Pre-Market IV Report May 12, 2020

Pre-Market IV Report May 12, 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: HTZ INO RIOT DDOG VIIQ DKNG GNW SDC SPG TCO CSCO

Options expected to have increasing volume: SDC DDOG ERI CZR VHC TLRY EGHT ALGT CSCO

Bond ETF option implied volatility into Fed says it will begin buying Corporate-Debt ETFs on Tuesday

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 17; compared to its 52-week range of 4 to 59 into Fed says it will begin buying Corporate-Debt ETFs on Tuesday.
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Ishares Iboxx $ High Yield Corporate Bond Etf (HYG) 30-day option implied volatility is at 17; compared to its 52-week range of 5 to 53.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 13; compared to its 52-week range of 4 to 75.

Vanguard Total Bond Market (BND) 30-day option implied volatility is at 8; compared to its 52-week range of 3 to 40.

Ishares Core Total U.S. Bond Market Etf (AGG) 30-day option implied volatility is at 8; compared to its 52-week range of 3 to 41

PIMCO Total Return ETF (BOND) 30-day option implied volatility is at 7; compared to its 52-week range of 3 to 31 into Fed says it will begin buying Corporate-Debt ETFs on Tuesday.

Airliner IV into Boeing (BA) CEO says a U.S. airline will ‘Most Likely’ fold this year

Delta (DAL) 30-day option implied volatility is at 81; compared to its 52-week range of 20 to 265 into Boeing (BA) CEO says a U.S. airline will ‘Most Likely’ fold this year, Bloomberg reports. Call put ratio 2.2 calls to 1 put.

Southwest Airlines (LUV) 30-day option implied volatility is at 69; compared to its 52-week range of 17 to 203.

American Airlines (AAL) 30-day option implied volatility is at 137; compared to its 52-week range of 29 to 293.

United Airlines (UAL) 30-day option implied volatility is at 103; compared to its 52-week range of 20 to 421.

Straddle prices for stocks expected to report quarterly results this week

8X8 (EGHT) May 20 straddle priced for a move of 15% into the expected release of quarter results today after the bell.

Allegiant (ALGT) May 75 straddle priced for a move of 17% into the expected release of quarter results today after the bell.

Alibaba (BABA) May 205 straddle priced for a move of 4% into the expected release of quarter results before the bell on May 13.

SmileDirectClub (SDC) May 9 straddle priced for a move of 20% into the expected release of quarter results on May 13.

Cisco (CSCO) May 43.50 straddle priced for a move of 7% into the expected release of quarter results after the bell on May 13.

Sony (SNE) May 67 straddle priced for a move of 7% into the expected release of quarter results before the bell on May 13.

Brookfield Asset Management (BAM) May 35 straddle priced for a move of 9% into the expected release of quarter results before the bell on May 14.

Applied Materials (AMAT) May 54 straddle priced for a move of 8% into the expected release of quarter results after the bell on May 14.

JD.Com (JD) May 47 straddle priced for a move of 8% into the expected release of quarter results before the bell on May 15.

V.F. Corp (VFC) May 57.50 straddle priced for a move of 9% into the expected release of quarter results before the bell on May 15.

Options with decreasing option implied volatility: TGTX STNG EURN APT CAR PENN SNAP PYPL USO V AMRN
Increasing unusual option volume: LOGI EGHT LEG MYOK MED DT TWNK SPG TCO
Increasing unusual call option volume: LOGI EGHT TWNK DDOG AMC
Increasing unusual put option volume: VNOM CNP CRC AMC VNQ DDOG VAC
Popular stocks with increasing unusual volume: SPCE DAL BYND AAL WFC ROKU
Active options: AAPL AMD TSLA MSFT AMC BAC BABA AAL DIS NVDA CSCO BYND SDC BA XOM WFC FB ROKU SPCE DAL

Global S&P Futures are recently mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil is recently at $24.87, natural gas up mixed, gold at $1708 an ounce