Pre-Market IV Report September 25, 2020

Pre-Market IV Report September 25, 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: AMZN NKLX SNAP CMG INTC GLNG MYOV DTIL AUPH T MCD CRBP UNG

Options expected to have increasing volume: COST MU SMH PENN MTN

Micron (MU) October weekly call option implied volatility is at 74, October is at 59; compared to its 52-week range of 31 to 114 into the expected release of quarter results after the bell on September 29. Call put ratio 1.2 calls to 1 put.

Telemedicine option implied volatility

Teladoc (TDOC) 30-day option implied volatility is at 62; compared to its 52-week range of 36 to 109 after shares sold off 2.5%. Call put ratio 3.3 calls to 1 put.

eHealth (EHTH) 30-day option implied volatility is at 69; compared to its 52-week range of 46 to 117 after shares sold off 2.7%.

Livongo (LVGO) 30-day option implied volatility is at 61; compared to its 52-week range of 62 to 111 after shares sold off 2.3%.

IRhythm (IRTC) 30-day option implied volatility is at 63; compared to its 52-week range of 44 to 113.

Straddles for stocks expected to release quarter results next week

Cal Maine Foods (CALM) October 37.50 straddle priced for a move of 10% into the expected release of quarter results on September 28.

Manchester United (MANU) October 15 straddle priced for a move of 13% into the expected release of quarter results on September 28.

Sina (SINA) October 40 straddle priced for a move of 8% into the expected release of quarter results on September 28.

United Natural Foods (UNFI) October 17.50 straddle priced for a move of 20% into the expected release of quarter results after the bell on September 28.

Weibo (WB) October 34.50 straddle priced for a move of 13% into the expected release of quarter results before the bell on September 28.

McCormick & Co (MKC) October 190 straddle priced for a move of 7% into the expected release of quarter results before the bell on September 29.

Micron (MU) October weekly 49.50 straddle priced for a move of 8% into the expected release of quarter results after the bell on September 29.

Progress Software (PRGS) October 35 straddle priced for a move of 11% into the expected release of quarter results after the bell on September 29.

NovaGold (NG) October 11 straddle priced for a move of 15% into the expected release of quarter results on September 30.

Bed Bath & Beyond (BBBY) October weekly 14 straddle priced for a move of 17% into the expected release of quarter results before the bell on October 1.

Conagra Brands (CAG) October 35 straddle priced for a move of 7% into the expected release of quarter results before the bell on October 1.

Constellation Brands (STZ) October 182.50 straddle priced for a move of 7% into the expected release of quarter results after the bell on October 1.

PepsiCo (PEP) October 132 straddle priced for a move of 4% into the expected release of quarter results before the bell on October 1.

iShares Russell 2000 (RUT) 30-day option implied volatility is at 33; compared to its 52-week range of 12 to 129. Call put ratio 1 call to 1.4 puts with focus on October 1550 calls and December 1300 puts.

Options with decreasing option implied volatility: KODK ALT PLAY SFIX TSLA LI CRM TGT DOCU
Increasing unusual option volume: CSTM GLNG OMI DGLY SABR SKX KMX
Increasing unusual call option volume: GLNG TCO DGLY PAGP SKX SABR OMI JBL SKX
Increasing unusual put option volume: MPLX EQR CCJ AEO CFG LCA KMX HLT
Popular stocks with increasing volume: ZM NKE WKHS SQ NKLA
Active options: AAPL TSLA NKLA ZM BAC AMD MSFT BA AMZN NIO FB AAL C TWTR WFC NVDA WKHS GE SQ NKE
Global S&P Futures recently mixed in premarket, Nikkei mixed, DAX unchanged, WTI Crude oil recently at $40.39, natural gas down 1.4%, gold at $1871 an ounce