Pre-Market IV Report April 16, 2020

Pre-Market IV Report April 16, 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: GSX GME ACB AMC SDC ETFC FIXX ERX

Options expected to have increasing volume: UNH BLK BK STT BBBY ISRG PG SLB TSM

Apple (AAPL) call put ratio 1.4 calls to 1 put amid U.S. stores have been closed for one-month

Apple (AAPL) 30-day option implied volatility is at 44; compared to its 52-week range of 18 to 90. On March 17, 2020 Apple said retail stores outside China will be closed until further notice. Call put ratio 1.4 calls to 1 put.

Tesla (TSLA) April option implied amid shares price up 57% over 7-straight sessions

Tesla (TSLA) April option implied volatility is at 98, May is at 106; compared to its 52-week range of 34 to 154 after shares rally 57% over 7 straight sessions. Call put ratio 1 call to 1 put into the expected release of results after the bell on April 22.

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 44; compared to its 52-week range of 15 to 109. Call put ratio 1.2 calls to 1 put.

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 64; compared to its 52-week range of 21 to 146 into gold futures prices near 8-year high. Call put ratio 1.1 calls to 1 put.

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 68; compared to its 52-week range of 16 to 130 amid WTI Crude oil at $20. Call put ratio 1 call to 3 puts with focus on April puts expiring Friday.

Straddle prices for stocks expected to report quarterly results this week

Abbott (ABT) April 90 straddle priced for a move of 7% into the expected release of quarter results before today before the bell.

Bank of New York Mellon (BK) April 34.50 straddle priced for a move of 12% into the expected release of quarter results today before the bell.

BlackRock (BLK) April 442 straddle priced for a move of 8% into the expected release of quarter results today before the bell.

Morgan Stanley (MS) April 38 straddle priced for a move of 13% into the expected release of quarter results today before the bell.

KeyCorp (KEY) April 10.50 straddle priced for a move of 30% into the expected release of quarter results today before the bell.

Rite Aid (RAD) April 14.5 straddle priced for a move of 25% into the expected release of quarter results today before the bell.

Lovesac (LOVE) April straddle priced for a move of 32% into the expected release of quarter results today before the bell.

Intuitive Surgical (ISRG) April 510 straddle priced for a move of 6% into the expected release of quarter results today after the bell.

Taiwan Semiconductor (TSM) April 50 straddle priced for a move of 6% into the expected release of quarter results today.

Kansas City Southern (KSU) April 134 straddle priced for a move of 7% into the expected release of quarter results before the bell on April 17.

Procter & Gamble Company (PG) April 121 straddle priced for a move of 5% into the expected release of quarter results before the bell on April 17.

Schlumberger (SLB) April 15 straddle priced for a move of 8.5% into the expected release of quarter results before the bell on April 17.

State Street (STT) April 57.50 straddle priced for a move of 11% into the expected release of quarter results before the bell on April 17.

Options with decreasing option implied volatility: NUGT MFA LQD AMRN JNUG XRT GSX M SCO C BAC GS MS
Increasing unusual option volume: XP MFC EWA OIL XLC
Increasing unusual call option volume: CBRL PEI TRIP UCO
Increasing unusual put option volume: XLC EWA CNP CZR TCO GSX
Popular stocks with increasing unusual: OXY ZM ET SPCE
Active options: BAC AAPL TSLA T AMD MSFT BA NFLX ROKU GE AMZN DAL FB AAL SPCE OXY JPM ZM XOM ET
Global S&P Futures are recently mixed up 12.50, Nikkei down 1.3%, DAX up 1.5%, WTI Crude oil is recently at $20, natural gas mixed, gold at $1755 an ounce