Pre-Market IV Report April 6, 2020

Pre-Market IV Report April 6, 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: NIO GME ACB BKLN GRPN XRT NLY SDC OXY LK AEO FCAU GSX GPS

Options expected to have increasing volume: ZM UCO XOM NFLX INTC LK

FAANG internet stocks, which have beaten the S&P 500 by 18% so far this year.

Facebook (FB) 30-day option implied volatility is at 56; compared to its 52-week range of 21 to 82.

Amazon.com (AMZN) 30-day option implied volatility is at 42; compared to its 52-week range of 17 to 69.

Netflix (NFLX) 30-day option implied volatility is at 61; compared to its 52-week range of 27 to 98.

Alphabet (GOOGL) 30-day option implied volatility is at 49; compared to its 52-week range of 14 to 76.

United States Oil Fund (USO) 30-day option implied volatility is at 139; compared to its 52-week range of 22 to 172 into the virtual meeting between OPEC and its allies scheduled for Monday has been postponed to Thursday. Call put ratio 2.2 calls to 1 put.

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 81; compared to its 52-week range of 16 to 130 amid WTI Oil above $27.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day option implied volatility is at 93; compared to its 52-week range of 28 to 190.

Gilead Sciences (GILD) 30-day option implied volatility is at 77; compared to its 52-week range of 19 to 108 into the expected release of clinical data for Gilead’s anti-viral drug remdesivir for the treatment of COVID-19. Call put ratio 2.4 calls to 1 put.

Regeneron (REGN) 30-day option implied volatility is at 56; compared to its 52-week range of 25 to 78. Call put ratio 4.2 calls to 1 put.

Zoom (ZM) 30-day option implied volatility is at 103; compared to its 52-week range of 35 to 136 amid New York City’s Department of Education had barred the use of Zoom for teaching after security breaches. Call put ratio 1.2 calls to 1 put.

Berkshire Hathaway Inc (BRKa.N) 30-day option implied volatility is at 39; compared to its 52-week range of 12 to 78.

Delta (DAL) 30-day option implied volatility is at 150; compared to its 52-week range of 20 to 265 into Warren Buffett’s Berkshire Hathaway Inc (BRKa.N) sold nearly 13M Delta shares for about $314M according to regulatory filings. Quarter release is expected on April 8.

Southwest Airlines (LUV) 30-day option implied volatility is at 95; compared to its 52-week range of 17 to 203 into Warren Buffett’s Berkshire Hathaway Inc (BRKa.N) sold roughly 2.3M Southwest shares for about $74M according to regulatory filings.

American Airlines (AAL) 30-day option implied volatility is at 176; compared to its 52-week range of 29 to 293.

United Airlines (UAL) 30-day option implied volatility is at 162; compared to its 52-week range of 20 to 418.

Straddle prices for stocks expected to report quarterly results this week

Levi Strauss (LEVI) April 10 straddle priced for a move of 13% into the expected release of quarter results after the bell on April 7.

Delta Air Lines (DAL) April weekly 22 straddle priced for a move of 16% before the bell on April 8.

Over the previous three-weeks bond yields and share prices collapsed, rebounded, and then fallen as IV has ticked lower. Today stocks are higher in pre-open.

Options with decreasing option implied volatility: AMRN GDX TLT NUGT JNUG
Increasing unusual option volume: SGMS NOAH MTSI CNNE ODFL COOP SAN
Increasing unusual call option volume: SGMS SAN REM CNNE UCO LADR
Increasing unusual put option volume: MTSI NOAH DVN LEVI GDS HTHT
Popular stocks with increasing unusual: UBER LK GILD CCL OXY
Active options: TSLA AAPL LK MSFT BA AMD BAC AAL GILD FB CCL OXY NVDA GE F DIS XOM AMZN UBER
Global S&P Futures are recently up 3% in premarket, Nikkei up 4%, DAX up 4%, WTI Crude oil is recently at $27.63, natural gas up 2.5%, gold at $1661 an ounce