Pre-Market IV Report February 28, 2020

Pre-Market IV Report February 28, 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 going to increase on open.

Stay with Market Rebellion for insights you can only find here

Options with increasing option implied volatility: QQQ SPY HYG RUT IWM APT GUSH MRNA UVXY RCL CCL UAL AAL DAL AMRN MGM X AMRN MCD JNJ XLE EWW CGC

Options expected to have increasing volume: SPY QQQ IWM RUT XLF FTCH BYND VMW DELL IQ CME FCX GLW CLX NEM DAL JPM C BAC AAL UAL ALK SAVE

S&P 500 Price Limits:

What are price limits and how do they function?

What happens when the underlying S&P 500 Index hits a circuit breaker level?
7% decline

A 7% decline (Level 1 circuit breaker) in the S&P 500 Index before 2:25 p.m. CT will trigger a NYSE Rule 80B trading halt for both the cash equity market AND all U.S.-based equity index futures and options, including E-mini S&P 500 and S&P 500 futures and options. Trading will resume once trading in the cash equity market resumes, with price limits expanded to Level 2 (13%). https://www.cmegroup.com/trading/equity-index/faq-sp-500-price-limits.html

S&P Dep Receipts (SPY) 30-day option implied volatility is at 35; compared to its 52-week range of 10 to 35.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 39; compared to its 52-week range of 12 to 39.

Russell 2000 Index (RUT) 30-day option implied volatility is at 37; compared to its 52-week range of 12 to 37 amid Covid-19 coronavirus.

Ishares Iboxx $ High Yield Corporate Bond Etf (HYG) 30-day option implied volatility is at 13; compared to its 52-week range of 5 to 13.

United States Oil Fund (USO) 30-day option implied volatility is at 47; compared to its 52-week range of 22 to 48 amid WTI Crude oil below $46.

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 32; compared to its 52-week range of 21 to 36 amid Covid-19 coronavirus.
Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 36; compared to its 52-week range of 13 to 36.
Ishares Msci Emerging Markets Etf (EEM) 30-day option implied volatility is at 33; compared to its 52-week range of 13 to 33 amid Covid-19 coronavirus.

Gilead Sciences (GILD) 30-day option implied volatility is at 53; compared to its 52-week range 19 to 54 amid Covid-19 coronavirus.

Large Cap Tech IV stays elevated

Apple (AAPL) 30-day option implied volatility is at 47; compared to its 52-week range to 18 to 46
Microsoft (MSFT) 30-day option implied volatility is at 45; compared to its 52-week range 15 to 46
Facebook (FB) 30-day option implied volatility is at 43; compared to its 52-week range 21 to 43
Netflix (NFLX) 30-day option implied volatility is at 49; compared to its 52-week range of 27 to 58
Alphabet (GOOGL) 30-day option implied volatility is at 39; compared to its 52-week range 14 to 39
Amazon (AMZN) 30-day option implied volatility is at 43; compared to its 52-week range 17 to 42

Travel stocks option implied volatility elevated

United Airlines (UAL) 30-day option implied volatility is at 77; compared to its 52-week range of 19 to 78
Delta (DAL) 30-day option implied volatility is at 59; compared to its 52-week range of 20 to 59
Southwest Airlines (LUV) 30-day option implied volatility is at 56; compared to its 52-week range of 18 to 56
American Airlines (AAL) 30-day option implied volatility is at 93; compared to its 52-week range 29 to 93
Alaska Air Group (ALK) 30-day option implied volatility is at 55; compared to its 52-week range of 20 to 55
Spirit (SAVE) 30-day option implied volatility is at 74; compared to its 52-week range of 31 to 75

Coronavirus stocks option implied volatility

Moderna (MRNA) 30-day option implied volatility is at 154; compared to its 52-week range of 51 to 156 amid coronavirus outbreak.

Novavax (NVAX) 30-day option implied volatility is at 269; compared to its 52-week range of 85 to 270 amid coronavirus outbreak.

Qiagen (QGEN) 30-day option implied volatility is at 71; compared to its 52-week range of 19 to 64 amid coronavirus outbreak.

Gilead Sciences (GILD) 30-day option implied volatility is at 53; compared to its 52-week range of 19 to 54 amid coronavirus outbreak.

Regeneron (REGN) 30-day option implied volatility is at 49; compared to its 52-week range of 27 to 50 amid coronavirus outbreak.

Alpha Pro Tech Ltd. (APT) 30-day option implied volatility is at 366; compared to its 52-week range of 40 to 358 amid coronavirus outbreak.

Lakeland Industries (LAKE) 30-day option implied volatility is at 269; compared to its 52-week range of 85 to 270 amid coronavirus outbreak.

Inovio Pharma (INO) 30-day option implied volatility is at 212; compared to its 52-week range of 61 to 232 amid coronavirus outbreak.

Moderna (MRNA) 30-day option implied volatility is at 153; compared to its 52-week range of 51 to 155 amid coronavirus outbreak.

Bank option implied volatility increases

BNY Mellon (BK) 30-day option implied volatility is at 38; compared to its 52-week range of 18 to 39
Comerica (CMA) 30-day option implied volatility is at 45; compared to its 52-week range of 22 to 46
KeyCorp (KEY) 30-day option implied volatility is at 43; compared to its 52-week range of 20 to 44
Citigroup (C) 30-day option implied volatility is at 43; compared to its 52-week range of 18 to 44
JPMorgan (JPM) 30-day option implied volatility is at 38; compared to its 52-week range of 15 to 38
PNC Financial (PNC) 30-day option implied volatility is at 38; compared to its 52-week range of 16 to 38
Bank of America (BAC) 30-day option implied volatility is at 43; compared to its 52-week range of 17 to 44
Wells Fargo (WFC) 30-day option implied volatility is at 36; compared to its 52-week range of 15 to 37
Goldman Sachs (GS) 30-day option implied volatility is at 41; compared to its 52-week range of 17 to 42
Morgan Stanley (MS) 30-day option implied volatility is at 44; compared to its 52-week range of 18 to 45

Implied volatility is the volatility expectation that is priced into individual options. All the inputs of an options pricing model are known (time to expiration, strike, price, interest rates) except for the volatility that the option is pricing in.

Straddle prices for stocks expected to report quarterly results next week

JD.com (JD) March weekly 38 straddle priced for a move of 11% into the expected release of quarter results before the bell on March 2

Tilray (TLRY) March weekly 14.50 straddle priced for a move of 14% into the expected release of quarter results after the bell on March 2

CME Group Fed Funds futures have recently trended towards a rate reduction.

Will a rate reduction make a difference? Rates cuts already baked in?

Options with decreasing option implied volatility: S DBX LL SPCE PANW
Increasing unusual option volume: EWG BKLN MRNA NCLH EWJ
Increasing unusual call option volume: CLX IOVA APT NVAX MAR
Increasing unusual put option volume: CZR EGHT PSTG SC EWG
Popular stocks with increasing unusual: DIS XOM GE BABA AMD
Active options: AAPL TSLA AMD MSFT AMD MSFT BAC SPCE UBER GILD F DIS AMZN GE BABA NFLX SQ FB MU XOM NVDA AAL

Global S&P Futures are recently down 50.25 from previous day. Nikkei 225 down 3.6%, DAX down 4.3% unchanged, WTI Crude oil is recently at $45.61, natural gas down 5.4%, gold at $1634 an ounce