Pre-Market IV Report March 16, 2020

Pre-Market IV Report March 16, 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

Financial Services implied volatility at upper end of range

Master Card (MA) 30-day option implied volatility is at 68; compared to its 52-week range of 16 to 85

American Express (AXP) 30-day option implied volatility is at 99; compared to its 52-week range of 14 to 105

Visa Inc Class A (V) 30-day option implied volatility is at 56; compared to its 52-week range of 16 to 85

Blackrock (BLK) 30-day option implied volatility is at 66; compared to its 52-week range of 15 to 91

Wells Fargo (WFC) 30 day option implied volatility is at 80; compared to its 52-week range of 16 to 108

Citigroup (C) 30 day option implied volatility is at 88; compared to its 52-week range of 18 to 108

JPMorgan (JPM) 30 day option implied volatility is at 73; compared to its 52-week range of 15 to 95

PNC Financial Services (PNC) 30 day option implied volatility at 84; compared to its 52-week range of 16 to 113

State Street (STT) 30 day option implied volatility at 85; compared to its 52-week range of 23 to 99

Bank of America (BAC) 30 day option implied volatility at 146; compared to its 52-week range of 17 to 113

Goldman Sachs (GS) 30 day option implied volatility at 75; compared to its 52-week range of 18 to 100

Morgan Stanley (MS) 30 day option implied volatility at 77; compared to its 52-week range of 19 to 105

U.S. Bancorp (USB) 30 day option implied volatility at 79; compared to its 52-week range of 14 to 104

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 104; compared to its 52-week range of 13 to 104 into Reuters writes, citing an industry trade group; The Financial Services Forum said its eight members – JPMorgan (JPM), Bank of America (BAC), Citigroup (C), Wells Fargo (WFC), Goldman Sachs (GS), Morgan Stanley (MS), Bank of New York Mellon (BK) and State Street (STT) – would each halt share repurchases through June 30. The banks will use their capital to lend to individuals and businesses affected by the coronavirus, Reuters reports.

The Fed cut 100 basis points in the overnight fed funds rate

The Fed seeks to avoid a credit crunch, as borrowers have difficulty repaying loans amid an almost total shutdown, keep the swap lines with other major central banks open….. Keep the banks functioning….Liquidity.

Duration of virus

Straddle prices for stocks expected to report quarterly results this week

Cronos (CRON) March 5.5 straddle priced for a move of 29% into the expected release of quarter results on March 17

FedEx (FDX) March 106 straddle priced for a move of 17% into the expected release of quarter results after the bell on March 17

Accenture (ACN) March 167 straddle priced for a move of 21% into the expected release of quarter results before the bell on March 19

Commercial Metals (CMC) March 15 straddle priced for a move of 26% into the expected release of quarter results before the bell on March 19

Darden (DRI) March 65 straddle priced for a move of 18% into the expected release of quarter results before the bell on March 19

Lennar (LEN) March 40 straddle priced for a move of 20% into the expected release of quarter results before the bell on March 19

Virus

Teladoc (TDOC) 30-day option implied volatility is at 104; compared to its 52-week range of 36 to 105 amid societal health net services surge during coronavirus.

Quest Diagnostics (DGX) 30-day option implied volatility is at 74; compared to its 52-week range of 15 to 74 after President Trump says asking pharmacies, labs to increase access to testing services.

Lab Corp. (LH) 30-day option implied volatility is at 76; compared to its 52-week range of 17 to 76 into President Trump says asking pharmacies, labs to increase access to testing services.

Micron (MU) 30-day option implied volatility is at 77; compared to its 52-week range of 30 to 111 into draw down $2.5B through revolving credit line.

Eli Lilly (LLY) 30-day option implied volatility is at 61; compared to its 52-week range of 16 to 61.

Aerospace stocks option implied volatility bid

Raytheon (RTN) 30-day option implied volatility is at 76; compared to its 52-week range of 16 to 81

United Technologies (UTX) 30-day option implied volatility is at 84; compared to its 52-week range of 15 to 88

Northrop Grumman (NOC) 30-day option implied volatility is at 68; compared to its 52-week range of 17 to 82

Lockheed Martin (LMT) 30-day option implied volatility is at 59; compared to its 52-week range of 14 to 76

General Dynamics (GD) 30-day option implied volatility is at 68; compared to its 52-week range of 15 to 73

Boeing (BA) 30-day option implied volatility is at 126; compared to its 52-week range of 23 to 131

L3Harris Technology (LHX) 30-day option implied volatility is at 57; compared to its 52-week range of 18 to 75

Huntington Ingalls Industries (HII) 30-day option implied volatility is at 71; compared to its 52-week range of 17 to 80

Honeywell (HON) 30-day option implied volatility is at 69; compared to its 52-week range of 14 to 80

Spirit AeroSystems (SPR) 30-day option implied volatility is at 105; compared to its 52-week range of 24 to 114

Huntington Ingalls Industries (HII) 30-day option implied volatility is at 71; compared to its 52-week range of 17 to 81

L3Harris Technologies (LHX) 30-day option implied volatility is at 57; compared to its 52-week range of 18 to 75

General Electric (GE) 30-day option implied volatility is at 113; compared to its 52-week range of 27 to 115

Options with decreasing option implied volatility: S CSCO
Increasing unusual option volume: AER NHC VSAT SBRA MD EWP SPWH
Increasing unusual call option volume: SPWH OIL EWG OPK NEP CENX
Increasing unusual put option volume: AER VSAT MD TECS SBRA
Popular stocks with increasing unusual: XOM AAL MGM
Active options: AAPL TSLA BAC MSFT AMD DIS F AAL FB AMZN T GE MGM MU UBER XOM BA NVDA NFLX TWTR
Global S&P Futures are recently down 120.00 from previous day. Nikkei 225 down 2%, DAX down 7.7%, WTI Crude oil is recently at $30, natural gas down 1%, gold at $1536 an ounce