Pre-Market IV Report April 28, 2020

Pre-Market IV Report April 28, 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: HOG AMGN GOOGL GOOG CLR LUV INO JCP UUUU ACB IQ OAS UNG NAT JCP WLL NUGT

Options expected to have increasing volume: FFIV HOG GLW CMI PEP FB AMD GOOG CAT MRK PFE SBUX PEP UPS DB GOOGL BP DHR USO

Market and FANG IV at lower end of four-week range

SPDR S&P 500 ETF Trust (SPY) 30-day call option implied volatility is at 28; compared to its 52-week range 10 to 77 into the world’s three biggest central banks — the Federal Reserve, the European Central Bank and the Bank of Japan — meet to discuss monetary policy.

Financial Select Sector SPDR ETF (XLF) 30-day call option implied volatility is at 38; compared to its 52-week range of 13 to 111.

BP Plc (BP) May weekly option implied volatility is at 62, May is at 61; compared to its 52-week range of 15 to 154 into shares mixed in the premarket after quarter results and outlook.

Exxon Mobil (XOM) May weekly option implied volatility is at 65, May is at 50; compared to its 52-week range of 16 to 110 into the expected release of quarter results after the bell on May 1.

Royal Dutch Shell (RDSa.) May weekly option implied volatility is at 42, May is at 41; compared to its 52-week range of 14 to 170. Call put ratio 8.6 calls to 1 put.

ConocoPhillips (COP) May weekly option implied volatility is at 73, May is at 65; compared to its 52-week range of 20 to 150 into expected release of quarter results on April 30. Call put ratio 1.2 calls to 1 put.

Chevron (CVX) May weekly option implied volatility is at 59, May is at 49; compared to its 52-week range of 50 to 112 into the expected release of quarter results before the bell on May 1. Call put ratio 1.2 calls to 1 put.

Amazon (AMZN) May weekly call option implied volatility is at 73, May is at 49; compared to its 52-week range of 17 to 69 into the expected release of quarter results on April 30. Call put ratio 1.3 calls to 1 put.

Straddle prices for stocks into quarter results, outlook, cash flow and capital outlook

Advanced Micro Devices (AMD) May weekly 56 straddle priced for a move of 10% into the expected release of quarter results today after the bell.

Alphabet (GOOGL) May weekly 1270 straddle priced for a move of 6% into the expected release of quarter results today after the bell.

Starbucks (SBUX) May weekly 78 straddle priced for a move of 8.5% into the expected release of quarter results today after the bell.

Annaly (NLY) May weekly 6 straddle priced for a move of 9% into the expected release of quarter results after the bell on April 29.

Archer-Daniels-Midland (ADM) May weekly 36.50 straddle priced for a move of 4.5% into the expected release of quarter results after the bell on April 29.

Blue Apron (APRN) May 11 straddle priced for a move of 36% into the expected release of quarter results before the bell on April 29.

Boeing (BA) May weekly 129 straddle priced for a move of 10% into the expected release of quarter results on April 29.

Boston Scientific (BSX) May weekly 37 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on April 29.

Brinker (EAT) May 17.50 straddle priced for a move of 28% into the expected release of quarter results before the bell on April 29.

Caesars (CZR) May weekly 9 straddle priced for a move of 9% into the expected release of quarter results on April 29.

CVS Health (CVS) May weekly 63.50 straddle priced for a move of 6% into the expected release of quarter results before the bell on April 29.

eBay (EBAY) May weekly 39.50 straddle priced for a move of 8% into the expected release of quarter results after the bell on April 29.

Facebook (FB) May weekly 187.50 straddle priced for a move of 8% into the expected release of quarter results after the bell on April 29.

Fitibit (FIT) May weekly 7 straddle priced for a move of 5% into the expected release of quarter results on April 29.

Garmin (GRMN) May 80 straddle priced for a move of 8% into the expected release of quarter results before the bell on April 29.

General Dynamics (GD) May weekly 134 straddle priced for a move of 7.5% into the expected release of quarter results before the bell on April 29.

Hasbro (HAS) May weekly 76.50 straddle priced for a move of 14% into the expected release of quarter results before the bell on April 29.

Hilton (HLT) May 75 straddle priced for a move of 11% into the expected release of quarter results before the bell on April 29.

Host Hotels (HST) May 12 straddle priced for a move of 10% into the expected release of quarter results on April 29.

Humana (HUM) May weekly 372.50 straddle priced for a move of 4.5% into the expected release of quarter results on April 29.

Microsoft (MSFT) May weekly 175 straddle priced for a move of 5.5% into the expected release of quarter results after the bell on April 29.

Norfolk Southern (NSC) May weekly 167 straddle priced for a move of 8% into the expected release of quarter results before the bell on April 29.

Northrop Grumman (NOC) May weekly 345 straddle priced for a move of 7% into the expected release of quarter results before the bell on April 29.

Pilgrim’s Pride (PPC) May 20 straddle priced for a move of 16% into the expected release of quarter results after the bell on April 29.

Qualcomm (QCOM) May weekly 76 straddle priced for a move of 8% into the expected release of quarter results after the bell on April 29.

Teladoc Health (TDOC) May weekly 195 straddle priced for a move of 12% into the expected release of quarter results after the bell on April 29.

Tesla (TSLA) May weekly 800 straddle priced for a move of 13% into the expected release of quarter results after the bell on April 29.

YUM! Brands (YUM) May weekly 88 straddle priced for a move of 12% into the expected release of quarter results before the bell on April 29.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 12; compared to its 52-week range of 4 to 75 into the world’s three biggest central banks — the Federal Reserve, the European Central Bank and the Bank of Japan — meet to discuss monetary policy. Call put ratio 1 call to 8.6 puts.

Options with decreasing option implied volatility: CZR LQD AMRN JNUG WYNN MGM
Increasing unusual option volume: NAT GNC VSTM DVAX AUDC HOG ERJ FLIR LH
Increasing unusual call option volume: NAT GNC DVAX VSTM TPX HOG TIF RIO
Increasing unusual put option volume: AXSM HOG NAT EWC EWA HBI
Popular stocks with increasing unusual volume: ZM NAT INO AAL BYND BA
Active options: TSLA AAPL AMD BAC MSFT FB BA BYND TRLRY SNAP ZM NAT NVDA DIS NFLX INO GE DAL AAL
Global S&P Futures are recently up 30.10 in premarket, Nikkei mixed, DAX up 1.2%, WTI Crude oil is recently at $11.90, natural gas down 1%, gold at $1724 an ounce