Pre-Market IV Report September 2, 2020

Pre-Market IV Report September 2, 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: RKT DOCU AVGO SWBI AMRN TSLA CLDR CRWD WORK CRBP SHLL GME

Options expected to have increasing volume: ZM TSLA RKT HOME AMBA CLDR CRWD M FIVE HRB CRM

Shares near record high on very active call volume. Shares are up in premarket

Tesla (TSLA) September weekly call option implied volatility is at 114, September is at 110; 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 1.9 calls to 1 put shares are up 1% in the premarket.

Apple (AAPL) September weekly option implied volatility is at 51, September is at 50; compared to its 52-week range of 18 to 90. Call put ratio 2.5 calls to 1 put shares are up 1% in premarket.

Qualcomm (QCOM) September weekly call option implied volatility is at 38, September is at 37; compared to its 52-week range of 25 to 85. Call put ratio 7.8 calls to 1 put with focus on in the money January calls shares are up in premarket.

Amazon (AMZN) September weekly call option implied volatility is at 31, September is at 36; compared to its 52-week range of 16 to 68 shares are up 1% in premarket.

Walmart (WMT) September weekly call option implied volatility is at 52, September is at 40; compared to its 52-week range of 13 to 67. Call put ratio 7.3 calls to 1 put with focus on September weekly calls.

Zoom (ZM) September weekly call option implied volatility is at 80, September is at 81; compared to its 52-week range of 36 to 137 after Q2 beat, Q3 guidance. Call put ratio 1.3 calls to 1 put with focus on September calls.

Option implied volatility for stocks developing a Covid-19 vaccine

Pfizer (PFE) 30-day option implied volatility is at 28; compared to its 52-week range of 15 to 72 into developing Covid-19 vaccine.

BioNTech SE (BNTX) 30-day option implied volatility is at 117; compared to its 52-week range of 98 to 185

Johnson & Johnson (JNJ) 30-day option implied volatility is at 22; compared to its 52-week range of 13 to 70

Moderna (MRNA) 30-day option implied volatility is at 100; compared to its 52-week range of 51 to 173

CureVac B.V. (CVAC) 30-day option implied volatility is at 101; compared to its 52-week range of 89 to 99

AstraZeneca (AZN) 30-day option implied volatility is at 37; compared to its 52-week range of 16 to 85

Novavax (NVAX) 30-day option implied volatility is at 133; compared to its 52-week range of 85 to 312

Inovio Pharma (INO) 30-day option implied volatility is at 156; compared to its 52-week range of 64 to 392

Sanofi (SNY) 30-day option implied volatility is at 26; compared to its 52-week range of 16 to 94

GlaxoSmithKline (GSK) 30-day option implied volatility is at 20; compared to its 52-week range of 13 to 74 into developing Covid-19 vaccine

Straddle prices for stocks expected to report quarterly results this week

Cloudera (CLDR) September weekly 14 straddle priced for a move of 20% into the expected release of quarter results today after the bell

CrowdStrike (CRWD) September weekly 125 straddle priced for a move of 16% into the expected release of quarter results today after the bell

Five Below (FIVE) September weekly 110 straddle priced for a move of 9% into the expected release of quarter results today after the bell

Macys (M) September weekly 7 straddle priced for a move of 14.5% into the expected release of quarter results today before the bell

Rocket Cos (RKT) September 31 straddle priced for a move of 27% into the expected release of quarter results today

Zuora (ZUO) September 15 straddle priced for a move of 21% into the expected release of quarter results today after the bell

Campbell Soup (CPB) September weekly 52.50 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on September 3

Broadcom (AVGO) September weekly 360 straddle priced for a move of 7% into the expected release of quarter results after the bell on September 3.

Smith & Wesson Brands (SWBI) September 20 straddle priced for a move of 29% into the expected release of quarter results after the bell on September 3.

DocuSign (DOCU) September weekly 270 straddle priced for a move of 20% into the expected release of quarter results after the bell on September 3

National Beverage (FIZZ) September 85 straddle priced for a move of 18% into the expected release of quarter results on September 3

Signet Jewelers (SIG) September weekly 17 straddle priced for a move of 16% into the expected release of quarter results on September 3

Toro (TTC) September 75 straddle priced for a move of 11% into the expected release of quarter results before the bell on September 3

Ciena (CIEN) September weekly 58.50 straddle priced for a move of 11.5% into the expected release of quarter results before the bell on September 3

Options with decreasing option implied volatility: CRON TGTX NTNX DOCU QRTEA ZM INTC
Increasing unusual option volume: RKT HEAR RST RY CWH JAMF KAR GOGO CYRX COMM ZUO AMBA
Increasing unusual call option volume: JAMF KAR IWF GOGO COMM LI AIMT HOME WLL
Increasing unusual put option volume: AR GOGO HST CSIQ TECK HOME RXT AMRN CLDR
Popular stocks with increasing volume: NFLX WMT TSM GME ZM DOCU ROKU CRM WORK
Active options: AAPL TSLA WMT ZM NIO AMD INTC FB NVDA AAL BAC MSFT NFLX BA BABA DOCU ROKU CRM QCOM WORK
Global S&P Futures recently up 0.2% in premarket, Nikkei up 0.4%, DAX up 0.9%, WTI Crude oil recently at $43.18, natural gas mixed, gold at $1969 an ounce