Pre-Market IV Report March 10, 2020

Pre-Market IV Report March 10, 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: option IV up…..SPY QQQ EWW DIA XLF OPK LQD APA TECK DRIP BKLN AMRN CHNG XLE

Options expected to have increasing volume: SPY QQQ RUT IWM XLF USO TBT TLT GDX

Skew: March weekly, April and September option implied volatility at upper end of range

S&P 500 (SPY) March weekly calls option implied volatility is at 75, April is at 58, September is at 33; compared to its 52-week range of 10 to 50.

PowerShares QQQ Trust (QQQ) March weekly calls option implied volatility is at 71, April is at 48, September is at 34; compared to its 52-week range of 12 to 53.

Market Vectors Russia ETF Trust (RSX) 30-day option implied volatility is at 65; compared to its 52-week range of 16 to 65 into Russia’s President Vladimir Putin to hold Nationwide Vote on Constitutional Changes on April 22.

iShares China Large-Cap (FXI) March weekly and March call option implied volatility is at 43, April is at 39; compared to its 52-week range of 15 to 38 into President XI visit Wuhan China.

United States Oil Fund (USO) March weekly calls option implied volatility is at 180, April is at 99, October is at 58; compared to its 52-week range of 23 to 110

Energy Select Sector SPDR ETF (XLE) March weekly calls option implied volatility is at 87, April is at 79, October is at 33; compared to its 52-week range of 15 to 131

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) March weekly calls option implied volatility is at 199, April is at 150, October is at 77; compared to its 52-week range of 28 to 150

Financial Select Sector SPDR ETF (XLF) March weekly calls option implied volatility is at 66, April is at 59, September is at 25; compared to its 52-week range of 13 to 77.

Market Vectors Semiconductor ETF (SMH) March weekly calls option implied volatility is at 87, April is at 60, August is at 42; compared to its 52-week range of 19 to 63

Market Vectors Gold Miners ETF (GDX) March weekly calls option implied volatility is at 51, April is at 47, August is at 38; compared to its 52-week range of 21 to 52.

SPDR Gold Trust (GLD) March weekly calls option implied volatility is at 36, April is at 27, September is at 22; compared to its 52-week range of 8 to 30.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 35; compared to its 52-week range of 8 to 40

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 98; compared to its 52-week range of 16 to 98.

Db X-trackers Harvest Csi 300 China A – Shares Fund (ASHR) 30-day call option implied volatility is at 50; compared to its 52-week range of 17 to 50 into President XI visit Wuhan China.

Ishares Msci Italy Capped Etf (EWI) March call option implied volatility is at 48, April is at 45; compared to its 52-week range of 12 to 63 as Italy goes into nationwide lockdown amid coronavirus spreads. Call put ratio 1 call to 59 puts with focus on March and April puts.

Ishares Msci Mexico Capped Etf (EWW) 30-day option implied volatility is at 60; compared to its 52-week range of 15 to 60
iShares MSCI Brazil (EWZ) 30-day option implied volatility is at 66; compared to its 52-week range of 22 to 65

Disney (DIS) March weekly call option implied volatility is at 82, March at 72, April is at 58; compared to its 52-week range of 18 to 48 into shareholder meeting. Call put ratio 1 to 2.5 puts with focus on April 100 puts.

The ‘FANG’ stocks March weekly, April and September option implied volatility at upper end of range

Facebook (FB) March weekly call option implied volatility is at 72, April is at 50, September is at 38; compared to its 52-week range of 21 to 58.
Apple (AAPL) March weekly call option implied volatility is at 79, April is at 60, September is at 40; compared to its 52-week range of 17 to 63.
Netflix (NFLX) March weekly call option implied volatility is at 80, April is at 65, September is at 50; compared to its 52-week range of 27 to 67.
Alphabet (GOOG) March weekly call option implied volatility is at 68, April is at 50, September is at 38; compared to its 52-week range of 14 to 55.
Amazon (AMZN) March weekly call option implied volatility is at 61, April is at 50, September is at 37; compared to its 52-week range of 17 to 51.
Syneos Health (SYNH) March call option implied volatility is at 110, April is at 80; compared to its 52-week range of 27 to 81 after Reuters reported exploring a sale. Call put ratio 4.2 calls to 1 put with focus on April 60 and 70 calls.
Inovio Pharma (INO) March call option implied volatility is at 390, April is at 350; compared to its 52-week range of 60 to 378 amid China coronavirus resulting in wide share price movement. Call put ratio 1.5 calls to 1 put.

