Pre-Market IV Report February 4, 2020

Pre-Market IV Report February 4, 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: TUP ZM ANF BURL TSLA KSS TGT JWN UNH BP EPD S TWTR F CHK KHC CCL DIS EZPW TPR

Options expected to have increasing volume: GOOG GOOGL BP NXPI SNE DIS SIRI MRK TSLA GM GRUB SPOT PTON CMG COP CLX GILD RL F WYNN MLCO LVS MGM

Tesla (TSLA) February weekly call option implied volatility is at 98, February is at 78; compared to its 52-week range of 34 to 76 share price up 263% since June, rose by another 19.8%. TSLA trades at 21 times its book value. Far out of the money calls and puts remain active with focus on February 1000 calls.

S&P Dep Receipts (SPY) February weekly call option implied volatility is at 22, February is at 17; compared to its 52-week range of 10 to 23 into Iowa caucus results delayed as Democratic Party finds ‘inconsistencies’ in caucus results. Global S&P Futures are recently up 37.05 from previous day.

Macau resorts option implied volatility into Macau casinos will close for two weeks to contain the spread coronavirus.

Wynn Resorts (WYNN) 30-day option implied volatility is at 48, compared to its 52-week range of 31 to 56 into Macau casinos will close for about two weeks to contain the spread of the deadly coronavirus after a hotel worker was locally infected, the city’s leader said on Tuesday.

Las Vegas Sands (LVS) 30-day option implied volatility is at 35, compared to its 52-week range of 22 to 45

MGM Resorts (MGM) 30-day option implied volatility is at 35, compared to its 52-week range of 20 to 41

Melco Resorts (MLCO) 30-day option implied volatility is at 52, compared to its 52-week range of 32 to 58

Straddle prices for stocks expected to report quarterly results this week

Snap (SNAP) February weekly 18 straddle priced for a move of 12% into the expected release of quarter results today

Walt Disney (DIS) February weekly 141 straddle priced for a move of 6% into the expected release of quarter results today

Adtran (ADTN) February 9 straddle priced for a move of 12% into the expected release of quarter results before the bell on February 5

Capri Holding (CPRI) February 30 straddle priced for a move of 12% into the expected release of quarter results before the bell on February 5

Carlyle Group (CG) February 32 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on February 5

Cognizant (CTSH) February weekly 62.50 straddle priced for a move of 5% into the expected release of quarter results after the bell on February 5

Coty (COTY) February weekly 10.50 straddle priced for a move of 9.5% into the expected release of quarter results before the bell on February 5

FireEye (FEYE) February weekly 16 straddle priced for a move of 8% into the expected release of quarter results after the bell on February 5

General Motors (GM) February weekly 34 straddle priced for a move of 5% into the expected release of quarter results on February 5

GoPro (GPRO) February weekly 4 straddle priced for a move of 17% into the expected release of quarter results after the bell on February 5

GrubHub (GRUB) February weekly 54 straddle priced for a move of 15% into the expected release of quarter results after the bell on February 5

Glaxosmithkline (GSK) February weekly 47 straddle priced for a move of 3% into the expected release of quarter results on February 5

Hanesbrands (HBI) February 13 straddle priced for a move of 12% into the expected release of quarter results before the bell on February 5

IRobot (IRBT) February weekly 47 straddle priced for a move of 17% into the expected release of quarter results after the bell on February 5

Merck (MRK) February weekly 87.50 straddle priced for a move of 3% into the expected release of quarter results before the bell on February 5

Nuance (NUAN) February 19 straddle priced for a move of 6.5% into the expected release of quarter results after the bell on February 5

Peloton (PTON) February weekly 33.50 straddle priced for a move of 16.5% into the expected release of quarter results after the bell on February 5

Qualcomm (QCOM) February weekly 86 straddle priced for a move of 5.5% into the expected release of quarter results after the bell on February 5

Skechers (SXK) February weekly 38 straddle priced for a move of 13% into the expected release of quarter results on February 5

Spirit Airlines (SAVE) February 42.50 straddle priced for a move of 9.5% into the expected release of quarter results after the bell on February 5

Suncor (SU) February weekly 30 straddle priced for a move of 3% into the expected release of quarter results on February 5

Tapestry (TPR) February weekly 26 straddle priced for a move of 10% into the expected release of quarter results on February 5

Twillio (TWLO) February weekly 128 straddle priced for a move of 9.5% into the expected release of quarter results after the bell on February 5

Yum China Holding (YUMC) February 42.5 straddle priced for a move of 8.5% into the expected release of quarter results on February 5

Zynga (ZNGA) February weekly 6 straddle priced for a move of 9.5% into the expected release of quarter results on February 5

Coronavirus.

Novavax (NVAX) February call option implied volatility is at 157, March is at 156; compared to its 52-week range of 85 to 350 amid coronavirus. Call put ratio 3.2 calls to 1 put with focus on February 6, 7 and 8 calls.

Lakeland Industries (LAKE) February call option implied volatility is at 74, March is at 73; compared to its 52-week range of 36 to 141 amid the China coronavirus. Call put ratio 4 calls to 1 put with focus on February 15 and 17.50 calls.

Alpha Pro Tech Ltd. (APT) February call option implied volatility is at 161, March is at 152; compared to its 52-week range of 40 to 208 amid the China coronavirus. Call put ratio 2.3 calls to 1 put with focus on February 5 and 7.5 calls.

Inovio Pharma (INO) February call option implied volatility is at 167, March is at 156; compared to its 52-week range of 58 to 232 amid the China coronavirus. Call put ratio 5.3 calls to 1 put with focus on May 5 and 8 calls.
Industrial metal stocks IV and share price impacted by coronavirus

Alcoa (AA) 30-day option implied volatility is at 46; compared to its 52-week range of 34 to 56

Arconic (ARNC) 30-day option implied volatility is at 31; compared to its 52-week range of 20 to 119

Century Aluminum (CENX) 30-day option implied volatility is at 69; compared to its 52-week range of 46 to 72.

Constellium (CSTM) 30-day option implied volatility is at 59; compared to its 52-week range of 37 to 68

Kaiser Aluminum (KALU) 30-day option implied volatility is at 22; compared to its 52-week range of 22 to 36

Options with decreasing option implied volatility: GE INTC XLNX MDLZ BBBY APT EXTR CREE CRUS EA
Increasing unusual option volume: MTDR EUFN DGII VET SNBR HIG ON VIAC ZM GDOT
Increasing unusual call option volume: VET EUFN INSM EPC RDUS INDA ZM GDOT
Increasing unusual put option volume: TUP ON NAV CARS MCHI BCRX YEXT CCJ INO HIG
Popular stocks with increasing unusual: GILD PCG UBER LK
Active options: TSLA AAPL AMD MSFT DIS BABA GILD LK FB NIO NFLX AMZN XOM PCG SQ GE ROKU T BYND UBER
Equity and Commodity Markets Movements
Global S&P Futures are recently up 37.05 from previous day. Nikkei 225 up 0.5%, DAX up 1.1%, WTI Crude oil is recently at $51.03, natural gas up 0.6%, gold at $1571 an ounce