Pre-Market IV Report March 2, 2020

Pre-Market IV Report March 2, 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: QQQ SPY EWJ EWA NVAX EWW XLE SDS AMRN BKLN APT NVAX AAL

Options expected to have increasing volume: SPY QQQ IWM RUT XLF TWTR BCS NOK XOM CVX ZM ZOOM HOG AZN HPQ HP JWN ROST TGT CVX TLT TBT

Twitter (TWTR) March weekly call option implied volatility is at 60, February is at 57; compared to its 52-week range of 27 to 62 into hedge fund Elliott Management has amassed a stake in Twitter, Reuters reports.

Eaton (ETN) March weekly call option implied volatility is at 55, March is at 45; compared to its 52-week range of 16 to 40 into a company hosted investor meeting today.

F5 Networks (FFIV) March weekly call option implied volatility is at 54, March is at 50; compared to its 52-week range of 21 to 55 into a company hosted investor meeting on March 3.

ExxonMobil (XOM) March weekly call option implied volatility is at 68, March is at 55; compared to its 52-week range of 15 to 55 as into company sponsored investor day on March 5, OPEC and WTI Oil.

Citigroup (C) March call option implied volatility is at 59, June is at 39; compared to its -week range of 18 to 57 into hosting an investor day on May 13.

Freeport-McMoran (FCX) 30-day option implied volatility is at 84; compared to its 52-week range of 35 to 85

Southern Copper (SCCO) 30-day option implied volatility is at 61; compared to its 52-week range of 23 to 61

Vale S.A. (VALE) 30-day option implied volatility is at 58; compared to its 52-week range of 27 to 59. Call put ratio 1 call to 9.9 puts. March, September and January 8 puts active.

Rio Tinto plc (RIO) 30-day option implied volatility is at 51; compared to its 52-week range of 21 to 45.

BHP Billiton Ltd. (BHP) 30-day option implied volatility is at 51; compared to its 52-week range of 18 to 50.

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 44; compared to its 52-week range of 21 to 43

SPDR Gold Trust (GLD) 30-day option implied volatility is at 18; compared to its 52-week range of 8 to 19

Newmont Mining (NEM) 30-day option implied volatility is at 44; compared to its 52-week range of 19 to 44

Kinross Gold (KGC) 30-day option implied volatility is at 65; compared to its 52-week range of 35 to 66

Direxion Daily Gold Miners Bull 3x Shares (NUGT) 30-day option implied volatility is at 131; compared to its 52-week range of 62 to 131

Barrick Gold (GOLD) 30-day option implied volatility is at 53; compared to its 52-week range of 25 to 53

Direxion Daily Junior Gold Miners Index Bull 3x Shares (JNUG) 30-day option implied volatility is at 151; compared to its 52-week range of 75 to 151

iShares Gold Trust (IAU) 30-day option implied volatility is at 19; compared to its 52-week range of 8 to 23. Call put ratio 7 calls to 1 put with focus on March 14 calls.

AngloGold Ashanti (AU) 30-day option implied volatility is at 70; compared to its 52-week range of 34 to 70

IAMGOLD Corp. (IAG) 30-day option implied volatility is at 61; compared to its 52-week range of 43 to 80

Market Vector Junior Gold Miners Etf (GDXJ) 30-day option implied volatility is at 55; compared to its 52-week range of 25 to 54

Straddle prices for stocks expected to report quarterly results this week

JD.com (JD) March weekly 38 straddle priced for a move of 13% into the expected release of quarter results today

Tilray (TLRY) March weekly 14.50 straddle priced for a move of 21% into the expected release of quarter results today after the bell

Ambarella (AMBA) March weekly 59.50 straddle priced for a move of 18% into the expected release of quarter results after the bell on March 3

AutoZone (AZO) March weekly 1032 straddle priced for a move of 9.5% into the expected release of quarter results before the bell on March 3

Hewlett Packard (HPE) March weekly 12.50 straddle priced for a move of 10% into the expected release of quarter results after the bell on March 3

Nordstrom (JWN) March weekly 35 straddle priced for a move of 15% into the expected release of quarter results after the bell on March 3

Ross Stores (ROST) March 110 straddle priced for a move of 11.5% into the expected release of quarter results after the bell on March 3

Target (TGT) March weekly 103 straddle priced for a move of 9.5% into the expected release of quarter results before the bell on March 3

United Natural Foods (UNFI) March weekly 23.50 straddle priced for a move of 14% into the expected release of quarter results on March 3

Urban Outfitters (URBN) March straddle priced for a move of % into the expected release of quarter results after the bell on March 3

Option implied volatility for resort companies amid spread of coronavirus

Wynn Resorts Ltd (WYNN) 30-day option implied volatility is at 75; compared to its 52-week range of 31 to 76
Las Vegas Sands (LVS) 30-day option implied volatility is at 61; compared to its 52-week range of 23 to 62
MGM Resorts (MGM) 30-day option implied volatility is at 67; compared to its 52-week range of 20 to 66
Melco Resorts (MLCO) 30-day option implied volatility is at 75; compared to its 52-week range of 32 to 74
Penn National Gaming (PENN) 30-day option implied volatility is at 75; compared to its 52-week range of 29 to 75
Caesars Entertainment (CZR) 30-day option implied volatility is at 38; compared to its 52-week range of 10 to 68

Options with decreasing option implied volatility: TSLA VIAC S DBX PANW
Increasing unusual option volume: EWA EPI SEAC WEX SWN
Increasing unusual call option volume: SEAC DISH EWA WSC NLSN OMI LAKE
Increasing unusual put option volume: EWA EPI PEAK SWN SYF AGNC FLR
Popular stocks with increasing unusual: F XOM GILD SPCE DIS
Active options: AAPL MSFT TSLA AMD BAC FB SWN NVDA AMZN TWTR SPCE DIS BABA GE F MU XOM NFLX GILD
Global S&P Futures are recently up 47.05 from previous day. Nikkei 225 up 0.9%, DAX up 1.1%, WTI Crude oil is recently at $46, natural gas up 3%, gold at $1608 an ounce

VIX Futures Premium: -37.49