Pre-Market IV Report February 27, 2020

Pre-Market IV Report February 27, 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.

Option implied volatility is making dramatic moves, suggesting large share price movement risk

Options with increasing option implied volatility: QQQ EWW EWJ DIA XLY AMRN FIT JNJ MCD CRWD APT MRNA RCL CCL UCO ERX NCLH

Options expected to have increasing volume: BUD CLR BOX DDD GILD BKNG LB MAR BBY DELL VMW INTC AAPL MSFT

S&P Dep Receipts (SPY) February weekly call option implied volatility is at 35, March is at 24; compared to its 52-week range of 10 to 25.

PowerShares QQQ Trust (QQQ) 30-day call option implied volatility is at 43, March is at 29; compared to its 52-week range of 12 to 28. Call put ratio 1 call to 1.7 puts.

Market Vectors Gold Miners ETF (GDX) February weekly call option implied volatility is at 39, March is at 31; compared to its 52-week range of 21 to 36. Call put ratio 7.3 calls to 1 put.

Financial Select Sector SPDR ETF (XLF) February weekly call option implied volatility is at 32, March is at 24; compared to its 52-week range of 13 to 28. Call put ratio 1 call to 2.2 puts.

Ishares Msci Emerging Markets Etf (EEM) February weekly call option implied volatility is at 33, March is at 26; compared to its 52-week range of 14 to 26. Call put ratio 1 call to 2.8 puts.

United States Oil Fund (USO) February weekly call option implied volatility is at 48, March is at 43; compared to its 52-week range of 22 to 47 as WTI Crude trades $48.20. Call put ratio 1 call to 1 put.

Large Cap Tech IV stays elevated

Apple (AAPL) February weekly call option implied volatility is at 48, March is at 36; compared to its 26-week range of 18 to 38.

Microsoft (MSFT) February weekly call option implied volatility is at 45, March is at 37; compared to its 26-week range of 15 to 37.

Facebook (FB) February weekly call option implied volatility is at 43, March is at 35; compared to its 26-week range of 21 to 39.

Netflix (NFLX) February weekly call option implied volatility is at 48, March is at 41; compared to its 26-week range of 27 to 58.

Alphabet (GOOGL) February weekly call option implied volatility is at 41, March is at 30; compared to its 26-week range of 14 to 34.

Amazon (AMZN) February weekly call option implied volatility is at 44, March is at 33; compared to its 26-week range of 17 to 35.

Travel stocks option implied volatility elevated

United Airlines (UAL) February weekly call option implied volatility is at 97, March is at 64; compared to its 52-week range of 20 to 64 amid China coronavirus outbreak.

Delta (DAL) February weekly call option implied volatility is at 77, March is at 50; compared to its 52-week range of 20 to 50 amid impact of COVID-19. Call put ratio 1 call to 2 puts.

Southwest Airlines (LUV) February weekly call option implied volatility is at 66, March is at 44; compared to its 52-week range of 18 to 43 amid impact of coronavirus outbreak.

American Airlines (AAL) February weekly call option implied volatility is at 100, March is at 72; compared to its 52-week range of 29 to 73 amid China virus outbreak.

Alaska Air Group (ALK) March call option implied volatility is at 41, April is at 38; compared to its 52-week range of 21 to 41 amid China virus outbreak.

Hotel and cruise ship option implied volatility amid Coronavirus outbreak

Marriott (MAR) February weekly call option implied volatility is at 130, March is at 44; compared to its 52-week range of 17 to 60 into EPS and guidance of cannot fully estimate financial impact from coronavirus.

Hilton (HLT) March call option implied volatility is at 40, April is at 34; compared to its 52-week range of 18 to 43. Call put ratio 1 call to 11 puts.

Hyatt (H) March option implied volatility is at 38, April is at 34; compared to its 52-week range of 18 to 45. Call put ratio 1 call to 31 puts.

Host Hotels & Resorts (HST) February weekly call option implied volatility is at 30, March is at 29; compared to its 52-week range of 16 to 38. Call put ratio 1 call to 23 puts.

Royal Caribbean Cruises (RCL) February weekly call option implied volatility is at 120, March is at 86; compared to its 52-week range of 20 to 85. Call put ratio 1 call to 3.8 puts.

Carnival Cruise Lines (CCL) February weekly call option implied volatility is at 100, March is at 80; compared to its 52-week range of 18 to 81. Call put ratio 1 call to 4 puts.

