Pre-Market IV Report December 10, 2019

Pre-Market IV Report December 10, 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 over looked information.

Options with increasing option implied volatility: S ORCL LULU COST TLRD PTON FDX AEO NUAN ZIOP SHY ONCE CHWY I BBBY UVXY

Options expected to have increasing volume: AEO LULU PCG AZO GME CHWY MTN THOR SFIX HD BA MTN BLUE BMY A

SPY, RUT & QQQ short duration December put IV increases into FOMC and December 15 tariff deadline. 30 day bank IV low to flat.

Wells Fargo (WFC) 30 day option implied volatility at 18; compared to its 52-week range of 15 to 44 into FOMC meeting and December 15 tariff deadline.

Citigroup (C) 30 day option implied volatility at 22; compared to its 52-week range of 19 to 55 into FOMC meeting and December 15 tariff deadline.

JPMorgan (JPM) 30 day option implied volatility at 19; compared to its 52-week range of 15 to 40 into FOMC meeting and December 15 tariff deadline.

Bank of America (BAC) 30 day option implied volatility at 21; compared to its 52-week range of 19 to 48 into FOMC meeting and December 15 tariff deadline.

Goldman Sachs (GS) 30 day option implied volatility at 20; compared to its 52-week range of 18 to 49 into FOMC meeting and December 15 tariff deadline.

Straddle prices for stocks expected to report quarterly results this week

AutoZone (AZO) December weekly 1170 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on December 10

Dave & Buster (PLAY) December 40 straddle priced for a move of 11% into the expected release of quarter results on December 10

GameStop (GME) December weekly 6.50 straddle priced for a move of 18% into the expected release of quarter results after the bell on December 10

HD Supply (HDS) December 40 straddle priced for a move of 6.5% into the expected release of quarter results on December 10

American Eagle (AEO) December weekly 15.5 straddle priced for a move of 10.50% into the expected release of quarter results before the bell on December 11

Luluemon (LULU) December weekly 230 straddle priced for a move of 8% into the expected release of quarter results after the bell on December 11

Tailored Brands (TLRD) December 5 straddle priced for a move of 22% into the expected release of quarter results after the bell on December 11

United Natural Foods (UNFI) December 10 straddle priced for a move of 15% into the expected release of quarter results before the bell on December 11

Adobe (ADBE) December weekly 307.5 priced for a move of 3.5% into the expected release of quarter results after the bell on December 12

Ciena (CIEN) December weekly 34.50 straddle priced for a move of 8% into the expected release of quarter results before the bell on December 12

Costco (COST) December weekly 295 straddle priced for a move of 3% into the expected release of quarter results on December 12

Oracle (ORCL) December weekly 55 priced for a move of 5.5% into the expected release of quarter results before the bell on December 12

Broadcom (AVGO) December weekly 315 priced for a move of 5% into the expected release of quarter results before the bell on December 13

Dogs of the Dow stocks option implied volatility

Walgreens Boots Alliance (WBA) December weekly call option implied volatility is at 22, December is at 23, January is at 29; compared to its 52-week range of 19 to 37 as shares underperform Dow Jones Index peers.

3M Co. (MMM) December weekly call option implied volatility is at 20, December is at 21, January is at 20; compared to its 52-week range of 16 to 36 as shares underperform Dow Jones Index peers.

Verizon Communications (VZ) December weekly, December and January call option implied volatility is at 12; compared to its 52-week range of 12 to 34 as shares underperform Dow Jones Index peers.

Cisco Systems (CSCO) December weekly call option implied volatility is at 20, December is at 19, January is at 18; compared to its 52-week range of 17 to 42 as shares underperform Dow Jones Index peers.

Sprint (S) 30 day option implied volatility is at 101; compared to its 52-week range of 29 to 133 as shares at low end of range into litigation.

Axsome Therapeutics (AXSM) December call option implied volatility is at 264, January is at 210; compared to its 52-week range of 66 to 298 into End-of-Phase 2 meeting with the FDA.

Options with decreasing option implied volatility: DLTR FIT EXPE ARQL PDD AUPH CARA CLDR HOME CRC FIZZ RH ZM
Increasing unusual option volume: VNQ AMJ INVA CORV EXPR RRC CASY CONN PEAK CY DHR ACB
Increasing unusual call option volume: AMJ INVA CORV PEAK EXPR RRC CNQ LL OLLI NUAN
Increasing unusual put option volume: VNQ AMJ SNY MGI KEY INVA DHR EXPR PTI CONN HDS CY
Popular stocks with increasing unusual: PCG LULU AEO BMY
Active options: AAPL DHR PCG TSLA AMD BABA FB FCX CGC MSFT AMZN DIS ROKU BAC MU ACB NFLX GE CLF BMY

Global S&P Futures are recently down 12.50 from previous day. Nikkei 225 down 0.1%, DAX down 1.4%, WTI Crude oil is recently at $58.80, natural gas down 0.4%, gold at $1469 an ounce