Pre-Market IV Report February 13, 2020

Pre-Market IV Report February 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: KHC DBX NVDA YELP YETI BABA DISH WMT ULTA ACBE SPCE SHAK TECK BABA

Options expected to have increasing volume: BABA AMAT TSLA MU PEP YETI YELP SPWR NUS MGM ATUS

China reports sharp spike in new virus cases and deaths

Alibaba (BABA) February weekly call option implied volatility is at 84, February is at 48; compared to its 52-week range of 22 to 45 into the expected release of quarter results today. Call put ratio 1.9 calls to 1 put.

Kraft Heinz (KHC) February weekly call option implied volatility is at 140, February is at 70, March is at 40; compared to its 52-week range of 20 to 51 into the expected release of quarter results today. Call put ratio 1 call to 1.1 puts.

IV flat for trillion dollar stocks near record highs

Amazon (AMZN) February weekly call option implied volatility is at 24, February is at 23, March is at 24; compared to its 52-week range of 17 to 34 as market capitalization valuation is above a trillion dollars.

Alphabet (GOOGL) February weekly call option implied volatility is at 18, February is at 17, March is at 19; compared to its 52-week range of 14 to 33 as market capitalization valuation is above a trillion dollars.

Microsoft (MSFT) February weekly call option implied volatility is at 31, February is at 27, March is at 26; compared to its 52-week range of 15 to 32 as market capitalization valuation is above a trillion dollars.

Apple (AAPL) February weekly call option implied volatility is at 27, February is at 23, March is at 24; compared to its 52-week range of 18 to 35 as market capitalization valuation is above a trillion dollars.

Straddle prices for stocks expected to report quarterly results this week

Kraft Heinz (KHC) February weekly 30 straddle priced for a move of 8.5% into the expected release of quarter results today before the bell

NVIDIA (NVDA) February weekly 272 straddle priced for a move of 7% into the expected release of quarter results today after the bell

Alibaba (BABA) February weekly 225 straddle priced for a move of 5% into the expected release of quarter results today

PepsiCo (PEP) February weekly 146 straddle priced for a move of 2.5% into the expected release of quarter results today

Roku (ROKU) February weekly 138 straddle priced for a move of 14% into the expected release of quarter results today after the bell

Kraft Heinz (KHC) February weekly 30 straddle priced for a move of 8.5% into the expected release of quarter results today before the bell

Yelp (YELP) February weekly 35 straddle priced for a move of 13.5% into the expected release of quarter results today after the bell

YETI (YETI) February weekly 35 straddle priced for a move of 12% into the expected release of quarter results today before the bell

Waste Management (WM) February 125 straddle priced for a move of 3% into the expected release of quarter results today before the bell

Zoetis (ZTS) February weekly 143 straddle priced for a move of 4% into the expected release of quarter results today before the bell

Astrazeneca (AZN) February weekly 50 straddle priced for a move of 4% into the expected release of quarter results before the bell on February 14

Newell Brands (NWL) February 20 straddle priced for a move of 11% into the expected release of quarter results before the bell on February 14

Yandex (YNDX) February weekly 49 straddle priced for a move of 5% into the expected release of quarter results before the bell on February 14

Cyber security stocks option implied volatility into RSA Conference 2020 on February 24 in San Francisco

Check Point (CHKP) 30 day option implied volatility is at 18; compared to its 52-week range of 17 to 32 into RSA Conference 2020.
F5 Networks (FFIV) 30 day option implied volatility is at 26; compared to its 52-week range of 21 to 38
FireEye (FEYE) 30 day option implied volatility is at 42; compared to its 52-week range of 31 to 57
Fortinet (FTNT) 30 day option implied volatility is at 27; compared to its 52-week range of 25 to 52
Proofpoint (PFPT) 30 day option implied volatility is at 29; compared to its 52-week range of 27 to 49
Qualys (QLYS) 30 day option implied volatility is at 44; compared to its 52-week range of 26 to 56
Palo Alto Networks (PANW) 30 day option implied volatility is at 36; compared to its 52-week range of 20 to 50
Fortinet (FTNT) 30 day option implied volatility is at 27; compared to its 52-week range of 25 to 52
CyberArk Software (CYBR) 30 day option implied volatility is at 36; compared to its 52-week range of 30 to 60 into RSA Conference 2020 on February 24.

Option implied volatility for S&P 500, WTI Crude Oil, Gold and 10-Year Treasury options is low relative to the last five years as SPY at another record close.

Markets are complacent an unelectable Presidential candidate will be elected from a brokered convention in Milwaukee.

Options with decreasing option implied volatility: S TWTR LYFT TEVA CSCO TMUS SHOP TTWO XLNX UAA
Increasing unusual option volume: WLL NOK AVT FG ELY MEET
Increasing unusual call option volume: SPWR MDLZ EGLE PLT PS WORK
Increasing unusual put option volume: WU EWJ SYF MYNG KNX NE
Popular stocks with increasing unusual: SPWR SPCE NIO TEVA ROKU GILD XOM LYFT SHOP
Active options: MSFT AAPL BABA TSLA AMD MU CSCO SPCE BA FB GE TEVA LYFT AMZN BBBY TWTR SHOP NVDA BAC XOM
Global S&P Futures are recently down 21.25 from previous day. Nikkei 225 down 0.1%, DAX down 0.4%, WTI Crude oil is recently at $50.87, natural gas down 0.1%, gold at $1577 an ounce