Pre-Market IV Report March 11, 2020

Pre-Market IV Report March 11, 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: OPK XLK AMRN CCL CHK DD LUV DAL CLF GEL CLR DCP

Options expected to have increasing volume: AMGN HLT ATVI ALK MGM SPY QQQ XLE XOP SNY REGN

Sanofi (SNY) 30 day option implied volatility is at 48; compared to its 52-week range of 16 to 62 into WSJ reports, SNY & Regeneron (REGN) to launch trials of RA drug in COVID-19 cases.

Regeneron (REGN) 30 day option implied volatility is at 52; compared to its 52-week range of 25 to 58 into WSJ reports, Regeneron and Sanofi (SNY) to launch trials of RA drug in COVID-19 cases.

Apple (AAPL) March weekly call option implied volatility is at 69, March is at 57, April is at 50; compared to its 52-week range of 18 to 63.

Hospital groups IV amid virus

Community Health (CYH) 30-day option implied volatility is at 121; compared to its 52-week range of 60 to 127

HCA Healthcare (HCA) 30-day option implied volatility is at 65; compared to its 52-week range of 18 to 72

Tenet (THC) 30-day option implied volatility is at 112; compared to its 52-week range of 35 to 116

Universal Health (UHS) 30-day option implied volatility is at 55; compared to its 52-week range of 18 to 61.

Stocks impacted by social distancing

United Airlines (UAL) March weekly call option implied volatility is at 166, March is at 145, April is at 118; compared to its 52-week range of 20 to 138.

Delta (DAL) March weekly call option implied volatility is at 125, March is at 91, April is at 63; compared to its 52-week range of 20 to 95.

Southwest Airlines (LUV) March weekly call option implied volatility is at 116, March is at 98, April is at 81; compared to its 52-week range of 18 to 94.

American Airlines (AAL) March weekly call option implied volatility is at 190, March is at 166, April is at 145; compared to its 52-week range of 28 to 156.

Alaska Air Group (ALK) March call option implied volatility is at 126, April is at 91; compared to its 52-week range of 21 to 119.

Disney (DIS) March weekly call option implied volatility is at 85, March is at 67, April is at 57; compared to its 52-week range of 17 to 66 into annual shareholder meeting today.

Ishares Msci Germany Etf (EWG) March call option implied volatility is at 40, April is at 33; compared to its 52-week range of 12 to 55 into Christina Lagarde warns of major economic shock into ECB meeting on Thursday.

Ishares Msci Italy Capped Etf (EWI) March call option implied volatility is at 45, April is at 36; compared to its 52-week range of 13 to 63.

iShares MSCI Brazil (EWI) March call option implied volatility is at 63, April is at 48; compared to its 52-week range of 22 to 66.

Ishares Msci Mexico Capped Etf (EWW) March call option implied volatility is at 54, April is at 55; compared to its 52-week range of 15 to 66.

Market Vectors Russia ETF Trust (RSX) 30-day option implied volatility is at 61; 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. Call put ratio 1 call to 7 puts.

Amarin (AMRN) March call option implied volatility is at 120, April is at 140; compared to its 52-week range of 55 to 190 into Vascepa court’s patent litigation decision this spring.

Straddle prices for stocks expected to report quarterly results this week

United Natural Foods (UNFI) March 5 straddle priced for a move of 32% into the expected release of quarter results today

Novavax (NVAX) March weekly 10 straddle priced for a move of 42% into the expected release of quarter results today

Adobe (ADBE) March 330 straddle priced for a move of 9% 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 20% into the expected release of quarter results on March 12

Slack Technologies (WORK) March weekly 25 straddle priced for a move of 17% into the expected release of quarter results on March 12

Oracle (ORCL) March weekly 48.50 straddle priced for a move of 10% into the expected release of quarter results after the bell on March 12

Broadcom (AVGO) March weekly 262 straddle priced for a move of 9% into the expected release of quarter results after the bell on March 12

Jabil (JBL) March weekly 32 straddle priced for a move of 11% into the expected release of quarter results on March 12

Ulta Beauty (ULTA) March 240 straddle priced for a move of 13% into the expected release of quarter results after the bell on March 12

Buckle (BKE) March 18.75 straddle priced for a move of 20% into the expected release of quarter results before the bell on March 13

Gogo (GOGO) March 3 straddle priced for a move of 28% into the expected release of quarter results before the bell on March 13

30-day stock option implied volatility remains near 10-year high

Bond market option implied volatility elevated, near financial crisis of 2008-09.

Options with decreasing option implied volatility: AMLP APT OXY VIX CY MEET
Increasing unusual option volume: PRDO ENBL CY MGM SNCR EZU EWI EMB
Increasing unusual call option volume: CY MGM MX GUSH CPRT NGD VIRT TNK
Increasing unusual put option volume: CLDR NET STOR SNCR EMB MGM PRDO
Popular stocks with increasing unusual: UBER T MCK XOM MGM GILD
Active options: AAPL MGM BAC TSLA AMD MU DIS XOM F GE CCL AMZN FB UBER T MCK GILD BA
Global S&P Futures are recently down 44.05 from previous day. Nikkei 225 down 2%, DAX up 2%, WTI Crude oil is recently at $33, natural gas mixed, gold at $1658 an ounce