Pre-Market IV Report December 11, 2019

Pre-Market IV Report December 11, 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 ITCI PTI GME VIX ORCL ZIOP LULU S TMUS COST TLRD PTON FDX AEO NUAN PCG AKBA EDIT YPF CI EVH FIT JBLU CVS

Options expected to have increasing volume: AVGO ORCL XLF LULU PCG GME HD MTN BMY AEO OLLI PLAY UNFI T

Peloton (PTON) December weekly call option implied volatility is at 88, December and January is at 83; compared to its 16-week range of 58 to 90 after short seller Citron comments.

T-Mobile (TMUS) December weekly, December and January call option implied volatility is at 24; compared to its 52-week range of 18 to 35 amid proposed merger with Sprint (S).

Sprint (S) December weekly call option implied volatility is at 68, December is at 89, January is at 75; compared to its 52-week range of 29 to 133 amid proposed merger with T-Mobile (TMUS).

Evolent Health (EVH) December call option implied volatility is at 84, January is at 67; compared to its 52-week range of 49 to 150. Call put ratio 5.8 calls to 1 put with focus on December 7.5 and 10 calls after shares gained on talk related to chatter about the Kentucky contract.

Colony Capital (CLNY) December call option implied volatility is at 71, January is at 61; compared to its 52-week range of 25 to 75 into hosting an investor update conference call today after the bell.

Principal Financial (PFG) December call option implied volatility is at 18, January is at 22; compared to its 52-week range of 20 to 46 into hosting a conference call today to discuss 2020 outlook.

Option implied volatility for Banks into FOMC, ECB Largarde comments and December 15 deadline Phase 1 China trade tariff

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 15; compared to its 52-week range of 13 to 35

Goldman Sachs (GS) 30 day option implied volatility at 20; compared to its 52-week range of 18 to 49

Morgan Stanley (MS) 30-day option implied volatility is at 21; compared to its 52-week range of 19 to 50

U.S. Bancorp (USB) 30-day option implied volatility is at 16; compared to its 52-week range of 14 to 36

PNC Financial Services (PNC) 30-day option implied volatility is at 19; compared to its 52-week range of 18 to 43

State Street (STT) 30-day option implied volatility is at 29; compared to its 52-week range 21 to 47

Capital One Financial (COF) 30-day option implied volatility is at 19; compared to its 52-week range of 19 to 44
Northern Trust (NTRS) 30-day option implied volatility is at 21; compared to its 52-week range 18 to 40

Wells Fargo (WFC) 30 day option implied volatility at 18; compared to its 52-week range of 15 to 44

Citigroup (C) 30 day option implied volatility at 22; compared to its 52-week range of 19 to 55

JPMorgan (JPM) 30 day option implied volatility at 18; compared to its 52-week range of 15 to 40

Bank of America (BAC) 30 day option implied volatility at 21; compared to its 52-week range of 19 to 48

Straddle prices for stocks expected to report quarterly results this week

American Eagle (AEO) December weekly 15 straddle priced for a move of 11% into the expected release of quarter results today before the bell.

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

Tailored Brands (TLRD) December 5 straddle priced for a move of 20% into the expected release of quarter results today after the bell

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

Adobe (ADBE) December weekly 305 straddle 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 56 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on December 12

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

Saudi Arabia Aramco shares surged 10% on IPO debut

Options with decreasing option implied volatility: TGT DLTR FIT EXPE ARQL AUPH SAGE SFIX MIK CLDR
Increasing unusual option volume: SBGI MPW CASY OLLI CONN ETRN FTI AEO A ASNA DHR
Increasing unusual call option volume: MPW ARQL AMJ CONN CASY A PLD OLLI SNY DHR CL GNW EVH
Increasing unusual put option volume: SBGI OLLI FTI CONN FXB AEO MTZ DHR PLAY CHWY
Popular stocks with increasing unusual: PTON MU PCG DHR
Active options: AAPL DHR TSLA NFLX AMD BABA AMZN BAC DIS PCG ARQL BMY FB ROKU PTON T NVDA MU MSFT CGC

Global S&P Futures are recently up 0.25 from previous day. Nikkei 225 down 0.08%, DAX up .01%, WTI Crude oil is recently at $58.95, natural gas up 0.4%, gold at $1469 an ounce