Pre-Market IV Report March 30, 2020

Pre-Market IV Report March 30, 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: BBBY SDC LK TLRY ACB AMRN GRPN SDC INDA CC AGNC FCAU GPS COTY

Options expected to have increasing volume: BA SPY QQQ XLF ABT

Abbott (ABT) 30-day option implied volatility is at 50; compared to its 52-week range of 15 to 70 into launches Covid-19 test for use almost anywhere.

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 59; compared to its 52-week range of 10 to 77 after four-decades of trending lower inflation and interest rates.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 57; compared to its 52-week range of 12 to 79.

Market Vectors High Yield Municipal Index Etf (HYD) 30-day option implied volatility is at 54; compared to its 52-week range of 3 to 104. Call put ratio 6 calls to 1 put.

Ishares National Amt-free Muni Bond Etf (MUB) 30-day option implied volatility is at 24; compared to its 52-week range of 2 to 46.

United States Oil Fund (USO) 30-day option implied volatility is at 139; compared to its 52-week range of 23 to 172. Call put ratio 2.9 calls to 1 put as WTI Crude on trades below $21.

United States Natural Gas (UNG) 30-day option implied volatility is at 66; compared to its 52-week range of 21 to 83 as Natural Gas near low end of 25-year range.

Market Vectors Russia ETF Trust (RSX) 30-day option implied volatility is at 71; compared to its 52-week range of 16 to 109 as oil and natural gas trade at low end of range.

Boeing (BA) 30-day option implied volatility is at 144; compared to its 52-week range of 23 to 222.

Pepsi (PEP) 30-day option implied volatility is at 45; compared to its 52-week range of 12 to 73 amid surge in home snacking.

Broadcom (AVGO) 30-day option implied volatility is at 82; compared to its 52-week range of 21 to 95 into annual shareholder meeting.

Gilead (GILD) 30-day option implied volatility is at 72; compared to its 52-week range of 19 to 108 amid patient and prescribing trends during COVID-19. Call put ratio 4.9 calls to 1 put.

Regeneron’s (REGN) 30-day option implied volatility is at 58; compared to its 52-week range of 25 to 79 amid patient and prescribing trends during COVID-19.

AbbVie’s (ABBV) 30-day option implied volatility is at 73; compared to its 52-week range of 20 to 78 amid patient and prescribing trends during COVID-19.

Alnylam Pharma (ALNY) 30-day option implied volatility is at 70; compared to its 52-week range of 37 to 84. Call put ratio 2.7 calls to 1 put amid COVID-19 research.

Vir Biotechnology Inc. (VIR) 30-day option implied volatility is at 186; compared to its 52-week range of 155 to 308. Call put ratio 2.2 calls to 1 put amid COVID-19 research.

Translate Bio (TBIO) 30-day option implied volatility is at 43; compared to its 52-week range of 41 to 128 amid COVID-19 research.

Moderna (MRNA) 30-day option implied volatility is at 125; compared to its 52-week range of 51 to 172. Call put ratio 9.5 calls to 1 put amid COVID-19 research.

Teva Pharma (TEVA) 30-day option implied volatility is at 129; compared to its 52-week range of 33 to 134 amid patient and prescribing trends during COVID-19. Call put ratio 1.7 calls to 1 put.

Straddle prices for stocks expected to report quarterly results this week

RH (RH) April weekly 110 straddle priced for a move of 18% into the expected release of quarter results today.

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 14% into the expected release of quarter results before the bell on March 31.

McCormick (MCK) April weekly 125 straddle priced for a move of 11% into the expected release of quarter results before the bell on March 31.

Lamb Weston (LW) April 55 straddle priced for a move of 18% into the expected release of quarter results before the bell on April 1.

PVH (PVH) April 35 straddle priced for a move of 20% into the expected release of quarter results on April 1.

CarMax (KMX) April weekly 60 straddle priced for a move of 18% into the expected release of quarter results before the bell on April 2.

Chewy (CHWY) April weekly 36 straddle priced for a move of 18% into the expected release of quarter results after the bell on April 2.

Constellation Brands (STZ) April weekly 145 straddle priced for a move of 15% into the expected release of quarter results before the bell on April 3.

Options with decreasing option implied volatility: TLT JNUG MFA KRE GDX NVAX SAVE UAL NUGT DAL AAL PENN ERI LUV MGM CZR
Increasing unusual option volume: CARG ABUS PCRX HASI MFA EUO
Increasing unusual call option volume: CARG ABUS IWN NYMT EUO MFA
Increasing unusual put option volume: CARG HASI MYOK MFA TD UUP AXSM PLD
Popular stocks with increasing unusual: UBER AAL CCL ACB TLRY
Active options: AAPL TSLA BAC BA MSFT AMD AAL TLRY FB UBER DIS NFLX AMZN GE F CCL T NVDA ACB MU
Global S&P Futures are recently are down 11.10 in premarket, Nikkei down 1.5%, DAX down 0.9%, WTI Crude oil is recently at $20.35, natural gas mixed, gold at $1646 an ounce