Pre-Market IV Report March 31, 2020

Pre-Market IV Report March 31, 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: AMRN ACB BBBY UNG OXY CLVS SDC APA M DRI PLAY BUD XLNX

Options expected to have increasing volume: QSR DPZ AMRN AAL RDS.A

End of quarter and month

Option implied volatility for grocery retailers amid pantry hoarding

Kroger (KR) 30-day option implied volatility is at 54; compared to its 52-week range of 20 to 95 amid pantry hoarding.

Target (TGT) 30-day option implied volatility is at 52; compared to its 52-week range of 19 to 91.

United Natural Foods (UNFI) 30-day option implied volatility is at 132; compared to its 52-week range of 48 to 174.

Walmart (WMT) 30-day option implied volatility is at 43; compared to its 52-week range of 12 to 68.

Amazon.com (AMZN) 30-day option implied volatility is at 46; compared to its 52-week range of 17 to 69.

Alibaba (BABA) 30-day option implied volatility is at 40; compared to its 52-week range of 22 to 64 after China pantry hoarding.

JD.com (JD) 30-day option implied volatility is at 57; compared to its 52-week range of 28 to 81 after China pantry hoarding.

Amarin (AMRN) 30-day option implied volatility is at 185; compared to its 52-week range of 55 to 222 into Vascepa patents ruled invalid. Call put ratio 3.1 calls to 1 put.

Straddle prices for stocks expected to report quarterly results this week

BlackBerry (BB) April weekly 4 straddle priced for a move of 17% into the expected release of quarter results today.

Conagra (CAG) April weekly 28 straddle priced for a move of 11% into the expected release of quarter results today before the bell.

McCormick (MCK) April weekly 138 straddle priced for a move of 9% into the expected release of quarter results today before the bell.

Lamb Weston (LW) April 55 straddle priced for a move of 12% into the expected release of quarter results before the bell on April 1.

PVH (PVH) April 40 straddle priced for a move of 20% into the expected release of quarter results on April 1.

CarMax (KMX) April weekly 55 straddle priced for a move of 18% into the expected release of quarter results before the bell on April 2.

Chewy (CHWY) April weekly 38 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 146 straddle priced for a move of 9% into the expected release of quarter results before the bell on April 3.

Country ETF IV comes in from 52-week highs amid COVID-19

iShares MSCI Turkey ETF (TUR) 30-day call option implied volatility is at 65; compared to its 52-week range of 24 to 97. Call put ratio 1 call to 6 puts with focus on April 16 puts.

iShares MSCI Brazil (EWZ) 30-day call option implied volatility is at 85; compared to its 52-week range of 22 to 148.

Ishares Msci Mexico Capped Etf (EWW) 30-day call option implied volatility is at 66; compared to its 52-week range of 15 to 105.

iShares China Large-Cap (FXI) 30-day call option implied volatility is at 39; compared to its 52-week range of 15 to 65.

Db X-trackers Harvest Csi 300 China A – Shares Fund (ASHR) 30-day call option implied volatility is at 39; compared to its 52-week range of 17 to 61.

Ishares Msci France Etf (EWQ) call option implied volatility is at 24; compared to its 52-week range of 11 to 87.

iShares MSCI Spain Capped ETF (EWP) call option implied volatility is at 56; compared to its 52-week range of 14 to 94.

Ishares Msci Italy Capped Etf (EWI) 30-day call option implied volatility is at 59; compared to its 52-week range of 13 to 105.

Ishares Msci Germany Etf (EWG) 30-day call option implied volatility is at 53; compared to its 52-week range of 12 to 84. Call put ratio 1 call to 3.6 puts.

Market Vectors Russia ETF Trust (RSX) 30-day call option implied volatility is at 69; compared to its 52-week range of 16 to 108.

Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 59; compared to its 52-week range of 19 to 91 amid COVID-19 impact on semiconductors & semiconductors capital equipment.

Options with decreasing option implied volatility: DUST NUGT KRE JNUG NVAX NUGT SAVE UAL ARMK
Increasing unusual option volume: LYG TGNA RARX OMI HEAR HASI ARI ABT
Increasing unusual call option volume: TGNA OMI HEAR ABT NEP TNP PINS
Increasing unusual put option volume: LYG TGNA RARX OMI HEAR
Popular stocks with increasing unusual: DAL JNJ ABT DIS CCL F OXY AAL
Active options: MSFT AAPL BAC BA TSLA AMD FB DIS UBER GE AAL NFLX AMZN OXY ABT F DAL NVDA JNJ CCL
Global S&P Futures are recently are up 13.10 in premarket, Nikkei down 0.8%, DAX up 1.7%, WTI Crude oil is recently at $21.13, natural gas up 1.2%, gold at $1636 an ounce