Pre-Market IV Report September 14, 2020

Pre-Market IV Report September 14, 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: NKLA QRTEA TGTX UCO FLR CVM FIT LCA T BGCP PFE SAVE SHLL CRBP OSTK
Options expected to have increasing volume: NVDA GILD IMMU ORCL MSFT TSLA LEN FDX NKLA MRNA AZN
Election day in 50-days. Are you long or short gamma into November?
Nikola (NKLA) 30-day option implied volatility is at 207; compared to its 52-week range of 67 to 305 amid wide price movement.
NVIDIA (NVDA) 30-day option implied volatility is at 55; compared to its 52-week range of 28 to 110 into Nvidia and SoftBank (SFTBY) announced a definitive agreement under which Nvidia will acquire Arm Limited from SoftBank and the SoftBank Vision Fund in a transaction valued at $40B.
Immunomedics (IMMU) 30-day option implied volatility is at 50; compared to its 52-week range of 50 to 139 into Gilead (GILD) acquiring for $21B. Call put ratio 3.3 calls to 1 put with focus on October 45 calls.
Gilead (GILD) 30-day option implied volatility is at 31; compared to its 52-week range of 19 to 108 into acquiring Immunomedics (IMMU) for $21B. Call put ratio 3.8 calls to 1 put.
Pfizer (PFE) 30-day option implied volatility is at 30; compared to its 52-week range of 15 to 72 into two-day virtual investor meeting on September 15.
Kraft Heinz (KHC) 30-day option implied volatility is at 38; compared to its 52-week range of 20 to 89 into investor day on September 15. Call put ratio 8 calls to 1 put with focus on October calls.
Moderna (MRNA) 30-day call option implied volatility is at 84; compared to its 52-week range of 51 to 173 into R&D day before the bell on September 17. Call put ratio 1 call to 1.3 puts.
Straddle prices for stocks expected to report quarterly results this week
Lennar (LEN) September 77.5 straddle priced for a move of 7% into the expected release of quarter results after the bell on September 14.
Adobe (ADBE) September 470 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 10% into the expected release of quarter results before the bell on September 15.
FedEx (FDX) September 232.5 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 13% into the expected release of quarter results before the bell on September 17.
Bank option implied volatility into the Fed meets Tuesday, Wednesday
Bank of America (BAC) 30-day option implied volatility is at 37; compared to its 52-week range of 17 to 124 into the Fed meets Tuesday, Wednesday.
Citigroup (C) 30-day option implied volatility is at 40; compared to its 52-week range of 18 to 146
Goldman Sachs (GS) 30-day option implied volatility is at 34; compared to its 52-week range of 18 to 116
JPMorgan (JPM) 30-day option implied volatility is at 37; compared to its 52-week range of 15 to 119
Morgan Stanley (MS) 30-day option implied volatility is at 35; compared to its 52-week range of 19 to 120
Wells Fargo (WFC) 30-day option implied volatility is at 42; compared to its 52-week range of 16 to 138
State Street (STT) 30-day option implied volatility is at 41; compared to its 52-week range of 22 to 112
U.S. Bancorp (USB) 30-day option implied volatility is at 40; compared to its 52-week range of 14 to 121
Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 29; compared to its 52-week range of 13 to 111 into the Fed meets Tuesday, Wednesday.
Spdr S&P Regional Banking Etf (KRE) 30-day option implied volatility is at 44; compared to its 52-week range of 17 to 127 into the Fed meets Tuesday, Wednesday.
Spdr S&P Bank Etf (KBE) 30-day option implied volatility is at 43; compared to its 52-week range of 16 to 125
Tortoise Acquisition Corp. (SHLL) 30-day option implied volatility is at 207; compared to its 52-week range of 103 to 216 amid wide price movement.
Landcadia Holdings II (LCA) 30-day option implied volatility is at 151; compared to its 52-week range of 94 to 151 amid wide price movement.
Corbus Pharma (CRBP) 30-day option implied volatility is at 267; compared to its 52-week range of 55 to 400 amid wide price movement.
Nautilus (NLS) 30-day option implied volatility is at 126; compared to its 52-week range of 84 to 343 as shares pull back from record high.
Options with decreasing option implied volatility: ITCI CGC GME CRON WORK CHWY DOCU RKT SLV PINS AMRN CRM ZM
Increasing unusual option volume: ZGNX AES PRNB PAGB EMN DVA HUN MAT ARMK
Increasing unusual call option volume: ZGNX AES KNX DVA MDLZ NLOK MO CBRL
Increasing unusual put option volume: MAT CLVS SWN ARMK EQR CXO TECK
Popular stocks with increasing volume: ORCL NKLA DKNG CHWY PTON ZM
Active options: AAPL TSLA NKLA PTON MSFT AMD FB AMZN BAC SNAP NVDA BA WMT ORCL NIO BABA MO T INTC F
Global S&P Futures recently up 0.6% in premarket, Nikkei up 0.5%, DAX up 0.5%, WTI Crude oil recently at $37.22, natural gas up 3.5%, gold at $1954 an ounce