Pre-Market IV Report March 13, 2020

Pre-Market IV Report March 13, 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: stocks across the board…. SPY QQQ RUT IWM….

Options expected to have increasing volume: SPY QQQ RUT IWM XLF ORCL ADBE JPM BAC GE DIS BA MGM CCL DAL TDOC ZM

Apple (AAPL) 30-day option implied volatility is at 77; compared to its 52-week range of 17 to 77 into says all 42 China stores now open after COVID-19 closures, Bloomberg reports.

Option implied volatility elevated, dividend yields have increased as stocks have moved lower on revenue concerns as U.S. 10 Year Treasury (US10:U.S.) yields 0.95%

S&P 500 (SPY) 30-day option implied volatility at 71; compared to its 52-week range of 10 to 71 with dividend yield of 2.2%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility at 68; compared to its 52-week range of 12 to 67 with dividend yield of 0.8%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

Vanguard High Dividend Yield Etf (VYM) 30-day option implied volatility at 73; compared to its 52-week range of 9 to 73 with dividend yield of 3.1%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

Ishares Select Dividend Etf (DVY) 30-day option implied volatility at 59; compared to its 52-week range of 9 to 60 with dividend yield of 4.8%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

Spdr S&p Dividend Etf (SDY) 30-day option implied volatility at 40; compared to its 52-week range of 8 to 48 with dividend yield of 3.3%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

Altria Group (MO) 30-day option implied volatility at 84; compared to its 52-week range of 17 to 58 with dividend yield of 9.3%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

Dow (DOW) 30-day option implied volatility at 123; compared to its 52-week range of 22 to 123 with dividend yield of 11.8%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

Exxon Mobil (XOM) 30-day option implied volatility at 95; compared to its 52-week range of 15 to 95 with dividend yield of 9.3%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

Valero Energy (VLO) 30-day option implied volatility at 118; compared to its 52-week range of 22 to 119 with dividend yield of 8.9%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

Prudential Financial (PRU) 30-day option implied volatility at 126; compared to its 52-week range of 17 to 112 with dividend yield of 9.5%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

Comerica (CMA) 30-day option implied volatility at 125; compared to its 52-week range of 22 to 126 with dividend yield of 7.7%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

AT&T (T) 30-day option implied volatility at 80; compared to its 52-week range of 15 to 81 with dividend yield of 6.6%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

Verizon (VZ) 30-day option implied volatility at 62; compared to its 52-week range of 12 to 43 with dividend yield of 4.8%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

Chevron (CVX) 30-day option implied volatility at 91; compared to its 52-week range of 15 to 88 with dividend yield of 6.7%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

Wells Fargo (WFC) 30-day option implied volatility at 109; compared to its 52-week range of 16 to 109 with dividend yield of 7.5%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

AbbVIe (ABBV) 30-day option implied volatility at 58; compared to its 52-week range of 20 to 59 with dividend yield of 6%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

Seagate (STX) 30-day option implied volatility at 72; compared to its 52-week range of 23 to 76 with dividend yield of 5.8%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

Kinder Morgan (KMI) 30-day option implied volatility at 108; compared to its 52-week range of 16 to 109 with dividend yield of 7.2%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

Apple (AAPL) 30-day option implied volatility is at 77; compared to its 52-week range of 17 to 77 with dividend yield of 1.2%, U.S. 10 Year Treasury (US10:U.S.) yield 0.95%.

Straddle prices for stocks expected to report quarterly results next week

Cronos (CRON) March 4.5 straddle priced for a move of 22% into the expected release of quarter results on March 17

FedEx (FDX) March 97 straddle priced for a move of 20% into the expected release of quarter results after the bell on March 17

Accenture (ACN) March 152 straddle priced for a move of 11% into the expected release of quarter results before the bell on March 19

Commercial Metals (CMC) March 14 straddle priced for a move of 23% into the expected release of quarter results before the bell on March 19

Darden (DRI) March 60 straddle priced for a move of 22% into the expected release of quarter results before the bell on March 19

Lennar (LEN) March 47.50 straddle priced for a move of 17% into the expected release of quarter results before the bell on March 19

Option implied volatility for shelf food stocks

General Mills (GIS) 30-day option implied volatility is at 70; compared to its 52-week range of 16 to 72

Mondelez (MDLZ) 30-day option implied volatility is at 68, compared to its 52-week range of 13 to 76

Kraft Heinz (KHC) 30-day option implied volatility is at 82; compared to its 52-week range of 20 to 83

ConAgra Brands (CAG) 30-day option implied volatility is at 79, compared to its 52-week range of 23 to 81

Kellogg (K) 30-day option implied volatility is at 64; compared to its 52-week range of 16 to 64

Campbell Soup (CPB) 30-day option implied volatility is at 61; compared to its 52-week range of 16 to 60

Options with decreasing option implied volatility:
Increasing unusual option volume: EWP TWO FXH EWI SBRA GNMK
Increasing unusual call option volume: TWO GNMK THC PEG LRN SU SYF
Increasing unusual put option volume: EWP CLNY FXH WEN EWI TAN WWE
Popular stocks with increasing unusual: BA MGM CCL DAL DIS
Active options: AAPL BAC MSFT TSLA AMD DIS GE UBER BA AMZN AAL MU FB MGM F BABA CCL DAL CGC NFLX
Global S&P Futures are recently up 65.00 from previous day. Nikkei 225 down 6%, DAX up 1.3%, WTI Crude oil is recently at $33, natural gas down 3%, gold at $1585 an ounce

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