Pre-Market IV Report September 4, 2020

Pre-Market IV Report September 4, 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: KR DOCU UVXY VXX WORK FMCI DOCU CHWY GME TSLA PTON SDC SHLL CHWY BABA

Options expected to have increasing volume: AVGO DOCU FIZZ

Option volume, implied volatility and share price movement increases

Apple (AAPL) September weekly option implied volatility is at 87, September is at 64; compared to its 52-week range of 18 to 90 after shares lost 8%. Call put ratio 1.6 calls to 1 put with focus on September weekly options.

Tesla (TSLA) September weekly call option implied volatility is at 119, September is at 115; 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 1.3 calls to 1 put.

Facebook (FB) September weekly call option implied volatility is at 53, September is at 52; compared to its 52-week range of 20 to 81. Call put ratio 2.9 calls to 1 put with focus on September weekly options.

Netflix (NFLX) September weekly call option implied volatility is at 50, September is at 51; compared to its 52-week range of 28 to 99. Call put ratio 1.59 calls to 1 put with focus on September weekly options.

Alphabet (GOOGL) September weekly call option implied volatility is at 57, September is at 59; compared to its 52-week range of 14 to 75.

Amazon (AMZN) September weekly option implied volatility is at 43, September is at 48; compared to its 52-week range of 16 to 69 after shares lost 4%. Call put ratio 1.5 calls to 1 put with focus on September weekly options.

Microsoft (MSFT) September weekly call option implied volatility is at 47, September is at 46; compared to its 52-week range of 15 to 90. Call put ratio 2.4 calls to 1 put.

Peloton (PTON) September weekly call option implied volatility is at 137, September is at 136; compared to its 52-week range of 58 to 158 into the expected release of quarter results on September 9. Call put ratio 3.3 calls to 1 put with focus on October 100 and January 120 calls.

PowerShares QQQ Trust (QQQ) September weekly call option implied volatility is at 45, September is at 38; compared to its 52-week range of 12 to 79 as shares pull back from record highs. Call put ratio 1 call to 1.7 puts.

SPDR S&P 500 ETF Trust (SPY) September weekly call option implied volatility is at 33, September is at 25; compared to its 52-week range of 10 to 77 as shares pull back from record highs. Call put ratio 1 call to 1.4 puts.

iShares Russell 2000 (RUT) call put ratio 1 call to 1.9 puts with focus on September 1650, 1700 calls and December 1000 calls. September 1550 weekly 25 1550 puts. 30-day option implied volatility is at 34; compared to its 52-week range of 12 to 128.

Straddle prices for stocks expected to report quarterly results next week

Coupa Software (COUP) September weekly 310 straddle priced for a move of 14% into the expected release of quarter results after the bell on September 8

Slack (WORK) September weekly 31 straddle priced for a move of 19% into the expected release of quarter results after the bell after the bell on September 8

American Eagle (AEO) September weekly 12.50 straddle priced for a move of 14% into the expected release of quarter results before the bell on September 9

Aurora Cannabis (ACB) September 9 straddle priced for a move of 21% into the expected release of quarter results on September 9

Lovesac (LOVE) September 30 straddle priced for a move of 25% into the expected release of quarter results before the bell on September 9

MasterCraft Boat (MCFT) September 20 straddle priced for a move of 22% into the expected release of quarter results before the bell on September 9

Navistar (NAV) September weekly 35 straddle priced for a move of 22% into the expected release of quarter results before the bell on September 9

Oracle (ORCL) September weekly 57 straddle priced for a move of 6% into the expected release of quarter results after the bell after the bell on September 9

RH (RH) September weekly 320 straddle priced for a move of 15% into the expected release of quarter results after the bell after the bell on September 9

SelectQoute (SLQT) September 20 straddle priced for a move of 17% into the expected release of quarter results after the bell on September 9

GameStop (GME) September weekly 8 straddle priced for a move of 23% into the expected release of quarter results after the bell on September 9

Chewy (CHWY) September weekly 62 straddle priced for a move of 21% into the expected release of quarter results after the bell on September 10

nCino (NCNO) September 90 straddle priced for a move of 18% into the expected release of quarter results on September 10

Kroger (KR) September weekly 36 straddle priced for a move of 7% into the expected release of quarter results before the bell on September 11

Increasing unusual option volume: VHC AKBA ZUO BKLN BIGC MDLA IWF VUZI JBHT FIVE GOGO AMBA
Increasing unusual call option volume: VHC AKBA ZUO IWF BIGC SPYG MDLA AMBA
Increasing unusual put option volume: WIX FVRR BKLN BIGC PD AMRN CLDR IWF
Popular stocks with increasing volume: CIEN DOCU ZM CCL WMT RKT CRWD T
Active options: AAPL TSLA BAC MSFT FB AMD NIO INTC AAL BA ZM CCL NVDA AMZN WMT JPM RKT CRWD DOCU T
Global S&P Futures recently down 0.2% in premarket, Nikkei down 1%, DAX down 0.3%, WTI Crude oil recently at $40.93, natural gas mixed, gold at $1939 an ounce