Pre-Market IV Report March 6, 2020

Pre-Market IV Report March 6, 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: SBUX VAL BA CCL CLX SEAS ALK AMRN BKLN OPK ITUB CZR

Options expected to have increasing volume: COST C BAC JPM BA SBUX UAL SCHW AOBC HRB OKTA

WTI Crude Oil trading below $44 amid OPEC, Gold up 1%, stocks lower

United States Oil Fund (USO) March weekly call option implied volatility is at 66, March is at 51; compared to its 52-week range of 23 to 51 into OPEC meeting. Call put ratio 1 call to 1.1 puts amid WTI Crude Oil trading below $44 amid OPEC meetings.

Market Vectors Russia ETF Trust (RSX) March call option implied volatility is at 33, April is at 32; compared to its 52-week range of 16 to 44 amid OPEC meeting. Call put ratio 9 calls to 1 put amid WTI Crude Oil trading below $44.

Market Vectors Gold Miners ETF (GDX) March weekly call option implied volatility is at 51, March is at 46; compared to its 52-week range of 21 to 43 as gold up 1%.

Financial Select Sector SPDR ETF (XLF) March weekly call option implied volatility is at 45, March is at 42, April is at 38; compared to its 52-week range of 13 to 46.

JPMorgan (JPM) 30-day option implied volatility is at 48, compared to its 52-week range of 15 to 53 into JPMorgan confirms CEO Dimon underwent ‘successful’ emergency heart surgery.

Ishares Msci Italy Capped Etf (EWI) March call option implied volatility is at 30, April is at 25; compared to its 52-week range of 12 to 40 as coronavirus spreads. Call put ratio 1 call to 350 puts with focus on March and April puts.

Itau Unibanco Banco Multiplo S.a. (ITUB) 30 day call option implied volatility is at 48; compared to its 52-week range of 25 to 53.

Straddle prices for stocks expected to report quarterly results next week

Vail Resorts (MTN) March weekly straddle priced for a move of 10% into the expected release of quarter results after the bell on March 9

Stich Fix (SFIX) March weekly 23 straddle priced for a move of 19% into the expected release of quarter results after the bell on March 9

Cloudera (CLDR) March weekly 9 straddle priced for a move of 20% into the expected release of quarter results after the bell on March 10

United Natural Foods (UNFI) March 5 straddle priced for a move of 30% into the expected release of quarter results on March 11

Novavax (NVAX) March weekly 13 straddle priced for a move of 32% into the expected release of quarter results after the bell on March 11

Adobe (ADBE) March weekly 350 straddle priced for a move of 11% into the expected release of quarter results after the bell on March 12

Gaps Stores (GPS) March weekly 13.50 straddle priced for a move of 13% into the expected release of quarter results on March 12

Jabil (JBL) March weekly 33 straddle priced for a move of 12% into the expected release of quarter results on March 12

Ulta Beauty (ULTA) March weekly 255 straddle priced for a move of 15% into the expected release of quarter results after the bell on March 12

Entertainment Resorts IV elevated

Caesars Entertainment (CZR) 30-day option implied volatility is at 59; compared to its 52-week range of 10 to 68

Las Vegas Sands (LVS) 30-day option implied volatility is at 65; compared to its 52-week range of 23 to 66

MGM Resorts (MGM) 30-day option implied volatility is at 89; compared to its 52-week range of 20m to 89

Melco Resorts (MLCO) 30-day option implied volatility is at 69; compared to its 52-week range of 32 to 75

Penn National Gaming (PENN) 30-day option implied volatility is at 93; compared to its 52-week range of 28 to 93

Wynn Resorts Ltd (WYNN) 30-day option implied volatility is at 78; compared to its 52-week range of 31 to 79

Teladoc (TDOC) March call option implied volatility is at 69, April is at 68; compared to its 52-week range of 36 to 77. Call put ratio 3.5 calls to 1 put.

Options with decreasing option implied volatility: MRVL APT UNH TSLA SPCE ZM
Increasing unusual option volume: OPK VRRM PSEC CY CVET XAU APD HST
Increasing unusual call option volume: OPK NEPT DGX SNSS VIPS ERI OCUL ANGI VIRT
Increasing unusual put option volume: BRFS MTDR APD CY NUS ARNC CS HST CZR
Popular stocks with increasing unusual: DIS ZM CCL GILD
Active options: AAPL BAC MSFT TSLA AMD DIS GE AAL BABA NFLX BA FB AMZN GILD ZM MU NVDA T CCL OPK
Global S&P Futures are recently down 37.25 from previous day. Nikkei 225 down 2.2%, DAX down 1.9%, WTI Crude oil is recently at $45.28, natural gas down 1%, gold at $1677 an ounce

Market Rebellion Pre-Market IV Report March 6, 2020