Pre-Market IV Report September 29, 2020

Pre-Market IV Report September 29, 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: MU TGTX MESO APT LAC SPCE DISH PINS SNOW UPS GNUS T LCA VIAC HYG SHLL AMZN SPOT

Options expected to have increasing volume: MU SNOW UNFI BBBY PEP

Biogen (BIIB) October weekly call option implied volatility is at 27, October is at 22, November is at 61; compared to its 52-week range of 25 to 63 into a FDA panel to discuss Biogen Alzheimer’s application on November 6. Call put ratio 2.5 calls to 1 put with focus on January options.

IV into Trump Biden debate, end of quarter and Friday’s release of the September employment report

SPDR S&P 500 ETF Trust (SPY) October weekly call option implied volatility is at 26, October is at 24; compared to its 52-week range of 10 to 77 into Trump Biden debate, end of quarter and Friday’s release of the September employment report. Call put ratio 1 call to 1.2 puts.

PowerShares QQQ Trust (QQQ) October weekly call option implied volatility is at 34, October is at 33; compared to its 52-week range of 12 to 79 into Trump Biden debate, end of quarter and Friday’s release of the September employment report. Call put ratio 1 call to 1.4 puts.

iShares Russell 2000 ETF (IWM) October weekly call option implied volatility is at 34, October is at 32; compared to its 52-week range of 12 to 81. Call put ratio 1 call to 2.1 puts.

Snowflake (SNOW) 30-day option implied volatility at 99 into Berkshire Hathaway (BRKB) disclosed a 15.2% stake in Snowflake, which represents over 6.1M shares.

Straddle prices for stocks expected to report quarterly results this week

McCormick & Co (MKC) October 195 straddle priced for a move of 7% into the expected release of quarter results today before the bell.

Micron (MU) October weekly 50 straddle priced for a move of 7% into the expected release of quarter results today after the bell.

Progress Software (PRGS) October 35 straddle priced for a move of 13% into the expected release of quarter results today after the bell.

NovaGold (NG) October 12 straddle priced for a move of 13% into the expected release of quarter results on September 30.

Bed Bath & Beyond (BBBY) October weekly 15 straddle priced for a move of 16% into the expected release of quarter results before the bell on October 1.

Conagra Brands (CAG) October 35.5 straddle priced for a move of 5% into the expected release of quarter results before the bell on October 1.

Constellation Brands (STZ) October 185 straddle priced for a move of 7% into the expected release of quarter results after the bell on October 1.

PepsiCo (PEP) October 138 straddle priced for a move of 3% into the expected release of quarter results before the bell on October 1.

Western Digital (WDC) October weekly call option implied volatility is at 54, October is at 47, November is at 57; compared to its 52-week range of 31 to 138. Call put ratio 1.8 calls to 1 put.

Seagate Technology (STX) October weekly and October call option implied volatility is at 34, November is at 40; compared to its 52-week range of 23 to 91. Call put ratio 2.8 calls to 1 put with focus on October weekly 50 and 50.50 calls.

Ashford Hospitality Trust (AHT) 30-day option implied volatility is at 285; compared to its 52-week range of 33 to 301. Call put ratio 2.2 calls to 1 put with focus on October 2.5 and 5 calls after sharp rally from record lows.

Options with decreasing option implied volatility: LI TSLA CLVS SFIX SIRI DISH DRI NKE COST DOCU TGT ZM CRM
Increasing unusual option volume: MKC LAC RRR GLNG ORC KBE AHT
Increasing unusual call option volume: GLNG MKC RRR LAC HST STOR THO VG MTG SFIX
Increasing unusual put option volume: MPLX KBE DVN MJ RIO AR MTCH CLF ERIC FAST
Popular stocks with increasing volume: SNAP SPCE F INO DKNG WKHS
Active options: AAPL TSLA BA AAL F SPCE BAC AMD ZM MSFT INO NIO NKLA WFC DKNG AMZN MU WKHS SNAP NVDA
Global S&P Futures recently mixed in premarket, Nikkei mixed, DAX mixed to lower, WTI Crude oil recently at $40.34, natural gas mixed, gold at $1887 an ounce