Pre-Market IV Report April 3, 2019

Pre-Market IV Report April 3, 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: KPTI AMRN WTW NLSN S W FLEX UAA TEVA EXPE GRMN CMG S COTY TWTR EBAY SIG GME PLAY

Options expected to have increasing volume: CAT BA CMG QQQ SPY SIG GME PLAY APRN PCG

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 into U.S., China coming closer to final trade deal, FT reports and March employment report.

PowerShares QQQ Trust (QQQ) April weekly and April call option implied volatility is at 14, May is at 15; compared to its 52-week range of 13 to 37 as shares trade at October 4 highs.

Caterpillar (CAT) April weekly call option implied volatility is at 21, April is at 22, May is at 27; compared to its 52-week range of 20 to 50 into downgraded to Hold from Buy at Deutsche Bank.

Chipotle (CMG) April weekly and April call option implied volatility is at 24, May is at 39; compared to its 52-week range of 22 to 51 as avocado prices spike 34% in biggest increase in a decade on President Donald Trump Mexican border import threats.

High dividend paying stocks option implied volatility is low

Pfizer (PFE) April weekly call option implied volatility is at 15, April is at 16, May is at 17; compared to its 52-week range of 12 to 34. Call put ratio 2.8 calls to 1 put.

International Paper Company (IP) April weekly call option implied volatility is at 22, April is at 21, May is at 22; compared to its 52-week range of 19 to 43. Call put ratio 1.3 calls to 1 put.

Kraft Heinz (KHC) April call option implied volatility is at 21, May is at 28; compared to its 52-week range of 19 to 44. Call put ratio 3.2 calls to 1 put.

General Motors (GM) April weekly call option implied volatility is at 24, April is at 21; compared to its 52-week range of 20 to 46.

Altria Group (MO) April weekly call option implied volatility is at 24, April is at 21; compared to its 52-week range of 17 to 39. Call put ratio 1 call to 2.4 puts with focus on May 57.50 puts.

British American Tobacco (BTI) April call option implied volatility is at 21, May is at 24; compared to its 52-week range of 19 to 52.

Philip Morris (PM) April weekly call option implied volatility is at 23, April is at 24; compared to its 52-week range of 16 to 38.

BP plc (BP) April weekly call option implied volatility is at 17, April is at 15; compared to its 52-week range of 15 to 36.

Vale S.A. (VALE) April weekly call option implied volatility is at 36, April is at 35; compared to its 52-week range of 31 to 57. Call put ratio 3.14 calls to 1 put with focus on April weekly calls.

Rio Tinto plc (RIO) April weekly call option implied volatility is at 17, April is at 22; compared to its 52-week range of 22 to 39. Call put ratio 5 calls to 1 put with focus on January calls.

Straddle prices for stocks expected to report results this week

Signet Jewelers (SIG) April weekly 27.5 straddle priced for move of 15% into the expected release of EPS before the bell on April 3
Constellation Brands (STZ) April weekly 177.5 straddle priced for move of 5.5% into the expected release of EPS before the bell on April 3
Duluth Holdings (DLTH) April 22.5 straddle priced for move of 14% 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

Increasing unusual option volume: LBTYK NRZ ADMA AVEO PLAY PRTY FITB
Increasing unusual call option volume: NRZ PRTY LBTYK AVEO FITB SC
Increasing unusual put option volume: PLAY WBA TECD AVEO JBL FAZ MOH
Popular stocks with increasing unusual: COTY WBA SNAP CVS NIO
Options with decreasing option implied volatility: RH LULU CELG ENDP FIVE BB KMX SPWR CTRP TTD NTNX BIIB KHC
Active options: FB AAPL BAC AMD COTY WBA TSLA SNAP CVS NIO BA NVDA CSCO DIS T GE MU AMZN JD NFLX