Pre-Market IV Report March 9, 2020

Pre-Market IV Report March 9, 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.

Supply shock, demand shock, liquidity, algo-computers, asset allocation, margin calls, limit down…..

Saudi Arabia’s announced it would abandon attempts to limit supply, and instead aim to increase market share, this has driven a historic fall in the oil prices.

Options with increasing option implied volatility: today expect extreme IV spike, SPY QQQ EWW DIA XLF AMRN OPK LQD X CZR

Options expected to have increasing volume: SPY QQQ RUT IWM XLF USO TBT TLT GDX

S&P 500 (SPY) 30-day option implied volatility at 38; compared to its 52-week range of 9 to 38 into SPY CME trading limit down halt in over overnight trading.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility at 41; compared to its 52-week range of 12 to 41.

United States Oil Fund (USO) 30-day option implied volatility is at 63; compared to its 52-week range of 23 to 63 into oil suffers worst loss since 1991.

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 59; compared to its 52-week range of 15 to 70

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day option implied volatility is at 82; compared to its 52-week range of 28 to 82 into WTI Crude oil down

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 40; compared to its 52-week range of 8 to 40

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 78; compared to its 52-week range of 16 to 79.

Financial Select Sector SPDR ETF (XLF) 30-day call option implied volatility is at 54; compared to its 52-week range of 13 to 60.

Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 49; compared to its 52-week range of 19 to 50.

Ishares Msci Mexico Capped Etf (EWW) 30-day option implied volatility is at 44; compared to its 52-week range of 15 to 44

iShares MSCI Brazil (EWZ) 30-day option implied volatility is at 47; compared to its 52-week range of 22 to 48

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 48; compared to its 52-week range of 21 to 48

SPDR Gold Trust (GLD) 30-day option implied volatility is at 24; compared to its 52-week range of 7 to 24 as gold up 1.7%.

ExxonMobil (XOM) 30-day option implied volatility is at 47; compared to its 52-week range of 15 to 64

Royal Dutch Petroleum (RDS.B) 30-day option implied volatility is at 50; compared to its 52-week range of 13 to 50

Total (TOT) 30-day option implied volatility is at 50; compared to its 52-week range of 14 to 49

BP plc (BP) 30-day option implied volatility is at 57; compared to its 52-week range of 15 to 57

Chevron (CVX) 30-day option implied volatility is at 56; compared to its 52-week range of 15 to 57

ConocoPhillips (COP) 30-day option implied volatility is at 64; compared to its 52-week range of 21 to 64

Halliburton (HAL) 30-day option implied volatility is at 90; compared to its 52-week range of 29 to 90

Schlumberger Ltd. (SLB) 30-day option implied volatility is at 73 compared to its 52-week range of 25 to 73

Market Vectors Russia ETF Trust (RSX) 30-day option implied volatility is at 43; compared to its 52-week range of 16 to 44 into WTI Crude oil down

Virus

OPKO Health (OPK) March weekly (13) call option implied volatility is at 350, March is at 280, April is at 228; compared to its 52-week range of 58 to 270. Call put ratio 8 calls to 1 put with focus on March and April 3 calls after BioReference Laboratories, an OPKO Health company, announced it will offer a test for the novel coronavirus.​

Gilead Sciences (GILD) March weekly (13) call option implied volatility is at 71, March is at 66, April is at 60; compared to its 52-week range of 19 to 59 amid Covid-19 coronavirus. Call put ratio 5.6 calls to 1 put.

Regeneron (REGN) March weekly (13) call option implied volatility is at 48, March is at 49, April is at 43; compared to its 52-week range of 24 to 53 amid Covid-19 coronavirus as shares near record high. ​

Straddle prices for stocks expected to report quarterly results this week

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

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

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

Dicks Sporting Goods (DKS) March weekly 35 straddle priced for a move of 8% into the expected release of quarter results before the bell on March 10

United Natural Foods (UNFI) March 5 straddle priced for a move of 12% 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 335 straddle priced for a move of 10% into the expected release of quarter results after the bell on March 12

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

Slack Technologies (WORK) March weekly 26.50 straddle priced for a move of 17% into the expected release of quarter results on March 12

Oracle (ORCL) March weekly 47 straddle priced for a move of 9% into the expected release of quarter results after the bell on March 12

Broadcom (AVGO) March weekly 270 straddle priced for a move of 9% into the expected release of quarter results after the bell on March 12

Jabil (JBL) March weekly 33 straddle priced for a move of 19% into the expected release of quarter results on March 12

Ulta Beauty (ULTA) March straddle priced for a move of 14% into the expected release of quarter results after the bell on March 12

Buckle (BKE) March 20 straddle priced for a move of 23% into the expected release of quarter results before the bell on March 13

Gogo (GOGO) March 3 straddle priced for a move of 27% into the expected release of quarter results before the bell on March 13

A 7% decline (Level 1 circuit breaker) in the S&P 500 Index before 2:25 p.m. CT will trigger a NYSE Rule 80B trading halt for both the cash equity market AND all U.S.-based equity index futures and options, including E-mini S&P 500 and S&P 500 futures and options. Trading will resume once trading in the cash equity market resumes, with price limits expanded to Level 2 (13%).

https://www.cmegroup.com/trading/equity-index/faq-sp-500-price-limits.html

Options with decreasing option implied volatility: TSLA UNH APT BIG

Increasing unusual option volume: CY OPK BKD VNQ IWN EQT SYNH

Increasing unusual call option volume: CY OPK EQT AFL INO MCK PBI BHF

Increasing unusual put option volume: OPK BKD TSEM VNQ INO CZR CY OHI MCK TMV H OSTK

Popular stocks with increasing unusual: PBR BA GILD F INO

Active options: AAPL BAC MSFT TSLA AMD GE MCK AAL GILD AMZN BABA FB F INO NFLX PBR T NVDA BA

Global S&P Futures are recently down 145 from previous day. Nikkei 225 down 5%, DAX down 5%, WTI Crude oil is recently at $32.33, natural gas down 4%, gold at $1663 an ounce