Pre-Market IV Report March 3, 2020

Pre-Market IV Report March 3, 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: TGT AMRN KRE XLP SWN XLF MCK LQD IEF NVAX APT GUSH AMRN CVM MRNA AAL TLRY ERX CRON AXSM SIX CCL UAL DAL AAL ALGT JBLU SAVE

Options expected to have increasing volume: UAL AAL LUV DAL JBLU ALGT SAVE ALK TLRY H V UBER MCHP SPY QQQ IWM RUT XLF XOM CVX ZM ZOOM AZN HPQ HP JWN ROST TGT CVX TWTR

United States Oil Fund (USO) March weekly call option implied volatility is at 65, March is at 52; compared to its 52-week range of 22 to 50 OPEC and its allies will meet as scheduled in Vienna on March 5-6. Call put ratio 1.9 calls to 1 put. ​

Axsome Therapeutics (AXSM) March call option implied volatility is at 110, April is at 165; compared to its 52-week range of 66 to 271 into the expected report of topline results from INTERCEPT in Q1 of 2020. Call put ratio 7.5 calls to 1 put with focus on April 90 and 120 calls.

Chevron (CVX) March weekly call option implied volatility is at 50, March is at 40; compared to its 52-week range of 15 to 50. Call put ratio 1.7 calls to 1 put into a company hosted investor day today and OPEC.​

Lam Research (LRCX) March weekly call option implied volatility is at 56, March is at 39; compared to its 52-week range of 26 to 63 into a company hosted investor day today.

Keysight Technology (KEYS) March weekly call option implied volatility is at 38, March is at 36; compared to its 52-week range of 22 to 48 into a company hosted investor day today.

General Electric (GE) March weekly call option implied volatility is at 70, March is at 49; compared to its 52-week range of 27 to 67 into a company hosted day to discuss its outlook on March 4.

General Motors (GM) March weekly call option implied volatility is at 35, March is at 37; compared to its 52-week range of 21 to 47 into the company discussing its strategy for electric vehicles on March 4.

Zendesk (ZEN) March weekly call option implied volatility is at 45, March is at 41; compared to its 52-week range of 32 to 66 into a company hosted investor day on March 4.

Centene (CNC) March weekly call option implied volatility is at 53, March is at 40; compared to its 52-week range of 25 to 66 into a company hosted investor day on March 4.

United Airlines (UAL) March weekly call option implied volatility is at 87, March is at 68; compared to its 52-week range of 20 to 100 into a company hosted investor day on March 4.

ExxonMobil (XOM) March weekly call option implied volatility is at 51, March is at 41; compared to its 52-week range of 15 to 55. Call put ratio 1.1 calls to 1 put into a company hosted investor day on March 5 and OPEC.​

Advanced Micro Devices (AMD) March weekly call option implied volatility is at 97, March is at 71; compared to its 52-week range of 36 to 84 into a company hosted investor day on March 5.

Citigroup (C) March call option implied volatility is at 58, June is at 39; compared to its -week range of 18 to 57 into hosting an investor day on May 13.

Straddle prices for stocks expected to report quarterly results this week

AutoZone (AZO) March weekly 1047 straddle priced for a move of 6.5% into the expected release of quarter results today before the bell

Hewlett Packard (HPE) March weekly 13 straddle priced for a move of 9% into the expected release of quarter results today after the bell

Nordstrom (JWN) March weekly 34.5 straddle priced for a move of 10% into the expected release of quarter results today after the bell

Ross Stores (ROST) March 110 straddle priced for a move of 10% into the expected release of quarter results today after the bell

Kohls (KSS) March weekly 38 straddle priced for a move of 12.5% into the expected release of quarter results today before the bell

United Natural Foods (UNFI) March weekly 5 straddle priced for a move of 16% into the expected release of quarter results today

Urban Outfitters (URBN) March weekly 23 straddle priced for a move of 13% into the expected release of quarter results today after the bell

Target (TGT) March weekly 109 straddle priced for a move of 9.5% into the expected release of quarter results today before the bell

Ambarella (AMBA) March weekly 60 straddle priced for a move of 15.5% into the expected release of quarter results today

Dollar Tree (DLTR) March weekly 85 straddle priced for a move of 9.5% into the expected release of quarter results on March 4

Zoom Video (ZM) March weekly 112 straddle priced for a move of 16.5% into the expected release of quarter results on March 4

Campbell Soup (CPB) March weekly 48 straddle priced for a move of 7.5% into the expected release of quarter results on March 4

Block H&R (HRB) March 21 straddle priced for a move of 9% into the expected release of quarter results after the bell on March 5

Ciena (CIEN) March weekly 39.50 straddle priced for a move of 12% into the expected release of quarter results before the bell on March 5

Costco (COST) March weekly 310 straddle priced for a move of 5% into the expected release of quarter results on March 5

El Pollo Loco (LOCO) March 13 straddle priced for a move of 17% into the expected release of quarter results after the bell on March 5

National Beverage (FIZZ) March 45 straddle priced for a move of 17% into the expected release of quarter results on March 5

S&P 500 (SPY) 30-day option implied volatility declined from 38% to 28% amid a 115 point rally in the S&P 500, at the money option implied volatility remains near a 5-year high.

The best day for the S&P since the World War 2 was Oct. 13, 2008, in the aftermath of the Lehman collapse, when the index gained 11%. The S&P then trended down 27% before the index finally traded to its lows five months later.

Options with decreasing option implied volatility: TWTR SPY QQQ RUT IWM AAPL AMZN FB TSLA NUGT VIX NFLX GOOG LL SPCE RVLV KPTI SDC FTCH ETSY

Increasing unusual option volume: SNBR FTSV GPOR IHRT FITB ALC AMX

Increasing unusual call option volume: AMX CNX LPX PBF IOVA ADT FITB LNG BIG FIZZ APT

Increasing unusual put option volume: FITB OHI GT LQD OKE MHK CZR MLCO GOGO

Popular stocks with increasing unusual: JBLU GPS HAL SAVE MAR XRX TWTR JD GILD AAL XOM

Active options: AAPL TSLA MSFT BAC AMD TWTR GE FB JD DIS AMZN UBER NVDA GILD BABA AAL T MU SQ XOM

Global S&P Futures are recently up 24.05 from previous day. Nikkei 225 down 1.2%, DAX up 2.5%, WTI Crude oil is recently at $48.15, natural gas up 1.7%, gold at $1596 an ounce