Pre-Market IV Report March 26, 2020

Pre-Market IV Report March 26, 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: ACB GME AMRN BKLN LK PLAY AXSM SPXS GPS XRX QCOM WBA INDA GILD

Options expected to have increasing volume: MU BA DIS GME RH LULU SIG

Option implied Volatility has decreased from last week’s spike

Option implied volatility for semi-conductor companies

Micron Technology Inc. (MU) 30-day option implied volatility is at 92, compared to its 52-week range of 31 to 114 into reports Q2 revenue $4.8B, consensus $4.68B.

Advanced Micro Devices (AMD) 30-day option implied volatility is at 87, compared to its 52-week range of 36 to 117

Nvidia Corp. (NVDA) 30-day option implied volatility is at 85, compared to its 52-week range of 28 to 110

Option implied volatility for American industrial corporations

Textron (TXT) 30-day option implied volatility is at 98, compared to its 52-week range of 20 to 123

Caterpillar (CAT) 30-day option implied volatility is at 65, compared to its 52-week range of 20 to 96

Deere (DE) 30-day option implied volatility is at 69, compared to its 52-week range of 19 to 101

Option implied volatility for steel stocks

Nucor (NUE) 30-day option implied volatility is at 85, compared to its 52-week range of 20 to 110

Steel Dynamics (STLD) 30-day option implied volatility is at 95, compared to its 52-week range of 28 to 125

U.S. Steel (X) 30-day option implied volatility is at 111, compared to its 52-week range of 43 to 174

Option implied volatility for Yield ETF stocks

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 40; compared to its 52-week range of 4 to 58. Call put ratio 1 call to 31 puts with focus on April 80 puts.

Ishares Iboxx $ High Yield Corporate Bond Etf (HYG) 30-day option implied volatility is at 42; compared to its 52-week range of 5 to 53. Call put ratio 1 call to 3.8 puts.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 41; compared to its 52-week range of 4 to 75. Call put ratio 1 call to 1 put.

Option implied volatility for private equity stocks

Apollo Global Management (APO) 30-day option implied volatility is at 118; compared to its 52-week range of 23 to 121.

KKR & Co. (KKR) 30-day option implied volatility is at 94; compared to its 52-week range of 22 to 122.
Blackstone (BX) 30-day option implied volatility is at 95; compared to its 52-week range of 19 to 116.
Carlyle (CG) 30-day option implied volatility is at 63; compared to its 52-week range of 23 to 112.

Option implied volatility for digital travel reservation companies

Booking Holdings (BKNG) 30-day option implied volatility is at 90; compared to its 52-week range of 16 to 122.

TripAdvisor (TRIP) 30-day option implied volatility is at 107; compared to its 52-week range of 29 to 186.

Expedia (EXPE) 30-day option implied volatility is at 143; compared to its 52-week range of 20 to 253.

TJX Cos. (TJX) 30-day option implied volatility is at 101; compared to its 52-week range of 16 to 121 is expected to release quarterly results in May.

Straddle prices for stocks expected to report quarterly results this week

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

RH (RH) March weekly 105 straddle priced for a move of 14% into the expected release of quarter results today.

Signet (SIG) March weekly 7 straddle priced for a move of 31% into the expected release of quarter results today.

lululemon athletica (LULU) March weekly 192.50 straddle priced for a move of 16% into the expected release of quarter results today after the bell.

The U.S. plans to press Saudi Arabia to restrain its scheduled oil production boost by leveraging the kingdom’s status as head of the G-20, according to people familiar with the matter, Reuters reports.

Options with decreasing option implied volatility: PEP NUGT JNUG APRN UAL GUSH IGT PENN MGM ERI CZR HLT
Increasing unusual option volume: MFA TTOO CASA EPI NYMT PK DENN CBRL SWCH
Increasing unusual call option volume: CASA TTOO PK NYMT SWCH SMPL
Increasing unusual put option volume: EPI XRAY ETRN INFN RY CBRL
Popular stocks with increasing unusual: SQ AAL BA OXY F
Active options: AAPL BA BAC TSLA F GE MSFT MU FB AAL AMD UBER DIS BABA SQ DAL NVDA T AMZN OXY
Global S&P Futures are recently are down 2% in premarket, Nikkei down 4%, DAX down 2%, WTI Crude oil is recently at $23.55, natural gas mixed, gold at $1621 an ounce