Pre-Market IV Report March 18, 2020

Pre-Market IV Report March 18, 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: IV across the board remains high…PENN CZR AMRN BKLN GME F SBUX APA BA DAL

Options expected to have increasing volume: SPY QQQ RUT IWM

High option implied volatility low liquidity.

Market Rebellion highlights option implied volatility market moves or metrics from a perspective you might not have seen.

S&P 500, WTI Crude Oil, 10-Year Treasury and Gold option implied volatility is near eight-year highs.

Treasury prices reversed their trend on Tuesday. Why? Margin liquidation? China selling to raise money….. inflict damage? Was this the bottom in yield amid 2021 and beyond budgets will increase on less tax revenue? TBT & TLT IV at upper end of range.

Regeneron (REGN) 30-day option implied volatility is at 77; compared to its 52-week range of 25 to 77 into CSO says COVID-19 vaccine ‘a year or two away’ reports CNBC.

Utilities Sel Sect Spdr Fd (XLU) 30-day option implied volatility is at 67; compared to its 52-week range of 9 to 70. Call put ratio 1 call to 2.6 puts with a focus on March 63 and January 58 puts.

Southern Co. (SO) 30-day option implied volatility is at 82; compared to its 52-week range of 13 to 93. Call put ratio 3 calls to 1 put.

Exelon Corp. (EXC) 30-day option implied volatility is at 76; compared to its 52-week range of 14 to 90. Call put ratio 4.7 to 1 put.

REIT ETF IV elevated as shares near seven-year low

Vanguard Reit Etf (VNQ) 30-day option implied volatility is at 74; compared to its 52-week range of 10 to 86 as share price near seven-year low.

Ishares U.s. Real Estate Etf (IYR) 30-day option implied volatility is at 71; compared to its 52-week range of 10 to 88.

Straddle prices for stocks expected to report quarterly results this week

General Mills (GIS) March 60 straddle priced for a move of 9% into the expected release of quarter results before the bell

Accenture (ACN) March 157.50 straddle priced for a move of 16% into the expected release of quarter results before the bell on March 19

Commercial Metals (CMC) March 13 straddle priced for a move of 25% into the expected release of quarter results before the bell on March 19

Darden (DRI) March 41 straddle priced for a move of 39% into the expected release of quarter results before the bell on March 19

Lennar (LEN) March 35 straddle priced for a move of 20% into the expected release of quarter results before the bell on March 19

Option implied volatility into Week of 3/13 EIA Petroleum Status Report to be released at 10:30

ExxonMobil (XOM) 30-day option implied volatility is at 83; compared to its 52-week range of 15 to 98

BP plc (BP) 30-day option implied volatility is at 114; compared to its 52-week range of 15 to 114

Chevron (CVX) 30-day option implied volatility is at 105; compared to its 52-week range of 15 to 105

Phillips 66 (PSX) 30-day option implied volatility is at 110; compared to its 52-week range of 17 to 137

Marathon Oil (MRO) 30-day option implied volatility is at 192; compared to its 52-week range of 30 to 210

Total (TOT) 30-day option implied volatility is at 105; compared to its 52-week range of 14 to 108
Continental Resources (CLR) 30-day option implied volatility is at 199; compared to its 52-week range of 35 to 208

EOG Resources (EOG) 30-day option implied volatility is at 140; compared to its 52-week range of 26 to 153

Transocean (RIG) 30-day option implied volatility is at 285; compared to its 52-week range of 44 to 441

Halliburton (HAL) 30-day option implied volatility is at 182; compared to its 52-week range of 28 to 203

Schlumberger Ltd. (SLB) 30-day option implied volatility is at 147; compared to its 52-week range of 25 to 147

Flour (FLR) 30-day option implied volatility is at 126; compared to its 52-week range of 26 to 177
Hotel stock option implied volatility elevated

Marriott (MAR) 30-day option implied volatility is at 153; compared to its 52-week range of 17 to 153.

Hilton Worldwide (HLT) 30-day option implied volatility is at 121; compared to its 52-week range of 18 to 123.

Choice Hotels (CHH) 30-day option implied volatility is at 117; compared to its 52-week range of 16 to 110.

Host Hotels & Resorts (HST) 30-day option implied volatility is at 142; compared to its 52-week range of 17 to 153.

Disney (DIS) 30-day option implied volatility is at 89; compared to its 52-week range of 18 to 102

Hyatt (H) 30-day option implied volatility is at 138; compared to its 52-week range of 18 to 165

Booking Holdings (BKNG) 30-day option implied volatility is at 97; compared to its 52-week range of 16 to 110

TripAdvisor (TRIP) 30-day option implied volatility is at 142; compared to its 52-week range of 29 to 180

Trivago (TRVG) 30-day option implied volatility is at 103; compared to its 52-week range of 50 to 130

Expedia (EXPE) 30-day option implied volatility is at 149; compared to its 52-week range of 20 to 180

Farfetch Limited (FTCH) 30-day option implied volatility is at 145; compared to its 52-week range of 46 to 118. Call put ratio 1 call to 19 puts with a focus on July 8 puts.

Quidel (QDEL) 30-day option implied volatility is at 64; compared to its 52-week range of 38 to 87 into gets emergency use authorization for Molecular COVID-19 diagnostic test.

Options with decreasing option implied volatility: XLU EFA XLE S
Increasing unusual option volume: BIL AER ADTN BKD ARNC
Increasing unusual call option volume: APRN OILU VXZ CONN GNC
Increasing unusual put option volume: BIL AER ARNC TIF FTCH
Popular stocks with increasing unusual: GILD LB EPXE ROKU AAL F
Active options: AAPL TSLA MSFT BAC AMD UBER AMD UBER BA FB AMZN GE AAL DIS F NVDA BABA GILD LB ROKU EXPE TWTR
Global S&P Futures are recently are down 4.7% in premarket. Nikkei 225 down 1.6%, DAX indicated lower in premarket, WTI Crude oil is recently at $26.22, natural gas down 3.7%, gold at $1499 an ounce