Pre-Market IV Report April 5, 2019

Pre-Market IV Report April 5, 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 COTY EBAY TWTR NLSN ASHR

Options expected to have increasing volume: SPY QQQ IWM RUT TBT TLT

World Wrestling Entertainment (WWE) calls active into WrestleMania 35, call put ratio 6.2 calls to 1 put

World Wrestling Entertainment (WWE) April call option implied volatility is at 33, May is at 37; compared to its 52-week range of 28 to 67 into WrestleMania 35 in New York. Call put ratio 6.2 call to 1 put with focus on April 90 and 95 calls. EPS are expected on April 25.

Tesla (TSLA) April weekly call option implied volatility is at 51, April is at 50, May is at 57; compared to its 52-week range of 38 to 86 into announces Autonomy Investor Day on April 19th. April weekly option implied volatility comes in on the close after shares sold off on deliver #’s and Elon Musk in NY court.

Twilio (TWLO) April weekly call option implied volatility is at 65, April is at 51; compared to its 52 -week range of 39 to 91 after the cloud company sold off 6%. Call put ratio 1.9 calls to 1 put.

Salesforce (CRM) April weekly call option implied volatility is at 38, April is at 26; compared to its 52-week range of 19 to 57 after shares traded down.

Straddle prices for stocks expected to report results next week

Levi Strauss (LEVI) April 22 straddle priced for a move of 9% into the expected release of EPS after the bell on April 9
Bed Bath & Beyond (BBBY) April weekly 17.50 straddle priced for a move of 12% into the expected release of EPS after the bell on April 10
Delta (DAL) April weekly 57 straddle priced for a move of 4.5% into the expected release of EPS before the bell on April 10
Apogee Enterprises (APOG) April 40 straddle priced for a move of 12% into the expected release of EPS before the bell on April 11
Fastenal (FAST) April 67.50 straddle priced for a move of 6% into the expected release of EPS before the bell on April 11
Infosys Technology (INFY) April 11 straddle priced for a move of 7% into the expected release of EPS before the bell on April 12
JPMorgan Chase (JPM) April weekly 105 straddle priced for a move of 3% into the expected release of EPS before the bell on April 12
PNC Financial (PNC) April weekly 128 straddle priced for a move of 2.5% into the expected release of EPS before the bell on April 12
Wells Fargo (WFC) April weekly 49 straddle priced for a move of 3% into the expected release of EPS before the bell on April 12

SPY & QQQ April weekly call option implied increases into March employment report

S&P Dep Receipts (SPY) April weekly call option implied volatility is at 13, April is at 10; compared to its 52-week range of 9 to 32 into March employment report.

PowerShares QQQ Trust (QQQ) April weekly call option implied volatility is at 17, April is at 14; compared to its 52-week range of 13 to 36 into March employment report.

Increasing unusual option volume: REPH AMWD FNSR OMF RPM FE DF HOME SHOP NYT
Increasing unusual call option volume: DF SAIL GDDY OLLI SPLV SNE CZR NUAN HOME ODP XLF
Increasing unusual put option volume: DLPH FNSR FE NVO ODP CHKP CTB NLSN
Popular stocks with increasing unusual: CZR
Options with decreasing option implied volatility: AVEO WBA CELG BIIB KHC
Active options: TSLA AAPL FB AMD BAC GE BA CZR MU BABA DIS ROKU AMZN MSFT NVDA NFLX SNAP SQ T TWTR