Pre-Market IV Report February 26, 2020

Pre-Market IV Report February 26, 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.

How high will option implied volatility go?

Options with increasing option implied volatility: IV up across the board. SPCE SDC CRM EWJ EWI XLE AAPL GILD RAD AMRN FIT CHK EWJ DIA SPY QQQ XLE APT MRNA AMRN

Options expected to have increasing volume: CRM SPCE BKNG LB LOW MAR TJX SDC BBY DELL VMW DIS AAPL BUD ADSK FL TOL AMRN PCG WW PZZA PLNT WEN

Gilead Sciences (GILD) February weekly call option implied volatility is at 57, March is at 40; compared to its 52-week range of 19 to 39 amid hopes for remdesivir, one of the only drugs right now that may have efficacy in treating the Covid-19 coronavirus. Call put ratio 5.2 calls to 1 put with focus on February weekly calls.

S&P Dep Receipts (SPY) February weekly call option implied volatility is at 37, March is at 24; compared to its 52-week range of 10 to 23.

PowerShares QQQ Trust (QQQ) 30-day call option implied volatility is at 43, March is at 30; compared to its 52-week range of 12 to 26. Call put ratio 1 call to 2.1 puts.

Market Vectors Gold Miners ETF (GDX) February weekly call option implied volatility is at 39, March is at 30; compared to its 52-week range of 21 to 36. Call put ratio 5 calls to 1 put.

Financial Select Sector SPDR ETF (XLF) February weekly call option implied volatility is at 27, March is at 20; compared to its 52-week range of 13 to 26. Call put ratio 1 call to 9 puts.

Ishares Msci Emerging Markets Etf (EEM) February weekly call option implied volatility is at 28, March is at 20; compared to its 52-week range of 14 to 25. Call put ratio 1 call to 2.1 puts.

Apple (AAPL) February weekly call option implied volatility is at 48, March is at 35; compared to its 26-week range of 18 to 35 into its company shareholder meeting today

Microsoft (MSFT) February weekly call option implied volatility is at 54, March is at 36; compared to its 26-week range of 15 to 32.

Facebook (FB) February weekly call option implied volatility is at 47, March is at 36; compared to its 26-week range of 21 to 40.

Netflix (NFLX) February weekly call option implied volatility is at 55, March is at 40; compared to its 26-week range of 27 to 58.

Alphabet (GOOGL) February weekly call option implied volatility is at 44, March is at 31; compared to its 26-week range of 14 to 34.

Amazon (AMZN) February weekly call option implied volatility is at 40, March is at 31; compared to its 26-week range of 17 to 35.

United Airlines (UAL) 30-day option implied volatility is at 52, compared to its 52-week range of 20 to 43 amid Coronavirus spreading.

Teladoc (TDOC) March call option implied volatility is at 76, April is at 63; compared to its 52-week range of 37 to 69 into the expected release of quarter results today. Call put ratio 3.4 calls to 1 put with focus on March 120 and 130 calls.

Intelsat S. A. (I) 30 day call option implied volatility is at 174: compared to its 52-week range of 57 to 260 into FCC meeting on February 28.

ExxonMobil (XOM) February weekly call option implied volatility is at 44, March is at 35; compared to its 52-week range of 15 to 28 as into company sponsored investor day on March 5.

Disney (DIS) February weekly call option implied volatility is at 43, March is at 30; compared to its 52-week range of 15 to 34 into announcing Bob Chapek has been named Chief Executive Officer, The Walt Disney Company, effective immediately.

Straddle prices for stocks expected to report quarterly results this week

TJX (TJX) March 60 straddle priced for a move of 6.5% into the expected release of quarter results today

Lowes (LOW) February weekly 118 straddle priced for a move of 7.5% into the expected release of quarter results today

3D Systems (DDD) February weekly 10.50 straddle priced for a move of 14% into the expected release of quarter results today after the bell

Box (BOX) March 15 straddle priced for a move of 14% into the expected release of quarter results today after the bell

Continental Resources (CLR) February weekly 22 straddle priced for a move of 9% into the expected release of quarter results today after the bell

L Brands (LB) February weekly 23.50 straddle priced for a move of 9% into the expected release of quarter results today after the bell

Marriott (MAR) February weekly 124 straddle priced for a move of 10% into the expected release of quarter results today after the bell

Nordstrom (JWN) February weekly 37 straddle priced for a move of 5% into the expected release of quarter results today after the bell

Baidu (BIDU) February weekly 124 straddle priced for a move of 6.5% into the expected release of quarter results after the bell on February 27

Autodesk (ADSK) February weekly 185 straddle priced for a move of 7.5% into the expected release of quarter results after the bell on February 27

Best Buy (BBY) February weekly 82 straddle priced for a move of 9% into the expected release of quarter results on February 27

Cronos (CRON) February weekly 6 straddle priced for a move of 9.5% into the expected release of quarter results on February 27

Dell Technologies (DELL) March 47 straddle priced for a move of 12% into the expected release of quarter results after the bell on February 27

Discovery (DISCA) March 27.50 straddle priced for a move of 9% into the expected release of quarter results on February 27

Gap (GPS) February weekly 15.50 straddle priced for a move of 6.5% into the expected release of quarter results on February 27

IQIYI (IQ) February weekly 24 straddle priced for a move of 12% into the expected release of quarter results after the bell on February 27

VMWare (VMW) February weekly 152 straddle priced for a move of 7.5% into the expected release of quarter results after the bell on February 27

Workday (WDAY) February weekly 175.50 straddle priced for a move of 8% into the expected release of quarter results after the bell on February 27

Footlocker (FL) February weekly 35.50 straddle priced for a move of 11.50% into the expected release of quarter results before the bell on February 28

Wayfair (W) February weekly 72 straddle priced for a move of 17% into the expected release of quarter results on February 28

Options with decreasing option implied volatility: PANW SHAK ENPH GRPN STMP S
Increasing unusual option volume: DXD MTDR GEL VGK MRNA IOVA YELP
Increasing unusual call option volume: DXD YELP MRNA IOVA NDLS
Increasing unusual put option volume: MTDR EWA GEL MNK KNX
Popular stocks with increasing unusual: SPCE UBER XOM DIS AAL MNK
Active options: AAPL MSFT TSLA AMD NIO BAC GE SPCE FB GILD AMZN NVDA MU UBER XOM DIS BABA TWTR AAL MNK
Global S&P Futures are recently down 20.05 from previous day. Nikkei 225 down 0.7%, DAX down 2.5 unchanged, WTI Crude oil is recently at $49.23, natural gas mixed, gold at $1653 an ounce

Higher option implied volatility results in higher premiums in an option product. In option pricing models, one knows all of the inputs (price of the underlying, how much time until expiration, strike price, interest rate etc) except how much the underlying price will move in the future. So, when the market sets the price (premium) through a bid-offer process, it is essentially a consensus of how much the “market” “thinks” the underlying might move from then until expiration; in other words, the option implied volatility.