, implied volatility flat for Luxury Retailers

Canada Goose (GOOS) 30-day option implied volatility is at 55; compared to its 52-week range of 38 to 119. Call put ratio 6 calls to 1 put with focus on October 22.50 calls.

Capri Holdings Limited (CPRI) 30-day option implied volatility is at 77; compared to its 52-week range of 34 to 156. Call put ratio 13.7 calls to 1 put with focus on September 18.50 calls.

Tapestry (TPR) 30-day option implied volatility is at 63; compared to its 52-week range of 30 to 182. Call put ratio 5.2 calls to 1 put with focus on September 15 calls.

Shack Shake (SHAK) 30-day option implied volatility is at 65; compared to its 52-week range of 31 to 185. Call put ratio 4 calls to 1 put.

RH (RH) 30-day option implied volatility is at 60; compared to its 52-week range of 32 to 163 amid wide price movement after quarter results.

Ralph Lauren (RL) 30-day option implied volatility is at 50; compared to its 52-week range of 25 to 120.

The RealReal Inc. (REAL) 30-day option implied volatility is at 84; compared to its 52-week range of 67 to 177. Call put ratio 10 calls to 1 put with focus on September 15 calls.

Straddle prices for stocks expected to report quarterly results today

Kroger (KR) September weekly 35 straddle priced for a move of 7% into the expected release of quarter results before the bell on September 11

Straddle prices for stocks expected to report quarterly results next week

Lennar (LEN) September 75straddle priced for a move of 8% into the expected release of quarter results after the bell on September 14.

Adobe (ADBE) September 475 straddle priced for a move of 8% into the expected release of quarter results after the bell on September 15.

Cracker Barrel (CBRL) September 135 straddle priced for a move of 9% into the expected release of quarter results before the bell on September 15.

FedEx (FDX) September 225 straddle priced for a move of 10% into the expected release of quarter results after the bell on September 15.

Herman Miller (MLHR) September 22.50 straddle priced for a move of 12% into the expected release of quarter results after the bell on September 16.

Apogee Enterprises (APOG) September 20 straddle priced for a move of 12% into the expected release of quarter results before the bell on September 17.

iShares Russell 2000 (RUT) 30-day option implied volatility is at 31; compared to its 52-week range of 12 to 129. Call put ratio 1 call to 1.1 put with focus on October 1600 and December 1850 calls.

Options with decreasing option implied volatility: CRON WORK CLDR ZM CRM PINS ZM CRM AMRN CRBP
Increasing unusual option volume: VGK OMER AGEN YRCW SLQT
Increasing unusual call option volume: PLUG OMER CPRI AGEN YRCW SLQT KODK TPR MLCO RH SKX
Increasing unusual put option volume: CSIQ DVN AR GOGO BIGC LLNW KODK CPB AEO RH MLCO
Popular stocks with increasing volume: PTON ZM UBER BYND BA DIS
Active options: AAPL TSLA FB MSFT BAC PTON AMD AMZN NKLA DKNG NIO T NVDA ZM UBER AAL BYND INTC BA DIS