Pre-Market IV Report April 1, 2019

Pre-Market IV Report April 1, 2019

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 overlooked information.

Options with increasing option implied volatility: CMG S EBAY COTY TWTR NLSN S TWTR MLNX PSEC ENDP TUR

Options expected to have increasing volume: FB GG FCAU

S&P Dep Receipts (SPY) April weekly and April call option implied volatility is at 12; compared to its 52-week range of 9 to 32 as shares trade higher before the bell on the first day of the quarter on strong Chinese economic data.

United States Oil Fund (USO) April weekly call option implied volatility is at 23, April is at 25; compared to its 52-week range of 20 to 62. Call put ratio 1 call to 1 put as WTI Crude oil trades above $60.

Facebook’s (FB) April weekly call option implied volatility is at 20, April is at 21; compared to its 52-week range of 20 to 53 into CEO Mark Zuckerberg called for governments to play a greater role in regulating the Internet, citing four areas where he believes better rules are needed.

AT&T (T) and Verizon Communications (VZ) option implied volatility at low end range

AT&T (T) April weekly and April call option implied volatility is at 14; compared to its 52-week range of 14 to 40 into Barron’s says AT&T’s yield could be investors’ best bet for guaranteed income.

Verizon Communications (VZ) April weekly and April call option implied volatility is at 14; compared to its 52-week range of 13 to 34.

PG&E Corp. (PCG) April weekly call option implied volatility is at 52, April is at 60; compared to its 52-week range of 28 to 202. Call put ratio 5 calls to 1 put with focus on June 25 calls.

Celgene (CELG) April call option implied volatility is at 16, May is at 17; compared to its 52-week range of 22 to 57 after ISS recommends in favor of Celgene deal with Bristol-Myers (BMY).

Straddle prices for stocks expected to report results this week

Cal-Maine Foods (CALM) April weekly straddle 45 priced for move of 6% into the expected release of EPS today the bell on April 1
GameStop (GME) April weekly 10 straddle priced for move of 10.5% into the expected release of EPS after the bell on April 2
Walgreens Boots (WBA) April weekly 63.50 straddle 4.5% priced for move of % into the expected release of EPS before the bell on April 2
Acuity Brands (AYI) April 120 straddle priced for move of 7.5% into the expected release of EPS on April 3
Lamb Wesson Holding (LW) April 75 straddle priced for move of 6.5% into the expected release of EPS on April 2
Signet Jewelers (SIG) April weekly 27 straddle priced for move of 17% into the expected release of EPS before the bell on April 3
Constellation Brands (STZ) April weekly 175 straddle priced for move of 6.5% into the expected release of EPS before the bell on April 3

Increasing unusual option volume: ALKS RH TGTX MYGN BB TEL KMX COTY YPF
Increasing unusual call option volume: ALKS YPF KMX BB RH MITK LQD TGTX GLPG COTY PCG
Increasing unusual put option volume: TGTX RH MYGN WTI NMRK BB MXEF COTY KMX XLRE
Popular stocks with increasing unusual volume: BB DIS
Options with decreasing option implied volatility: CELG TTD NTNX BIIB KHC ALDX RH FIVE LULU VIAB KMX LEN BB CCL PAYX
Active options: COTY AAPL CELG BA MU AMD TSLA AMZN BAC JD NVDA FB BMY BB BABA NFLX DIS GE MSFT FCX