Pre-Market IV Report December 16, 2019

Pre-Market IV Report December 16, 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: ITCI BKLN NVST BB BBBY CLVS NKE AMRN ONCE CL ETRN

Options expected to have increasing volume: BA IFF UBER PCG FDX NAV CTAS LLY MU NKE USO XOM

Boeing (BA) December call option implied volatility is at 23, January at 24, January 2021 at 28; compared to its 52-week range of 22 to 46 into reports may cut back or halt 737 Max production.

PG&E Corp. (PCG) December call option implied volatility is at 170, January is at 140; compared to its 52-week range of 59 to 254 into judge ruling, Governor and investor comments and investor on Wednesday, Bloomberg reports.

Index Option implied volatility decreased after U.S. China trade headlines.

PowerShares QQQ Trust (QQQ) December call option implied volatility is at 11, January is at 13; compared to its 52-week range of 14 to 37.

S&P Dep Receipts (SPY) January call option implied volatility is at 10, January 2021 is at 15;

S&P Dep Receipts (SPY) December call option implied volatility is at 9, January is at 10, January 2021 is at 15; compared to its 52-week range of 10 to 32 on 2020 growth economic expectations.

iShares Russell 2000 ETF (IWM) December call option implied volatility is at 12, January is at 13; compared to its 52-week range of 14 to 34 into conflicting China, U.S. phase one deal details.

United States Oil Fund (USO) December call option implied volatility is a 24, January is at 26; compared to its 52-week range of 23 to 55 as WTI Crude oil trades above $60 after Saudi Aramco IPO.

Market Vectors Russia ETF Trust (RSX) 30 day option implied volatility is a 28; compared to its 52-week range of 16 to 33 as WTI Crude oil trades above $60 after Saudi Aramco IPO.

Eli Lily (LLY) December call option implied volatility is at 20, January is at 19; compared to its 52-week range of 17 to 32 into conference call to discuss 2020 financial guidance on December 17.

Farfetch Limited (FTCH) 30-day call option implied volatility is at 59; compared to its 52-week range of 46 to 118.

Straddle prices for stocks expected to report quarterly results this week

Jabil (JBL) December 40 straddle priced for a move of 8.5% into the expected release of quarter results before the bell on December 17.

Navistar (NAV) December 32 straddle priced for a move of 9% into the expected release of quarter results before the bell on December 17.

FedEx (FDX) December 165 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on December 17.

General Mills (GIS) December 50 straddle priced for a move of 4% into the expected release of quarter results before the bell on December 18.

Steelcase (SCS) December 20 straddle priced for a move of 10% into the expected release of quarter results before the bell on December 18.

Paychex (PAYX) December 85 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on December 18.

Micron (MU) December 51 straddle priced for a move of 7.5% into the expected release of quarter results after the bell on December 18.

Toro (TTC) December 80 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on December 18.

Darden (DRI) December 115 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on December 19.

Conagra (CAG) December 28 straddle priced for a move of 4% into the expected release of quarter results before the bell on December 19.

Sanderson Farms (SAFM) December 165 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on December 19.

Nike (NKE) December 98 straddle priced for a move of 4% into the expected release of quarter results after the bell on December 19.

BlackBerry (BB) December5.5% straddle priced for a move of 11% into the expected release of quarter results before the bell on December 20.

Options with decreasing option implied volatility: PDD CIEN DLTR EXPE ARQL SFIX UNFI GME OLLI BLUE AEO ORCL
Increasing unusual option volume: EWT QURE LVS TV REGI MLCO EWU BANK DHR MIK
Increasing unusual call option volume: EWT TV LVS EFA QURE EWJ EWU EEM BANC MLCO
Increasing unusual put option volume: MIKE EXPR CFX FFIV SRPT TME RUSL
Popular stocks with increasing unusual: COST VALE FCX LVS
Active options: AAPL DHR AMD TSLA LVS FB BAC ROKU MSFT AMZN NVDA BABA MU SNAP DIS VALE FCX NFLX SHOP COST
Global S&P Futures are recently up 9.50 from previous day. Nikkei 225 down 0.2%, DAX up 0.5%, WTI Crude oil is recently at $60, natural gas 0%, gold at $1481 an ounce