Pre-Market IV Report September 23, 2020

Pre-Market IV Report September 23, 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: TSLA T MCD SFIX HTZ ACB ET SHLL AMZN GNW GME SB CL

Options expected to have increasing volume: TSLA NKE AZO GIS ACN COST DRI GIS CTAS KBH SCS

Tesla (TSLA) September weekly call option implied volatility is at 165, October is at 133; compared to its 52-week range of 34 to 154 into Musk says ‘serious’ output not until 2022. Call put ratio 2.1 calls to 1 put into shares trade down 6% in Europe.

Special Purpose Acquisition Companies or SPACs

Nikola (NKLA) 30-day option implied volatility is at 164; compared to its 52-week range of 66 to 304. Call put ratio 1 call to 1.1 puts.

Workhorse Group (WKHS) 30-day option implied volatility is at 175; compared to its 52-week range of 103 to 287.

Virgin Galactic (SPCE) 30-day option implied volatility is at 87; compared to its 52-week range of 39 to 238. Call put ratio 1.7 calls to 1 put.

DraftKings (DKNG) 30-day option implied volatility is at 90; compared to its 52-week range of 53 to 143. Call put ratio 3.7 calls to 1 put with focus on September weekly calls.

Stocks with increasing volume and IV movement

Melco Resorts & Entertainment (MLCO) 30-day call option implied volatility is at 62; compared to its 52-week range of 31 to 127. Call put ratio 11 calls to 1 put with focus on October 17 and 19 calls.

Snap (SNAP) 30-day option implied volatility is at 63; compared to its 52-week range of 37 to 126. Call put ratio 4.4 calls to 1 put with focus on September weekly 25.50 calls

Carvana Co. (CVNA) 30-day option implied volatility is at 43; compared to its 52-week range of 43 to 212 after sharp rally. Option volume was active on 52K contacts.

Lithium Americas Corp (LAC) 30-day option implied volatility is at 170; compared to its 52-week range of 81 to 205. Call put ratio 4.3 calls to 1 put.

IMAX Corp. (IMAX) 30-day option implied volatility is at 74; compared to its 52-week range of 25 to 343. Call put ratio 217 calls to 1 put with focus on October 14 and 15 calls.

GameStop (GME) 30-day option implied volatility is at 151; compared to its 52-week range of 52 to 227. Call put ratio 3.6 calls to 1 put.

Straddle prices for stocks expected to report quarterly results this week

Cintas (CTAS) October 320 straddle priced for a move of 8% into the expected release of quarter results today before the bell.

General Mills (GIS) October 57.50 straddle priced for a move of 6% into the expected release of quarter results today before the bell.

H.B. Fuller (FUL) October 50 straddle priced for a move of 11% into the expected release of quarter results today after the bell.

JinkoSolar (JKS) October 28 straddle priced for a move of 15% into the expected release of quarter results on today.

Accenture (ACN) September weekly 237.50 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on September 24.

CarMax (KMX) September weekly 104 straddle priced for a move of 7% into the expected release of quarter results before the bell on September 24.

Costco (COST) September 345 straddle priced for a move of 4% into the expected release of quarter results on September 24.

Darden Restaurants (DRI) October 90 straddle priced for a move of 14% into the expected release of quarter results before the bell on September 24.

BlackBerry (BB) September weekly 5 straddle priced for a move of 11% into the expected release of quarter on September 24.

Jabil (JBL) September weekly 33 straddle priced for a move of 12% into the expected release of quarter results before the bell on September 24.

Vail Resorts (MTN) October 230 straddle priced for a move of 13% into the expected release of quarter results after the bell on September 24.

Option implied volatility for Entertainment and Gaming Resorts

Roundhill Sports Betting & iGaming ETF (BETZ) 30-day option implied volatility is at 48; compared to its 52-week range of 41 to 110

Boyd Gaming (BYD) 30-day option implied volatility is at 63; compared to its 52-week range of 26 to 261

Century Casinos (CNTY) 30-day option implied volatility is at 98; compared to its 52-week range of 32 to 282

Monarch Casino & Resort (MCRI) 30-day option implied volatility is at 54; compared to its 52-week range of 22 to 195

Wynn Resorts Ltd (WYNN) 30-day option implied volatility is at 67; compared to its 52-week range of 31 to 216.

Melco Resorts & Entertainment (MLCO) 30-day call option implied volatility is at 62; compared to its 52-week range of 31 to 127.

Options with decreasing option implied volatility: IMMU TGT SLV ZM MLH CRM
Increasing unusual option volume: IMAX MUR BKLN MLCO IAC
Increasing unusual call option volume: IMAX MUR WPX EOLS SAN MLCO LAC GME KBH
Increasing unusual put option volume: BKLN SBSW WPX AEO JWN CLVS BBBY SFIX YNDX K
Popular stocks with increasing volume: NKLA ZM PTON BYND
Active options: AAPL TSLA FB BAC AMZN MSFT SNAP AMD ZM PTON NIO AAL ROKU BA TWTR WFC VALE GE BYND NKLA
Global S&P Futures recently mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $39.49, natural gas mixed, gold at $1883 an ounce