Pre-Market IV Report May 14, 2020

Pre-Market IV Report May 14, 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 VTIQ DKNG SDC CRWD PDD DKNG CSCO CODX UNFI CF TCO

Options expected to have increasing volume: CSCO GRUB UBER AMAT EGHT

Taubman Centers (TCO) May put option implied volatility at 106, calls at 63 on active volume

Taubman Centers (TCO) May call option implied volatility 10% out of the money is at 63, puts at 106, June call option implied volatility 10% out to the money is at 51, puts at 91; compared to its 52-week range of 13 to 113. Call put ratio 1 call to 1.8 puts.

Simon Property (SPG) May call option implied volatility is at 87, June is at 79; compared to its 52-week range of 17 to 153. Call put ratio 1 call to 1.2 puts.

Vanguard Reit Etf (VNQ) 30-day option implied volatility is at 14; compared to its 52-week range of 10 to 89. Call put ratio 1 call to 5 puts with focus on September 60 puts.

DataDog (DDOG) May option IV elevated

DataDog (DDOG) May call option implied volatility is at 112, June is at 65; compared to its 52-week range of 53 to 105. Call put ratio 2 calls to 1 put.

Straddle prices for stocks expected to report quarterly results this week

Norwegian Cruise (NCLH) May 10.50 straddle priced for a move of 11% into the expected release of quarter results today before the bell.

Stratasys (SSYS) May 16.50 straddle priced for a move of 14% into the expected release of quarter results today before the bell.

Brookfield Asset Management (BAM) May 31 straddle priced for a move of 7% into the expected release of quarter results today before the bell.

Applied Materials (AMAT) May 51.50 straddle priced for a move of 7% into the expected release of quarter results today after the bell.

JD.Com (JD) May 48 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 53 straddle priced for a move of 10% into the expected release of quarter results before the bell on May 15.

Option implied volatility for large issuers of CLOs

Altice (ATUS) 30-day option implied volatility is at 45; compared to its 52-week range of 27 to 103 amid being a large issuer of CLOs.

TransDigm (TDG) 30-day option implied volatility is at 60; compared to its 52-week range of 19 to 159 amid being a large issuer of CLOs.

American Airlines (AAL) 30-day option implied volatility is at 134; compared to its 52-week range of 29 to 293 amid being a large issuer of CLOs.

CenturyLink (CTL) 30-day option implied volatility is at 59; compared to its 52-week range of 27 to 129 amid being a large issuer of CLOs.

Bank option implied volatility

Zions Bancorp (ZION) 30-day option implied volatility is at 50; compared to its 52-week range of 20 to 100

U.S. Bancorp (USB) 30-day option implied volatility is at 55; compared to its 52-week range of 14 to 120

Fifth Third Bancorp (FITB) 30-day option implied volatility is at 60; compared to its 52-week range of 20 to 151

Huntington Bancshares (HBAN) 30-day option implied volatility is at 65; compared to its 52-week range of 19 to 148

TCF Financial Corp. (TCF) 30-day option implied volatility is at 73; compared to its 52-week range of 22 to 125

Regions Financial (RF) 30-day option implied volatility is at 69; compared to its 52-week range of 20 to 161

Citizens Financial (CFG) 30-day option implied volatility is at 66; compared to its 52-week range of 19 to 145

Ally Financial (ALLY) 30-day option implied volatility is at 80; compared to its 52-week range of 19 to 191

Northern Trust (NTRS) 30-day option implied volatility is at 49; compared to its 52-week range of 19 to 127

American Express (AXP) 30-day option implied volatility is at 55; compared to its 52-week range of 14 to 123 after selling off 6.1%.

ExxonMobil (XOM) 30-day option implied volatility is at 49; compared to its 52-week range of 15 to 111 after selling off 4.9%.

Walgreens Boots Alliance (WBA) 30-day option implied volatility is at 45; compared to its 52-week range of 19 to 88 after selling off 5.3%.

Options with decreasing option implied volatility: HYG CCL USO SNAP RTX INSG BE ZNGA UA LYGT LYV PTON LYV
Increasing unusual option volume: MFC EFX EGHT GFI DT UNFI LOGI DDOG JACAK QDEL
Increasing unusual call option volume: EGHT LOGI GFI UNFI JACK MLCO COTY DKNG
Increasing unusual put option volume: UNM UNFI MUR VNO DDOG WELL H JACK DKNG TCO
Popular stocks with increasing unusual volume: GE BYND AAL UBER CSCO
Active options: AAPL GE TSLA AMD MSFT BAC FB WFC BYND NFLX CSCO BA AAL UBER DAL NVDA DIS AMZN C JPM
Global S&P Futures recently mixed in premarket, Nikkei down 1.7%, DAX down 1.7%, WTI Crude oil recently at $26.08, natural gas up 1%, gold at $1723 an ounce