Pre-Market IV Report March 24, 2020

Pre-Market IV Report March 24, 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…MS F GME UUP BKLN AMRN JCP EBAY WBA SCO

Options expected to have increasing volume: BA T F GM MS

Option bid ask spreads remain wide. Liquidity.

Morgan Stanley (MS) 30-day option implied volatility is at 110; compared to its 52-week range of 19 to 120. Call put ratio 1 call to 4.8 puts.

United States Oil Fund (USO) 30-day option implied volatility is at 171; compared to its 52-week range of 23 to 171 as WTI trades $24.

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 97; compared to its 52-week range of 15 to 131 as WTI oil above $24.

Option implied volatility for energy stocks

ExxonMobil (XOM) 30-day option implied volatility is at 94; compared to its 52-week range of 15 to 110

BP plc (BP) 30-day option implied volatility is at 96; compared to its 52-week range of 15 to 154

Chevron (CVX) 30-day option implied volatility is at 90; compared to its 52-week range of 15 to 112

ConocoPhillips (COP) 30-day option implied volatility is at 112; compared to its 52-week range of 21 to 151

Phillips 66 (PSX) 30-day option implied volatility is at 97; compared to its 52-week range of 17 to 136
Marathon Oil (MRO) 30-day option implied volatility is at 168; compared to its 52-week range of 30 to 268

Sempra (SRE) 30-day option implied volatility is at 75; compared to its 52-week range of 13 to 93 into webcast of investor day today. Call put ratio 4.2 calls to 1 put.

Square (SQ) 30-day option implied volatility is at 105; compared to its 52-week range of 30 to 142 into webcast of investor day today.

Regeneron (REGN) 30-day option implied volatility is at 70; compared to its 52-week range of 25 to 79 amid hopes for COVID-19 vaccine. Call put ratio 2.5 calls to 1 put.

Gilead Sciences (GILD) 30-day option implied volatility is at 81; compared to its 52-week range of 19 to 108 into Gilead’s remdesivir was granted orphan designation by the FDA as a treatment of COVID-19, according to reports.

Hasbro (HAS) 30-day option implied volatility is at 90; compared to its 52-week range of 21 to 112 as shares rally. Call put ratio 2.8 calls to 1 put with focus on March and April calls.

Vail Resorts (MTN) 30-day option implied volatility is at 105; compared to its 52-week range of 21 to 125. Call put ratio 1 call to 3.4 puts with focus on April 100 puts.

Boeing (BA) 30-day option implied volatility is at 183; compared to its 52-week range of 23 to 291. Call put ratio 1.5 calls to 1 put.

AT&T (T) 30-day option implied volatility is at 77; compared to its 52-week range of 16 to 81.

Teladoc (TDOC) 30-day option implied volatility is at 105; compared to its 52-week range of 36 to 109 amid societal health net services surge during coronavirus.

Netflix (NFLX) 30-day option implied volatility is at 68; compared to its 52-week range of 27 to 98
Zoom Video Communications (ZM) 30-day option implied volatility is at 137; compared to its 52-week range of 36 to 136 for stay at home stock

Straddle prices for stocks expected to report quarterly results this week

Nike (NKE) March weekly 63 straddle priced for a move of 14% into the expected release of quarter results today after the bell.

Steelcase (SCS) April 10 straddle priced for a move of 27% into the expected release of quarter results today after the bell.

Micron (MU) March weekly 38.50 straddle priced for a move of 16% into the expected release of quarter results after the bell on March 25.

Paychex (PAYX) April 50 straddle priced for a move of 21% into the expected release of quarter results before the bell on March 25.

Winnebago (WGO) April 22.50 straddle priced for a move of 30% into the expected release of quarter results on March 25.

GameStop (GME) March weekly 4 straddle priced for a move of 36% into the expected release of quarter results after the bell on March 26.

RH (RH) March weekly 80 straddle priced for a move of 20% into the expected release of quarter results on March 26.

Signet (SIG) March weekly 6 straddle priced for a move of 30% into the expected release of quarter results on March 26.

lululemon athletica (LULU) March weekly 172 straddle priced for a move of 19% into the expected release of quarter results after the bell on March 26.

Options with decreasing option implied volatility: S INTC SPY QQQ OXY KRE AMRN
Increasing unusual option volume: PFGC INVA ALLT ADMA
Increasing unusual call option volume: PFGC CVET ADMA CS PK INVA CS PK
Increasing unusual put option volume: INVA ALLT GREK TAL WEX EWQ SYF
Popular stocks with increasing unusual: XOM UBER ZM
Active options: AAPL BAC MSFT AMD TSLA BA UBER F MU DIS FB GE ZM T NVDA AMZN ROKU NFLX XOM BABA
Global S&P Futures are recently are up 4% in premarket, Nikkei up 5%, DAX up 4%, WTI Crude oil is recently at $24.79, natural gas down 3.7%, gold at $1587 an ounce