Pre-Market IV Report April 2, 2019

Pre-Market IV Report April 2, 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: WBA CMG S COTY TWTR S NLSN GME PPL ABMD XLRE SVMK SA

Options expected to have increasing volume: WBA BA SPY QQQ IWM RUT

Option implied volatility is low to flat for stocks with China – U.S. trade talks exposure

Skyworks (SWKS) April weekly call option implied volatility is at 24, April is at 25; compared to its 52-week range of 22 to 54. Call put ratio 2.3 calls to 1 put with focus on April weekly 85 calls.

Nvidia (NVDA) April weekly call option implied volatility is at 36, April is at 33; compared to its 52-week range of 25 to 86.

Micron (MU) April weekly call option implied volatility is at 39, April is at 36, May is at 37; compared to its 52-week range of 34 to 65. Call put ratio 1.5 calls to 1 put.

Ctrip.com (CTRP) April weekly call option implied volatility is at 32, April is at 29; compared to its 52-week range of 23 to 53. Call put ratio 1.8 calls to 1 put with focus on January 50 calls as U.S. China trade talks continue.

YY, Inc. (YY) April weekly call option implied volatility is at 41, April is at 39; compared to its 52-week range of 38 to 78. Call put ratio 1.8 calls to 1 put.

HUYA Inc. (HUYA) April weekly call option implied volatility is at 64, April is at 60; compared to its 52-week range of 56 to 125.

Caterpillar (CAT) April weekly call option implied volatility is at 20, April is at 21; compared to its 52-week range of 20 to 50.

Deere (DE) April weekly call option implied volatility is at 22, April is at 21; compared to its 52-week range of 21 to 44.

Ford (F) April weekly call option implied volatility is at 27, April is at 21; compared to its 52-week range of 19 to 54 into March sales report.

General Motors (GM) April weekly call option implied volatility is at 27, April is at 22; compared to its 52-week range of 20 to 45 into March sales report.

YETI Holdings, Inc. (YETI) April weekly all option implied volatility is at 85, April is at 80, May is at 81; compared to its 52-week range of 48 to 84. Call put ratio 1.1 calls to 1 put with focus on May 30 and 35 calls.

Lowe’s Cos. (LOW) April weekly call option implied volatility is at 22, April is at 19; compared to its 52-week range of 17 to 41. Call put ratio 1 call to 1.8 puts with focus on April weekly 108, 109 and 110 puts.

Papa John’s International (PZZA) April weekly call option implied volatility is at 42, April is at 34, May is at 35; compared to its 52-week range of 29 to 63.

S&P Dep Receipts (SPY) April weekly and April call option implied volatility is at 11; compared to its 52-week range of 9 to 32. US Stocks were sharply higher on the first day of the quarter as all major indexes were up over 1% while implied volatility continued to fall after both the US and China reported strong manufacturing numbers. 30-Day implied volatility in the S&P 500 is at 11%; the lowest levels we’ve seen since mid-March.

United States Oil Fund (USO) April weekly call option implied volatility is at 24, April is at 23; compared to its 52-week range of 20 to 62. Call put ratio 1 call to 1.4 put as WTI Crude oil trades above $61.85.

Straddle prices for stocks expected to report results this week

Walgreens Boots (WBA) April weekly 63.50 straddle priced for move of 4.5% into the expected release of EPS today before the bell

GameStop (GME) April weekly 10.50 straddle priced for move of 10.5% into the expected release of EPS today after the bell

Acuity Brands (AYI) April 125 straddle priced for move of 7% 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 28 straddle priced for move of 16% into the expected release of EPS before the bell on April 3

Constellation Brands (STZ) April weekly 177.5 straddle priced for move of 6.5% into the expected release of EPS before the bell on April 3

Duluth Holdings (DLTH) April 25 straddle priced for move of 18% into the expected release of EPS after the bell on April 3

International Speedway (ISCA) April straddle 45 priced for move of 10% into the expected release of EPS before the bell on April 3

Lyft (LYFT) is trading 3% lower in the pre-opening.

Increasing unusual option volume: NUAN KAR PLAY UPLD TGTX HIG UBS COHR TTM
Increasing unusual call option volume: NUAN INDA KAR SPLV IJR ONB USB
Increasing unusual put option volume: PPL ABMD XLRE SVMK PLAY HIG ALLY WWE LOW
Popular stocks with increasing unusual: WWE LOW SEAS YRCW DIS QCOM COTY ATHM
Options with decreasing option implied volatility: CCL GPS TTD BIIB KHC ALDX CELF RH LULU FIVE KMX
Active options: BAC AAPL AMD JD MSFT TSLA COTY BA FB AMZN T NFLX GE BABA MU NVDA QCOM JPM DIS

Remember, implied volatility is a measure of the options market’s view of anticipated price moves in the future while historical is a measure of what has happened over a defined number of days in the past.