Pre-Market IV Report April 13, 2020

Pre-Market IV Report April 13, 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: SDC AMC YELP APA IQ NIO GSX TAL XRT GILD AEO XLK XLY

Options expected to have increasing volume: C JPM WFC BAC GS USO DIS BA

Gilead Sciences (GILD) 30-day option implied volatility is at 66; compared to its 52-week range of 19 to 108 into Gilead says remdesivir improved 68% of COVID-19 patients in 53 person study. Call put ratio 2.9 calls to 1 put.

Regeneron (REGN) 30-day option implied volatility is at 54; compared to its 52-week range of 25 to 78 into anti-body research. Call put ratio 2.2 calls to 1 put.

United States Oil Fund (USO) 30-day option implied volatility is at 118; compared to its 52-week range of 23 to 172 into OPEC+ alliance agrees to cut production 9.7m barrels a day, Bloomberg reports. Call put ratio 2 calls to 1 put.

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 69; compared to its 52-week range of 16 to 130.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day option implied volatility is at 88; compared to its 52-week range of 28 to 190.

iShares MSCI Brazil (EWZ) 30-day call option implied volatility is at 70; compared to its 52-week range of 22 to 145.

Ishares Msci Mexico Capped Etf (EWW) 30-day call option implied volatility is at 53; compared to its 52-week range of 15 to 106.

Market Vectors Russia ETF Trust (RSX) 30-day call option implied volatility is at 49; compared to its 52-week range of 16 to 109.

Straddle prices for stocks expected to report quarterly results this week

Fastenal (FAST) April 32.50 straddle priced for a move of 9.5% into the expected release of quarter results before the bell on April 14.

Infosys (INFY) April 8 straddle priced for a move of 13% into the expected release of quarter results before the bell on April 14.

Johnson & Johnson (JNJ) April 141 straddle priced for a move of 8% into the expected release of quarter results before the bell on April 14.

JPMorgan (JPM) April 103 straddle priced for a move of 8% into the expected release of quarter results before the bell on April 14.

United Airlines (UAL) April 31 straddle priced for a move of 10% into the expected release of quarter results before the bell on April 14.

Wells Fargo (WFC) April 33.50 straddle priced for a move of 10% into the expected release of quarter results before the bell on April 14.

Bed Bath & Beyond (BBBY) April 5.5 straddle priced for a move of 27% into the expected release of quarter results after the bell on April 15.

Citigroup (C) April 47.50 straddle priced for a move of 11% into the expected release of quarter results before the bell on April 15.

Goldman Sachs (GS) April 185 straddle priced for a move of 9% into the expected release of quarter results before the bell on April 15.

Las Vegas Sands (LVS) April 48 straddle priced for a move of 11% into the expected release of quarter results on April 15.

Morgan Stanley (MS) April 41 straddle priced for a move of 12% into the expected release of quarter results before the bell on April 15.

Schwab (SCHW) April straddle priced for a move of 11% into the expected release of quarter results before the bell on April 15.

PNC Financial Services (PNC) April 105 straddle priced for a move of 9% into the expected release of quarter results before the bell on April 15.

U.S. Bancorp (USB) April 38 straddle priced for a move of 8% into the expected release of quarter results before the bell on April 15.

Unitedhealth Group (UNH) April straddle priced for a move of 8% into the expected release of quarter results before the bell on April 15.

Abbott (ABT) April straddle priced for a move of % into the expected release of quarter results before the bell on April 16.

Bank of New York Mellon (BK) April straddle priced for a move of % into the expected release of quarter results before the bell on April 16.

BlackRock (BLK) April 86 straddle priced for a move of 8% into the expected release of quarter results before the bell on April 16.

Intuitive Surgical (ISRG) April 500 straddle priced for a move of 8% into the expected release of quarter results after the bell on April 16.

Taiwan Semiconductor (TSM) April 48.50 straddle priced for a move of 8% into the expected release of quarter results on April 16.

Kansas City Southern (KSU) April 137 straddle priced for a move of 10% into the expected release of quarter results before the bell on April 17.

Schlumberger (SLB) April 16 straddle priced for a move of 18% into the expected release of quarter results before the bell on April 17.

State Street (STT) April 60 straddle priced for a move of 13% into the expected release of quarter results before the bell on April 17.

Options with decreasing option implied volatility: IMMU LQD NUGT AMRN JNUG PLAY NLY NCLH W
Increasing unusual option volume: LBTYK NLSN IVR UCO BLMN APD TWO
Increasing unusual call option volume: BLMN APD MUR ABR UCO
Increasing unusual put option volume: UCO PLD IRM BKLN GSX OKE DUK
Popular stocks with increasing unusual: DAL CCL AAL OXY
Active options: AAPL BAC TSLA MSFT AMD BA AAL OXY F XOM DIS SQ JPM GE AMZN DAL CCL FB WFC NVDA
Global S&P Futures are recently down 1.3% in premarket, Nikkei down 2.2%, DAX holiday, WTI Crude oil is recently at $23.17, natural gas up 3%, gold at $1740 an ounce