Pre-Market IV Report April 9, 2019

Pre-Market IV Report April 9, 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: COTY BBBY S EBAY TWTR CNC RIOT AXDX OLED ROKU THC TTD YELP GE TWLO

Options expected to have increasing volume: DAL BBBY FAST LEVI WYNN

Wynn Resorts (WYNN) April weekly and April call option implied volatility is at 32, May is at 37; compared to its 52-week range of 25 to 72 into Crown Resorts confirms ‘preliminary’ acquisition talks with Wynn Resorts.

Disney (DIS) April weekly call option implied volatility is at 34, April is at 26, May is at 22; compared to its 52-week range of 15 to 35 into an investor day on April 11. Call put ratio 1.8 calls to 1 put. DIS is expected to release EPS in early May.

New Age Beverages (NBEV) April weekly call option implied volatility is at 134, April is at 112, May is at 95; compared to its 52-week range of 80 to 367. Call put ratio was 3.6 calls to 1 put with focus on April weekly 6 and 6.5 calls after reports of a Walmart (WMT) distribution deal.

YETI Holdings, Inc. (YETI) April weekly call option implied volatility is at 64, April is at 73, May is at 78; compared to its 52-week range of 48 to 87 into the expected release of EPS in May. Call put ratio 1 call to 1.4 puts with focus on May puts.

United States Oil Fund (USO) April weekly call option implied volatility is at 24, April and May is at is at 22; compared to its 52-week range of 20 to 62. Call put ratio 1.4 calls to 1 put after WTI Crude oil trades near five-month high.

Ishares Msci Mexico Capped Etf (EWW) April weekly, April and May call option implied volatility is at 17; compared to its 52-week range of 17 to 43 as shares trend higher.

iShares MSCI Brazil (EWZ) April weekly call option implied volatility is at 31, April is at 30, May is at 27; compared to its 52-week range of 25 to 64.

Concert Pharma (CNCE) April call option implied volatility is at 100, May is at 77; compared to its 52-week range of 53 to 173 after a patent ruled invalid after Incyte (NASDAQ: INCY) review challenge – Bloomberg.

Avaya Holdings (AVYA) April call option implied volatility is at 50, May is at 64; compared to its 52-week range of 33 to 82. Call put ratio 1 call to 3.7 puts with focus on April and May 15 puts.

Db X-trackers Harvest Csi 300 China A – Shares Fund (ASHR) April weekly call option implied volatility is at 30, April and May is at 27; compared to its 26-week range of 18 to 35. Call put ratio 29 calls to 1 put with focus on April and May calls.

Papa John’s International (PZZA) April weekly, April call option implied volatility is at 33, May is at 40; compared to its 52-week range of 29 to 63 as shares prices stabilizes.

Straddle prices for stocks expected to report results this week

Levi Strauss (LEVI) April 21 straddle priced for a move of 8.5% into the expected release of EPS after the bell on April 9
Bed Bath & Beyond (BBBY) April weekly 18.50 straddle priced for a move of 12% into the expected release of EPS after the bell on April 10
Delta (DAL) April weekly 57.50 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 10.50% 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 106 straddle priced for a move of 3% 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
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

Increasing unusual option volume: CNSL VTL AVYA AMG FTI ITB AERI ITB AERI
Increasing unusual call option volume: FTI ITB GIS DRI SYMC MMC GPRE AVYA T LOW PLNT
Increasing unusual put option volume: AVYA AMG ADS PLNT TMUS CPRI NDAQ DY
Popular stocks with increasing unusual: NBEV PBR ROKU DIS ROKU
Options with decreasing option implied volatility: SIG GME PLAY STZ LW MLNX TBT KR AVEO WBA CELG BIIB
Active options: GE AAPL TSLA AMD SNAP VZ AMZN BABA FB NVDA NBEV PBR ROKU BAC DIS NFLX MU MSFT