Pre-Market IV Report February 24, 2020

Pre-Market IV Report February 24, 2020

Options with increasing option implied volatility: SPCE LL MIK SHAK CCL SQ UAL CHK FIT RAD AMRN PLUG

Options expected to have increasing volume: HP INTU PANW CRM I

Virgin Galactic Holdings (SPCE) February weekly call option implied volatility is at 226, March is at 190; compared to its 26-week range of 39 to 223 as Richard Branson’s spaceship company’s share price has wide price movement.

Market Vectors Gold Miners ETF (GDX) 30-day call option implied volatility is at 28; compared to its 52-week range of 21 to 36 after Gold futures prices were up about 4% for the week. Call put ratio 2.5 calls to 1 put.

S&P Dep Receipts (SPY) 30-day call option implied volatility is at 9; compared to its 52-week range of 10 to 23 after S&P 500 futures prices down about 1.25% for the week.

PowerShares QQQ Trust (QQQ) 30-day call option implied volatility is at 20; compared to its 52-week range of 12 to 26 after S&P 500 futures prices down about 1.9% for the week.

Financial Select Sector SPDR ETF (XLF) 30-day call option implied volatility is at 18; compared to its 52-week range of 13 to 26.
Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day call option implied volatility is at 29; compared to its 52-week range of 15 to 34 after 30-year US Treasury futures prices were up over 2 points for the week.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day call option implied volatility is at 14; compared to its 52-week range of 8 to 18 after 30-year US Treasury futures prices were up over 2 points for the week.

Intelsat S. A. (I) 30 day call option implied volatility is at 179: compared to its 52-week range of 57 to 260 into FCC meeting on February 28.

Peloton (PTON) February weekly call option implied volatility is at 83, March is at 70; compared to its 26-week range of 58 to 103 into IPO lock-up set to expire.

Inovio Pharma (INO) 30-day option implied volatility is at 174; compared to its 52-week range of 61 to 232 amid renewed concerns coronavirus spreading.

Lakeland Industries (LAKE) 30-day option implied volatility is at 114; compared to its 52-week range of 35 to 141 amid renewed concerns coronavirus spreading.

Novavax (NVAX) 30-day option implied volatility is at 202; compared to its 52-week range of 85 to 350 as coronavirus spreads.

Alpha Pro Tech Ltd. (APT) 30-day option implied volatility is at 153; compared to its 52-week range of 40 to 209 as coronavirus spreads.

American Airlines Group (AAL) February weekly call option implied volatility is at 37, March is at 34; compared to its 52-week range of 29 to 49 as coronavirus spreads.

Delta Air Lines (DAL) February weekly call option implied volatility is at 22, March is at 23; compared to its 52-week range of 20 to 34 amid concerns China virus is spreading.

Straddle prices for stocks expected to report quarterly results next week

Dillards (DDS) February weekly 60 straddle priced for a move of 12.5% into the expected release of quarter results today

Hertz (HTZ) February weekly 20 straddle priced for a move of 11% into the expected release of quarter results today after the bell

HP (HPQ) February weekly 22.5 straddle priced for a move of 7% into the expected release of quarter results today

Intuit (INTU) February weekly 300 straddle priced for a move of 5% into the expected release of quarter results today after the bell

Mylan (MYL) February weekly 21 straddle priced for a move of 10% into the expected release of quarter results today

Palo Alto Networks (PANW) February weekly 243 straddle priced for a move of 6.5% into the expected release of quarter results today after the bell

Shake Shack (SHAK) February weekly 75 straddle priced for a move of 13% into the expected release of quarter results today after the bell

Whiting Petroleum (WLL) February weekly 3 straddle priced for a move of 19% into the expected release of quarter results on February 24

American Tower (AMT) February weekly 247.50 straddle priced for a move of 6% into the expected release of quarter results on February 25

Cheniere Energy (LNG) February weekly 54 straddle priced for a move of 4% into the expected release of quarter results before the bell on February 25

Home Depot (HD) February weekly 245 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on February 25

Macys (M) February weekly 16.50 straddle priced for a move of 8% into the expected release of quarter results before the bell on February 25

Planet Fitness (PLNT) March 87.50 straddle priced for a move of 11.5% into the expected release of quarter results on February 25

RealReal (REAL) March 15 straddle priced for a move of 21% into the expected release of quarter results after the bell on February 25

Salesforce (CRM) February weekly 190 straddle priced for a move of 7% into the expected release of quarter results after the bell on February 25

Smile Direct (SDC) February weekly 12 straddle priced for a move of 23% into the expected release of quarter results after the bell on February 25

Toll Brother (TOL) February weekly 48 straddle priced for a move of 5% into the expected release of quarter results on February 27

WW International (WW) February weekly 38 straddle priced for a move of 9% into the expected release of quarter results on February 25

Options with decreasing option implied volatility: DPZ BBBY ENPH STMP S
Increasing unusual option volume: DK HMY WEN EEFT LLNW LL SFM
Increasing unusual call option volume: DK WEN HMY RLGY EGO LLNW SFM
Increasing unusual put option volume: FXY APPN BOIL ESPR
Popular stocks with increasing unusual: GILD ZG LL DBX NIO X SPCE
Active options: AAPL AMD MSFT TSLA SPCE AMZN GILD NVDA FB BABA ROKU BAC MU T NFLX DBX GE SQ NIO X
Global S&P Futures are recently down 52.00 from previous day. Nikkei 225 down 0.4%, DAX down unchanged, WTI Crude oil is recently at $51.95, natural gas down 2.6%, gold at $1671 an ounce