Special IV Report March 12, 2020

Special IV Report March 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.​

NY Fed to conduct $500B 3-Mo. repo at 1:30PM ET – Bloomberg​

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) bid ask spreads wide amid NY Fed to conduct $500B 3-Mo. repo at 1:30PM ET – Bloomberg. Call put ratio 2.1 calls to 1 put. ​
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iShares 20+ Year Treasury Bond ETF (TLT) March weekly call option implied volatility is at 67, March is at 61, April is at 44; compared to its 52-week range of 7 to 40 amid NY Fed to conduct $500B 3-Mo. repo at 1:30PM ET – Bloomberg. Call put ratio 1 calls to 1.4 puts. ​

Ishares Iboxx $ High Yield Corporate Bond Etf (HYG) March weekly call option implied volatility is at 55, March is at 38, April is at 32; compared to its 52-week range of 4 to 31 amid NY Fed to conduct $500B 3-Mo. repo at 1:30PM ET – Bloomberg. Call put ratio 1 call to 9 puts. ​
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Ishares Msci Mexico Capped Etf (EWW) March call option implied volatility is at 86, April is at 65; compared to its 52-week range of 15 to 60. Call put ratio 1 call to 3 puts as shares down 15%.​
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iShares MSCI Brazil (EWZ) March call option implied volatility is at 132, April is at 44; compared to its 52-week range of 21 to 75. Call put ratio 1 call to 4.5 puts with focus on March 20 puts as shares down 18%. ​
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Petrobras (PBR) March weekly call option implied volatility is at 344, March is at 188, April calls are at 158; compared to its 52-week range of 25 to 141 as shares down 25%. ​

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