Norwegian Cruise Line (NCLH) February weekly call option implied volatility is at 81, March is at 70; compared to its 52-week range of 20 to 79. Call put ratio 1 call to 6.5 puts.

Amusement parks option implied volatility elevated on coronavirus fears:

Cedar Fair L.P. (FUN) 30-day option implied volatility is at 46; compared to its 52-week range of 17 to 45 amid coronavirus fears. Call put ratio 1 call to 6 puts.

SeaWorld Entertainment (SEAS) 30-day option implied volatility is at 53; compared to its 52-week range of 31 to 68 amid coronavirus fears.

Six Flags Entertainment (SIX) 30-day option implied volatility is at 65; compared to its 52-week range of 22 to 65 amid coronavirus.

Madison Square Garden (MSG) 30-day option implied volatility is at 40; compared to its 52-week range of 18 to 40 amid coronavirus.

Live Nation (LYV) 30-day option implied volatility is at 54; compared to its 52-week range of 20 to 57 amid coronavirus.

Disney (DIS) February weekly call option implied volatility is at 44, March is at 30; compared to its 52-week range of 15 to 34

Coronavirus stocks option implied volatility

Moderna (MRNA) 30-day option implied volatility is at 145; compared to its 52-week range of 51 to 155 amid the company shipping coronavirus vaccine mRNA-1273 to NIH for Phase I testing. Call put ratio 3.7 calls to 1 put.

Novavax (NVAX) March call option implied volatility is at 200, April is at 188; compared to its 52-week range of 83 to 318 amid China coronavirus outbreak. Call put ratio 3.4 calls to 1 put.

Inovio Pharma (INO) March call option implied volatility is at 175, April is at 160; compared to its 52-week range of 58 to 232 amid China coronavirus outbreak. Call put ratio 5.7 calls to 1 put.

Qiagen (QGEN) 30 day call option implied volatility is at 35; compared to its 52-week range of 18 to 64 into announces shipments of test kits for coronavirus SARS-CoV-2.

Straddle prices for stocks expected to report quarterly results this week

Baidu (BIDU) February weekly 124 straddle priced for a move of 5% into the expected release of quarter results today after the bell

Autodesk (ADSK) February weekly 190 straddle priced for a move of 7.5% into the expected release of quarter results today after the bell.

Best Buy (BBY) February weekly 82 straddle priced for a move of 8% into the expected release of quarter results today

Cronos (CRON) February weekly 6 straddle priced for a move of 6.5% into the expected release of quarter results today

Dell Technologies (DELL) March 46 straddle priced for a move of 14% into the expected release of quarter results today after the bell

Discovery (DISCA) March 27.50 straddle priced for a move of 9.5% into the expected release of quarter results on February 27

IQIYI (IQ) February weekly 24 straddle priced for a move of 9% into the expected release of quarter results today after the bell

VMWare (VMW) February weekly 145 straddle priced for a move of 7% into the expected release of quarter results today after the bell

Workday (WDAY) February weekly 175 straddle priced for a move of 7% into the expected release of quarter results today after the bell

Wayfair (W) February weekly 71 straddle priced for a move of 15% into the expected release of quarter results on February 28

Footlocker (FL) February weekly 34 straddle priced for a move of 12% into the expected release of quarter results before the bell on February 28

Options with decreasing option implied volatility: SPCE VHC S STMP DBX DBX TSLA PANW GRPN S

Options with increasing option implied volatility: QQQ EWW EWJ DIA XLY AMRN FIT JNJ MCD CRWD APT MRNA RCL CCL UCO ERX NCLH

Increasing unusual option volume: QRTEA HST GNC ERI MRNA VAC APT H NCLH

Increasing unusual call option volume: QRTEA HSBC ERI MRNA DXD LYB ORCL

Increasing unusual put option volume: HST IEF REAL EWG MRNA TRIP PZZA FTCH

Popular stocks with increasing unusual: AMRN UBER GILD DIS XOM ORCL

Active options: AAPL TSLA MSFT BAC SPCE AMD DIS UBER GILD BABA AMZN NVDA NIO FB MU GE NFLX XOM ORCL AMRN

Global S&P Futures are recently down 27.25 from previous day. Nikkei 225 down 2.1%, DAX down 2.1 unchanged, WTI Crude oil is recently at $48.11, natural gas down 2.8%, gold at $1650 an ounce