Straddle prices for stocks expected to report quarterly results this week

Dicks Sporting Goods (DKS) March weekly 34.50 straddle priced for a move of 16% into the expected release of quarter results today before the bell
United Natural Foods (UNFI) March 5 straddle priced for a move of 28% into the expected release of quarter results on March 11
Novavax (NVAX) March weekly 10 straddle priced for a move of 45% into the expected release of quarter results after the bell on March 11
Adobe (ADBE) March 305 straddle priced for a move of 10% into the expected release of quarter results after the bell on March 12
Gap Stores (GPS) March weekly 12 straddle priced for a move of 15% into the expected release of quarter results on March 12
Slack Technologies (WORK) March weekly 20 straddle priced for a move of 19% into the expected release of quarter results on March 12
Oracle (ORCL) March weekly 46 straddle priced for a move of 15% into the expected release of quarter results after the bell on March 12
Broadcom (AVGO) March weekly 250 straddle priced for a move of 14% into the expected release of quarter results after the bell on March 12
Jabil (JBL) March weekly 33 straddle priced for a move of 23% into the expected release of quarter results on March 12
Ulta Beauty (ULTA) March straddle priced for a move of 18% into the expected release of quarter results after the bell on March 12
Buckle (BKE) March 20 straddle priced for a move of 23% into the expected release of quarter results before the bell on March 13
Gogo (GOGO) March 3 straddle priced for a move of 27% into the expected release of quarter results before the bell on March 13

Bank Option Implied Volatility Elevated

Wells Fargo (WFC) 30 day option implied volatility at 70; compared to its 52-week range of 16 to 70
Citigroup (C) 30 day option implied volatility at 86; compared to its 52-week range of 17 to 86
JPMorgan (JPM) 30 day option implied volatility at 78; compared to its 52-week range of 15 to 77
PNC Financial Services (PNC) 30 day option implied volatility at 84; compared to its 52-week range of 16 to 84
State Street (STT) 30 day option implied volatility at 79; compared to its 52-week range of 23 to 79
Bank of America (BAC) 30 day option implied volatility at 81; compared to its 52-week range of 17 to 81
Goldman Sachs (GS) 30 day option implied volatility at 75; compared to its 52-week range of 18 to 75
Morgan Stanley (MS) 30 day option implied volatility at 73; compared to its 52-week range of 19 to 73
U.S. Bancorp (USB) 30 day option implied volatility at 73; compared to its 52-week range of 14 to 72

2020 new life normal. Escape velocity. Government policy. Treasury-debt interest rates

Five Crashes; How long to retrace? The Panic of 1907, Black Tuesday 1929, Black Monday 1987, The Great Recession 2008, The Flash Crash 2010, Coronavirus of 2020 … natural disaster, coronavirus, energy, forced solitude, lower rates, recession….

Options with decreasing option implied volatility: MEET XLK XLV SMSI
Increasing unusual option volume: QRTEA EWA EZU TECD CLR CLW MD EWI VGK OPK
Increasing unusual call option volume: CLR CLW MTZ MGM CY OPK OILU GUSH
Increasing unusual put option volume: QRTEA EWA CERN INO MAT OPK SCOR EWU
Popular stocks with increasing unusual: MGM DIS MCK XOM INO UBER CCL T
Active options: AAPL BAC TSLA AMD MSFT GE F MGM DIS MCK MU FB XOM GILD TWTR AMZN INO UBER CCL T
Global S&P Futures are recently up 84.05 from previous day. Nikkei 225 up 0.8%, DAX up 0.8, WTI Crude oil is recently at $32.66, natural gas up 3%, gold at $1662 an ounce