Pre-Market IV Report September 27, 2020

Pre-Market IV Report September 27, 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: HTZ GNUS T HYG LCA SHLL CRBP PAA CNC DB CMG MOBL AQST SAVA VAPO

Options expected to have increasing volume: DVN WPX CZR MU BABA ORCL MSFT WMT HLF LOGI WDC

Alibaba (BABA) 30-day option implied volatility is at 37; compared to its 52-week range of 22 to 63 into Virtual investor day that continues through Wednesday.

“FANG’ stocks option implied volatility

Facebook (FB) 30-day option implied volatility is at 47; compared to its 52-week range of 21 to 82.

Amazon (AMZN) 30-day option implied volatility is at 47; compared to its 52-week range of 20 to 69.

Netflix (NFLX) 30-day option implied volatility is at 60; compared to its 52-week range of 27 to 98.

Alphabet (GOOG) 30-day option implied volatility is at 27; compared to its 52-week range of 14 to 75.

Apple (AAPL) 30-day option implied volatility is at 48; compared to its 52-week range of 17 to 90.

Option implied volatility into WPX Energy (WPX) and Devon Energy (DVN) in talks to combine, WSJ reports

Devon Energy (DVN) 30-day option implied volatility is at 73; compared to its 52-week range of 33 to 212 into Devon Energy and WPX Energy (WPX) are in talks to combine in an all-stock deal, WSJ reports.

WPX Energy (WPX) 30-day option implied volatility is at 84; compared to its 52-week range of 37 to 265.

Straddle prices for stocks expected to report quarterly results this week

Cal Maine Foods (CALM) October 37.50 straddle priced for a move of 8% into the expected release of quarter results on September 28.

Manchester United (MANU) October 15 straddle priced for a move of 12% 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 21% into the expected release of quarter results after the bell on September 28.

Weibo (WB) October 32.50 straddle priced for a move of 11% 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 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 14.5% into the expected release of quarter results on September 30.

Bed Bath & Beyond (BBBY) October weekly 14.5 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 7.5% into the expected release of quarter results after the bell on October 1.

PepsiCo (PEP) October 134 straddle priced for a move of 4% into the expected release of quarter results before the bell on October 1.

Option implied volatility for pipeline stocks

Williams Cos. (WMB) 30-day option implied volatility is at 37; compared to its 52-week range of 20 to 164. Call put ratio 2.6 calls to 1 put.

Enterprise Products Partners (EPD) 30-day option implied volatility is at 37; compared to its 52-week range of 16 to 160.

Magellan Midstream Partners (MMP) 30-day option implied volatility is at 36; compared to its 52-week range of 14 to 142. Call put ratio 2.6 calls to 1 put.

Energy Transfer (ET) 30-day option implied volatility is at 48; compared to its 52-week range of 23 to 180

Kinder Morgan (KMI) 30-day option implied volatility is at 35; compared to its 52-week range of 16 to 140.

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 1.8 calls to 1 put.

Options with decreasing option implied volatility: DOCU ZM TGT ZM CRM FLDM ACB TSLA CRON SFIX LI HPE NKE
Increasing unusual option volume: ESI NAV MNTA ABEV
Increasing unusual call option volume: NAV BGCP ABEV GLNG IMAX AN PAGP
Increasing unusual put option volume: TAP IFF MPLX TME WB AR lCA
Popular stocks with increasing volume: PTON ZM WKHS COST BMY CCL NKLA
Active options: AAPL TSLA BA AMD AMZN MSFT ZM AAL FB NVDA NKLA BAC NCLH NIO COST CCL PTON MU WKHS BABA
Global S&P Futures recently up 0.4% in premarket, Nikkei up 1.3%, DAX up 2.5%, WTI Crude oil recently at $39.21, natural gas mixed, gold at $1861 an ounce