Pre-Market IV Report January 30, 2020

Pre-Market IV Report January 30, 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: TSLA FB SNAP TWTR GPRO SHAK UPS CREE CRUS YINN W FL NTNX DDOG THC MLCO KHC MSFT S

Options expected to have increasing volume: PYPL ALGN FB TSLA CRUS CREE MSFT RDS.A DB LB LVS X UPS

Option implied volatility in equity and energy options ticked down while 10-Year Treasury option IV moved higher; all three remain elevated to the levels they were trading at prior to the coronavirus headlines.

Tesla (TSLA) January weekly call option implied volatility is at 177, February is at 70; compared to its 52-week range of 34 to 75 into positive Elon Musk comments on revenue growth.

Facebook (FB) January weekly call option implied volatility is at 84, February is at 45; compared to its 52-week range 22 to 43 on less than expected revenue growth after a recent run up of share price.

Option implied volatility into unknown impact Coronavirus has on consumption

United Airlines (UAL) 30-day option implied volatility is at 32, compared to its 52-week range of 20 to 35 into unknown impact Coronavirus has economic consumption.

Capri Holdings Limited (CPRI) 30-day option implied volatility is at 59, compared to its 52-week range of 31 to 69 into unknown impact Coronavirus has on consumption.

Tapestry (TPR) 30-day option implied volatility is at 46, compared to its 52-week range of 26 to 60 into unknown impact Coronavirus has on consumption.

RH (RH) 30-day option implied volatility is at 39, compared to its 52-week range of 32 to 94 into unknown impact Coronavirus has on consumption.

Ralph Lauren (RL) 30-day option implied volatility is at 41, compared to its 52-week range of 24 to 47 into unknown impact Coronavirus has on consumption.

Canada Goose (GOOS) 30-day option implied volatility is at 73, compared to its 52-week range of 39 to 82 into unknown impact Coronavirus has on consumption.

The RealReal Inc. (REAL) 30-day option implied volatility is at 72, compared to its 52-week range of 51 to 163 into unknown impact Coronavirus has on consumption.

General Motors Co. (GM) 30-day option implied volatility is at 30, compared to its 52-week range of 21 to 38 into unknown impact Coronavirus has on manufacturing.

Straddle prices for stocks expected to report quarterly results this week

Amgen (AMGN) January weekly 227.5 straddle priced for a move of 3% into the expected release of quarter results today after the bell
Amazon (AMZN) January weekly 1850 straddle priced for a move of 4% into the expected release of quarter results today after the bell
Biogen (BIIB) January weekly 282.50 straddle priced for a move of 5% into the expected release of quarter results today before the bell
Blackstone (BX) January weekly 62.50 straddle priced for a move of 3.5% into the expected release of quarter results today before the bell
Coca-Cola (KO) January weekly 57 straddle priced for a move of 3% into the expected release of quarter results today before the bell
Decker Outdoor (DECK) February 175 straddle priced for a move of 11% into the expected release of quarter results today after the bell
Electronic Arts (EA) January weekly 112 straddle priced for a move of 5.5% into the expected release of quarter results today after the bell
Hershey (HSY) January weekly 152.50 straddle priced for a move of 4% into the expected release of quarter results today
Spirit Aero Systems (SPR) February 67.50 straddle priced for a move of 11% into the expected release of quarter results today
Murphy Oil (MUR) February 22.50 straddle priced for a move of 8% into the expected release of quarter results on today before the bell
Northrup Grumman (NOC) January weekly 382.50 straddle priced for a move of 3.5% into the expected release of quarter results today before the bell
Raytheon (RTN) January weekly 227 straddle priced for a move of 4% into the expected release of quarter results today
Spirit Aero Systems (SPR) February 67.50 straddle priced for a move of 11% into the expected release of quarter results today
United Parcel (UPS) January weekly 116 straddle priced for a move of 4.5% into the expected release of quarter results today before the bell
United States Steel (X) January weekly 9.5 straddle priced for a move of 10% into the expected release of quarter results today
Verizon (VZ) January weekly 59.50 straddle priced for a move of 2.5% into the expected release of quarter results today before the bell
Visa (V) January weekly 202.50 straddle priced for a move of 3% into the expected release of quarter results today
Aon (AON) February 220 straddle priced for a move of 4% into the expected release of quarter results before the bell on January 31
Caterpillar (CAT) January weekly 136 straddle priced for a move of 4% into the expected release of quarter results before the bell on January 31
Chevron (CVX) January weekly 110 straddle priced for a move of 2% into the expected release of quarter results before the bell on January 31
Colgate (CL) January weekly 68.50 straddle priced for a move of 3% into the expected release of quarter results before the bell on January 31
Exxon Mobil (XOM) January weekly 60 straddle priced for a move of 3% into the expected release of quarter results before the bell on January 31
KKR (KKR) January weekly 31 straddle priced for a move of 4% into the expected release of quarter results before the bell on January 31
Honeywell (HON) January weekly 175 straddle priced for a move of 3% into the expected release of quarter results before the bell on January 31
Phillips 66 (PSX) January weekly 96 straddle priced for a move of 3% into the expected release of quarter results before the bell on January 31
Datadog, Inc. (DDOG) February call option implied volatility is at 74, March is at 60; compared to its 26-week range of 53 to 105 into expected release of quarter results on February 13. Call put ratio 7.7 calls to 1 put with focus on April 50 calls.

According to the Bloomberg World Interest Rate Probabilities, the chance of a cut in June almost doubled on Wednesday, to 52% from 28%. The market now thinks two cuts are likely over the next 12 months, compared to only one yesterday.

Increasing unusual option volume: PENN CLW SC DGX DT FG RMBS CVE LOPE FEYE VST SQ
Options expected to have increasing volume: PYPL ALGN FB TSLA CRUS CREE MSFT RDS.A DB LB LVS X UPS
Increasing unusual option volume: PENN CLW SC DGX DT FG RMBS CVE LOPE FEYE VST SQ
Increasing unusual call option volume: PENN VST CLW DGX AES CVE DT SC FG ESTC RMBS
Increasing unusual put option volume: QRTEA EXTR CC R XRAY PPG MCHI TXT QIWI LOPE APT DD
Popular stocks with increasing unusual: AMZN SBUX XOM GE AMD GS FB MSFT T TSLA
Active options: AAPL AMD FB TSLA MSFT BA T BABA NFLX SBUX SQ BYND NIO BAC DIS I INTC AMZN NVDA

Global S&P Futures are recently down 17.50 from previous day. Nikkei 225 down 1.7%, DAX down 0.7%, WTI Crude oil is recently at $52.62, natural gas down 1.1%, gold at $1584 an ounce