Pre-Market IV Report March 25, 2020

Pre-Market IV Report March 25, 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.

IV collapses.

Options with increasing option implied volatility: GME ACB BKLN AMRN AMC DUST INDA CVS GES SIG FCAU

Options expected to have increasing volume: NKE MU AMD

Beneficiaries of remote work business.

Citrix (CTXS) 30-day option implied volatility is at 54; compared to its 52-week range of 15 to 75 amid near-term beneficiary of remote work business.

Slack (WORK) 30-day option implied volatility is at 87; compared to its 52-week range of 43 to 170 amid near-term beneficiary of remote work business. Call put ratio 4.1 calls to 1 put.

Zoom Video (ZM) 30-day option implied volatility is at 108; compared to its 52-week range of 36 to 137 amid near-term beneficiary of remote work business.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 83; compared to its 52-week range of 13 to 110. Call put ratio 1 call to 1.8 puts.

Alt finance companies

Ishares Mortgage Real Estate Capped Etf (REM) 30-day call option implied volatility is at 117; compared to its 52-week range of 8 to 117.

Ally Financial (ALLY) 30-day option implied volatility is at 138; compared to its 52-week range of 18 to 190.

MFA Financial (MFA) 30-day option implied volatility is at 1,100; compared to its 52-week range of 9 to 1,100. Call put ratio 2 calls to 1 put.

Carvana Co. (CVNA) 30-day option implied volatility is at 157; compared to its 52-week range of 43 to 212. Call put ratio 1 call to 1.5 puts.

Annaly Capital Management (NLY) 30-day option implied volatility is at 139; compared to its 52-week range of 11 to 258. Call put ratio 1 call to 1.8 puts.

New Residential Investment (NRZ) 30-day option implied volatility is at 200; compared to its 52-week range of 11 to 205. Call put ratio 2.8 calls to 1 put with focus on April 5 calls.

Redwood Trust (RWT) 30-day option implied volatility is at 154; compared to its 52-week range of 11 to 254.

AGNC Investment Corp (AGNC) 30-day option implied volatility is at 100; compared to its 52-week range of 10 to 140. Call put ratio 1.8 calls to 1 put.

Starwood Property Trust (STWD) 30-day option implied volatility is at 146; compared to its 52-week range of 6 to 188.

Amarin (AMRN) 30-day option implied volatility is at 197; compared to its 52-week range of 55 to 223 into Vascepa court’s patent litigation decision this spring.

Straddle prices for stocks expected to report quarterly results this week

Micron (MU) March weekly 43 straddle priced for a move of 13% into the expected release of quarter results today after the bell.

Paychex (PAYX) April 60 straddle priced for a move of 16% into the expected release of quarter results today before the bell.

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

GameStop (GME) March weekly 4 straddle priced for a move of 25% into the expected release of quarter results after the bell on March 26.

RH (RH) March weekly 105 straddle priced for a move of 16% into the expected release of quarter results on March 26.

Signet (SIG) March weekly 7 straddle priced for a move of 30% into the expected release of quarter results on March 26.

lululemon athletica (LULU) March weekly 192 straddle priced for a move of 29% into the expected release of quarter results after the bell on March 26.

Skyworks Solutions (SWKS) 30-day option implied volatility is at 84; compared to its 52-week range of 25 to 108. Call put ratio 2.3 calls to 1 put.

Options with decreasing option implied volatility: OXY XLV XLK XLU PLAY NVAX APRN
Increasing unusual option volume: PHG LQD QRTEA ESI NYMT AMBA RWT TIP
Increasing unusual call option volume: NCLH ERJ AMBA LQD ATH ABR MLNX
Increasing unusual put option volume: DRI NLY QRTEA TIP RICK ANF PLAY IPG
Popular stocks with increasing unusual: XOM CCL BABA GE F
Active options: AAPL BAC TSLA MSFT AMD F UBER BA T AAL DIS GE NVDA FB XOM ROKU CCL AMZN BABA MU
Global S&P Futures are recently are up 2% in premarket, Nikkei up 8%, DAX up 4%, WTI Crude oil is recently at $24.79, natural gas up 3%, gold at $1648 an ounce