Pre-Market IV Report March 27, 2020

Pre-Market IV Report March 27, 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: FCAU UPRO ABT GME ACB AMRN NIO LK TLRY ACB SDC NCLH CCL

Options expected to have increasing volume: MU LULU BA

Fiat Chrysler Automobiles (FCAU) option implied volatility suggests large price movement into end of month and quarter on March 31

Fiat Chrysler Automobiles (FCAU) 30-day option implied volatility is at 326, compared to its 52-week range of 24 to 186.

Ishares Msci Germany Etf (EWG) 30-day option implied volatility is at 54, compared to its 52-week range of 12 to 84.

Ford (F) 30-day option implied volatility is at 114, compared to its 52-week range of 20 to 195. Call put ratio 2.2 calls to 1 put.

General Motors (GM) 30-day option implied volatility is at 114, compared to its 52-week range of 20 to 188 amid prospective loss of investment-grade bond ratings from Moody’s Investors Service. Call put ratio 2.1 calls to 1 put.

Apache Corp. (APA) 30-day option implied volatility is at 200; compared to its 52-week range of 33 to 245 amid prospective loss of investment-grade bond ratings from Moody’s Investors Service, according to Bloomberg. Call put ratio 3.6 calls to 1 put.

Delta Air Lines (DAL) 30-day option implied volatility is at 147; compared to its 52-week range of 20 to 264 amid prospective loss of investment-grade bond ratings from Moody’s Investors Service, according to Bloomberg.

Las Vegas Sands (LVS) 30-day option implied volatility is at 80; compared to its 52-week range of 22 to 180 amid prospective loss of investment-grade bond ratings from Moody’s Investors Service, according to Bloomberg. Call put ratio 1 call to 2.1 puts.

Marriott International (MAR) 30-day option implied volatility is at 117; compared to its 52-week range of 16 to 200 amid prospective loss of investment-grade bond ratings from Moody’s Investors Service, according to Bloomberg.

Noble Energy Inc. (NBL) 30-day option implied volatility is at 146; compared to its 52-week range of 33 to 249 amid prospective loss of investment-grade bond ratings from Moody’s Investors Service, according to Bloomberg. Call put ratio 3.6 calls to 1 put.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 79; compared to its 52-week range of 13 to 110. Call put ratio 1 call to 1.3 puts.

Ishares Mortgage Real Estate Capped Etf (REM) 30-day call option implied volatility is at 95; compared to its 52-week range of 8 to 117. Call put ratio 17 calls to 1 put with focus on July 35 calls.

Brookfield Infrastructure Partners (BIP) 30-day option implied volatility is at 61; compared to its 52-week range of 12 to 99. Call put ratio 138 calls to 1 put with focus on May 50 calls.

Luckin Coffee Inc. (LK) 30-day option implied volatility is at 132, compared to its 52-week range of 53 to 189.

Straddle prices for stocks expected to report quarterly results Next week

BlackBerry (BB) April weekly 4 straddle priced for a move of 20% into the expected release of quarter results on March 31.

Conagra (CAG) April weekly 28 straddle priced for a move of 13% into the expected release of quarter results before the bell on March 31.

McCormick (MCK) April weekly 131 straddle priced for a move of 13% into the expected release of quarter results before the bell on March 31.

Lamb Weston (LW) April 60 straddle priced for a move of 18% into the expected release of quarter results before the bell on April 1.

CarMax (KMX) April weekly 61 straddle priced for a move of 18% into the expected release of quarter results before the bell on April 2.

Chewy (CHWY) April weekly 34 straddle priced for a move of 15% into the expected release of quarter results after the bell on April 2.

Constellation Brands (STZ) April weekly 140 straddle priced for a move of 15% into the expected release of quarter results before the bell on April 3.

Option implied volatility for electronic gamers

Electronic Arts (EA) 30-day option implied volatility is at 62; compared to its 52-week range of 21 to 80

Zynga (ZNGA) 30-day option implied volatility is at 77; compared to its 52-week range of 23 to 123

Activision Blizzard (ATVI) 30-day option implied volatility is at 50; compared to its 52-week range of 23 to 89

Gamestop (GME) 30-day option implied volatility is at 199; compared to its 52-week range of 36 to 227

Take-Two Interactive (TTWO) 30-day option implied volatility is at 58; compared to its 52-week range of 25 to 80

Options with decreasing option implied volatility: TLT ORCL KRE XLI JNUG HTZ UAL PENN ERX VZR SAVE
Increasing unusual option volume: MFA NYMT BIP HSIC IVR CNNE
Increasing unusual call option volume: MFA NYMT IVR REM HSIC
Increasing unusual put option volume: TRGP AUDC TWO INFN CCK DBI
Popular stocks with increasing unusual: SQ ROK UBER F OXY CCL DIS LULU
Active options: AAPL TSLA BA BAC F MSFT GE UBER MU AMD TLRY AAL FB CCL OXY DAL DIS SQ SDC ROK
Global S&P Futures are recently are down 1.8% in premarket, Nikkei up 3.5%, DAX down 3%, WTI Crude oil is recently at $22.71, natural gas mixed, gold at $1644 an ounce