Special IV Report March 3, 2020 IV up: spreads, 10-year, virus, economy, Super Tuesday, OPEC, equity allocations…

Special IV Report March 3, 2020 IV up: spreads, 10-year, virus, economy, Super Tuesday, OPEC, equity allocations…

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.​

Option implied volatility up: spreads widen, 10-year below 1%, virus, economy, Super Tuesday, OPEC…​

Potential upcoming headlines moving IV: margin calls, hedge fund liquidations, equity capital allocations reductions at largest equity manager Blackrock (BLK)…..​

Financial Select Sector SPDR ETF (XLF) March weekly call option implied volatility is at 72, March is at 42; compared to its 52-week range of 13 to 46 amid the 10-year yield broke through 1% on an intraday basis. Call put ratio 1 call to 4.6 puts.​

Bank of America (BAC) 30-day option implied volatility is at 49; compared to its 52-week range of 17 to 56​

Goldman Sachs (GS) 30-day option implied volatility is at 43; compared to its 52-week range of 18 to 54​

JPMorgan (JPM) 30-day option implied volatility is at 44; compared to its 52-week range of 15 to 53​

Wells Fargo (WFC) 30-day option implied volatility is at 42; compared to its 52-week range of 16 to 53​

Citigroup (C) 30-day option implied volatility is at 44; compared to its 52-week range of 18 to 57​
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Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) March weekly call option implied volatility is at 56, March is at 41; compared to its 52-week range of 15 to 45 amid the 10-year yield broke through 1% on an intraday basis. Call put ratio 3 calls to 1 put. ​
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iShares 20+ Year Treasury Bond ETF (TLT) March weekly call option implied volatility is at 30, March is at 21; compared to its 52-week range of 7 to 23.​
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BlackRock (BLK) March weekly call option implied volatility is at 44, March is at 37; compared to its 52-week range of 15 to 52. Call put ratio 1 call to 1.3 puts.​
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Option implied volatility amid reports of The U.S. Congress and President Donald Trump on Wednesday discussing emergency coronavirus legislation.​
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Abbott (ABT) March weekly call option implied volatility is at 55, March is at 34; compared to its 52-week range of 15 to 40. Call put ratio 4.2 calls to 1 put.​
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Kimberly-Clark (KMB) March weekly call option implied volatility is at 40, March is at 30; compared to its 52-week range of 16 to 38. Call put ratio 1 call to 2 puts. ​

Colgate (CL) March weekly call option implied volatility is at 44, March is at 31; compared to its 52-week range of 14 to 35. Call put ratio 1.2 calls to 1 put with focus. ​

Clorox (CLX) March weekly call option implied volatility is at 38, March is at 33; compared to its 52-week range ofb15 to 38. Call put ratio 2.3 calls to 1 put with focus on March weekly calls. ​

Lakeland Industries (LAKE) March call option implied volatility is at 156, April is at 178; compared to its 52-week range of 35 to 242. ​

United Healthcare (UNH) March weekly call option implied volatility is at 90, March at 51; compared to its 52-week range of 19 to 53 amid virus. Call put ratio 1.6 calls to 1 put with focus on March weekly calls.
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