Pre-Market IV Report April 21, 2020

Pre-Market IV Report April 21, 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: ACB OIL OPK GSX PDD USO PDD UNG SDC UCO

Options expected to have increasing volume: NFLX KO LLY IBM T CMG XOM CVX COP OXY VLO PSX SJM V

Netflix (NFLX) April weekly call option implied volatility is at 152, May is at 76; compared to its 52-week range of 27 to 98 the expected release of quarter results today after the bell.

Chipotle Mexican Grill (CMG) April weekly call option implied volatility is at 111, May is at 64; compared to its 52-week range of 19 to 124 into the expected release of quarter results today after the bell.

Option implied volatility amid WTI Crude Oil back above zero after historic plunge.

Vanguard Energy Etf (VDE) 30-day option implied volatility is at 76; compared to its 52-week range of 16 to 131 into WTI Crude Oil back above zero after historic plunge.

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 73; compared to its 52-week range of 15 to 130.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day option implied volatility is at 89; compared to its 52-week range of 28 to 189.

Teekay Tankers Ltd (TNK) 30-day option implied volatility is at 113; compared to its 52-week range of 64 to 182.

International Seaways (INSW) 30-day option implied volatility is at 109; compared to its 52-week range of 30 to 138.

Euronav (EURN) 30-day option implied volatility is at 129; compared to its 52-week range of 26 to 145.

Scorpio Tankers (STNG) 30-day option implied volatility is at 149; compared to its 52-week range of 49 to 2
08.

Refiner option implied volatility amid energy price movement

Phillips 66 (PSX) 30-day option implied volatility is at 73; compared to its 52-week range of 17 to 118.

Marathon Petroleum (MPC) 30-day option implied volatility is at 94; compared to its 52-week range of 29 to 136.

Valero Energy (VLO) 30-day option implied volatility is at 81; compared to its 52-week range of 22 to 144.

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

iShares MSCI Brazil (EWZ) 30-day call option implied volatility is at 67; compared to its 52-week range of 22 to 145.

Ishares Msci Mexico Capped Etf (EWW) 30-day call option implied volatility is at 45; compared to its 52-week range of 15 to 103.

Ishares Msci South Korea Capped Etf (EWY) 30-day option implied volatility is at 44; compared to its 52-week range of 16 to 91 into reports from CNN, Bloomberg and Reuters of confusion over the state of North Korean leader Kim Jong’s health.

United States Natural Gas (UNG) 30-day option implied volatility is at 77; compared to its 52-week range of 21 to 82.

Straddle prices for stocks expected to report quarterly results this week

Alcoa (AA) April weekly 7.5 straddle priced for a move of 14% into the expected release of quarter results after the bell on April 22.

Allegiant (ALGT) May 70 straddle priced for a move of 25% into the expected release of quarter results on April 22.

AT&T (T) April weekly 31 straddle priced for a move of 7% into the expected release of quarter results before the bell on April 22.

Biogen (BIIB) April weekly 340 straddle priced for a move of 9% into the expected release of quarter results before the bell on April 22.

Delta (DAL) April weekly 24 straddle priced for a move of 13% into the expected release of quarter results before the bell on April 22.

Kimberly-Clark (KMB) April weekly 140 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on April 22.

Lam Research (LRCX) April weekly 265 straddle priced for a move of 10% into the expected release of quarter results after the bell on April 22.

Las Vegas Sands (LVS) April weekly 43 straddle priced for a move of 13% into the expected release of quarter results after the bell on April 22.

Seagate (STX) April weekly 50.50 straddle priced for a move of 16% into the expected release of quarter results on April 22.

Spirit Airlines (SAVE) May 12.50 straddle priced for a move of 30% into the expected release of quarter results on April 22.

Tesla (TSLA) April weekly 747 straddle priced for a move of 9% into the expected release of quarter results on April 22.

Visa (V) April weekly 165 straddle priced for a move of 5% into the expected release of quarter results on April 22.

Xilinx (XLNX) April weekly 89 straddle priced for a move of 12% into the expected release of quarter results on April 22.

Alaska Air (ALK) May 30 straddle priced for a move of 30% into the expected release of quarter results on April 23.

Amazon (AMZN) April weekly 2390 straddle priced for a move of 5.5% into the expected release of quarter results on April 23.

Bank OZK (OZK) May 17.50 straddle priced for a move of 16% into the expected release of quarter results on April 23.

Blackstone (BX) April weekly 48 straddle priced for a move of 9% into the expected release of quarter results before the bell on April 23.

Citrix (CTXS) April weekly 150 straddle priced for a move of 6% into the expected release of quarter results on April 23.

Domino’s Pizza (DPZ) April weekly 370 straddle priced for a move of 12% into the expected release of quarter results before the bell on April 23.

Freeport-McMoRan (FCX) April weekly 8 straddle priced for a move of 9% into the expected release of quarter results on April 23.

Hershey (HSY) April weekly 145 straddle priced for a move of 8% into the expected release of quarter results before the bell on April 23.

T-Mobile (TMUS) April weekly 90 straddle priced for a move of 7.5% into the expected release of quarter results on April 23.

World Wrestling Entertainment (WWE) May 40 straddle priced for a move of 16% into the expected release of quarter results on April 24.

American Airlines (AXP) April weekly 11 straddle priced for a move of 14% into the expected release of quarter results before the bell on April 24.

American Express (AXP) April weekly 84 straddle priced for a move of 9% into the expected release of quarter results before the bell on April 24.

Options with decreasing option implied volatility: KRE NUGT LQD JNUG AMRN
Increasing unusual option volume: OIL RUTH UCO NYT FLIR
Increasing unusual call option volume: OIL UCO IVR WTI FLIR OPK
Increasing unusual put option volume: OIL EWC UCO FITB BB USO
Popular stocks with increasing unusual: XOM WORK OXY SPCE GILD
Active options: AAPL AMD TSLA BAC MSFT BA BABA FB NFLX C GILD ROKU AMZN XOM WORK GE OXY SPCE DIS JPM

Global S&P Futures are recently down 9.66 in premarket, Nikkei down 1.9%, DAX up down 2.6%, WTI Crude oil is recently – $9.66, natural gas down 1.5%, gold at $1685 an ounce