Pre-Market IV Report September 15, 2020

Pre-Market IV Report September 15, 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 T LCA SAVE F SHLL VRS IMMU OCUL GRPN IMMU

Options expected to have increasing volume: LEN FDX ADBE ORCL C AAPL KHC MRNA

Option volume and implied volatility into Events

Apple (AAPL) 30-day option implied volatility is at 47; compared to its 52-week range of 18 to 90 into September an event scheduled for today at Apple Park. Call put ratio 2.6 calls to 1 put with focus on September 115 and 117.50 call options.

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 today. Call put ratio 4.9 calls to 1 put with focus on September calls.

Kraft Heinz (KHC) 30-day option implied volatility is at 35; compared to its 52-week range of 20 to 89 into investor day today. Call put ratio 1.4 calls to 1 put with focus on September and October calls.

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 policy decision on Wednesday. Call put ratio 2.9 calls to 1 put.

Moderna (MRNA) 30-day option implied volatility is at 96; compared to its 52-week range of 51 to 173 into R&D day before the bell on September 17. Call put ratio 2.7 calls to 1 put.

Tesla (TSLA) 30-day option implied volatility is at 106; compared to its 52-week range of 34 to 154 into hosting a Battery Day event after its annual meeting on September 22. Call put ratio 2.1 calls to 1 put.

Nikola (NKLA) 30-day option implied volatility is at 170; compared to its 52-week range of 67 to 305 into Bloomberg report of SEC inquiry. Call put ratio 1 call to 1.1 puts.

Option volume, IV and share prices increases on ESPN deal

DraftKings (DKNG) 30-day option implied volatility is at 96; compared to its 52-week range of 54 to 142 after Disney’s (DIS) announcement of a multi-year co-exclusive deal for ESPN with Caesars (CZR) and DraftKings. Call put ratio 5.6 calls to 1 put with focus on September 50 calls

Penn National Gaming (PENN) 30-day option implied volatility is at 90; compared to its 52-week range of 29 to 435 after Disney’s (DIS) announcement of a multi-year co-exclusive deal for ESPN with Caesars (CZR) and DraftKings (DKNG). Call put ratio 2.6 calls to 1 put.

Caesars Entertainment (CZR) 30-day option implied volatility is at 79; compared to its 52-week range 30 to 423. Call put ratio 3.8 calls to 1 put with focus on September 55 calls.

Option volume and IV into European Society for Medical Oncology Congress meeting

Corvus Pharmaceuticals (CRVS) 30-day option implied volatility is at 161; compared to its 52-week range of 100 to 460 into European Society for Medical Oncology Congress on September 21.

Incyte (INCY) 30-day option implied volatility is at 51; compared to its 52-week range of 30 to 69 into European Society for Medical Oncology Congress on September 21. Call put ratio 14.6 calls to 1 put with focus on September calls.

Iovance Biotherapeutics (IOVA) 30-day option implied volatility is at 110; compared to its 52-week range of 55 to 193 into European Society for Medical Oncology Congress on September 21. Call put ratio 38 calls to 1 put with focus on September 35 and 40 calls.

Immunomedics (IMMU) call put ratio 1 call to 6.7 puts with focus on out of the money puts into ASCENT and TROPHY data expected at European Society for Medical Oncology congress on September 21.

Merck (MRK) September call option implied volatility is at 20, October is at 22; compared to its 52-week range of 15 to 64 into European Society for Medical Oncology congress on September 21. Call put ratio 2.6 calls to 1 put with focus on September calls.

Straddle prices for stocks expected to report quarterly results this week

Adobe (ADBE) September 485 straddle priced for a move of 8% into the expected release of quarter results today after the bell.

Cracker Barrel (CBRL) September 140 straddle priced for a move of 8% into the expected release of quarter results today before the bell.

FedEx (FDX) September 237.5 straddle priced for a move of 8.5% into the expected release of quarter results today after the bell.

Herman Miller (MLHR) September 25 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 11% into the expected release of quarter results before the bell on September 17.

Options with decreasing option implied volatility: CSCO ZM CLVS BHC ZNGA FLR RKT WORK RH ZS CRON
Increasing unusual option volume: SAVA FNF MLHR APA MAT COOP INCY IOVA
Increasing unusual call option volume: SAVA KNX DVA ZME XME FIZZ
Increasing unusual put option volume: IMMU APA MAT CSIQ EOG PSTG HAS
Popular stocks with increasing volume: NIO WMT SNAP WKHS IMMU ORCL
Active options: AAPL TSLA NKLA DKNG ORCL NVDA APA MSFT FB AMD BAC BA WMT MU NIO SNAP PFE AMZN T WKHS
Global S&P Futures recently mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $37.11, natural gas down 1%, gold at $1971 an ounce