Pre-Market IV Report December 17, 2018

Pre-Market IV Report December 17, 2018

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: JNJ TSRO RHT ENDP SHOP OIH ORCL MU WBA WPM YRCW

Options expected to have increasing volume: XPO GS JNJ CCL ORCL MU WYNN ORCL

Johnson & Johnson (JNJ) December call option implied volatility is at 32, January is at 24; compared to its 52-week range of 11 to 30 after Reuters reported JNJ baby powder issues. Call put ratio 1 call to 1.5 puts.

Goldman Sachs (GS) December call option implied volatility is at 37, January is at 36; compared to its 52-week range of 15 to 33 as shares near 26-month low into recent Malaysia criminal legal issues.

XPO Logistics (XPO) December call option implied volatility is at 73, January is at 64; compared to its 52-week range of 25 to 112 after short seller report resulted in wide share price movement.

Steelcase (SCS) December call option implied volatility is at 69, January is at 44, compared to its 52-week range of 26 to 60 into the expected release of EPS today after the bell.

Oracle (ORCL) December call option implied volatility is at 55, January is at 34, compared to its 52-week range of 14 to 38 into the expected release of EPS today after the bell.

Sunoco (SUN) December call option implied volatility is at 20, January is at 21; compared to its 52-week range of 19 to 42.

Weight Watchers (WTW) December call option implied volatility is at 53, January is at 58; compared to its 52-week range of 35 to 93. Call put ratio 1 call to 15 puts with focus on January and February 55 puts.

iShares FTSE Xinhua China 25 Index (FXI) December call option implied volatility is at 22, January is at 24; compared to its 52-week range of 16 to 33 into China economic policymakers meeting.

Ishares Msci Mexico Capped Etf (EWW) December call option implied volatility is at 31, January is at 30; compared to its 52-week range of 16 to 43 as shares trade near nine-year low into budget proposals.

Straddle prices for stocks expected to report results this week
Carnival Corp (CCL) December 56.50 straddle priced for move of 5.5% into the expected release of EPS on December 17
Steelcase (SCS) December 15 straddle priced for move of 12% into the expected release of EPS after the bell on December 17
Red Hat (RHT) December 177.50 straddle priced for move of 1% into the expected release of EPS after the bell on December 17
Oracle (ORCL) December weekly 47 straddle priced for move of 5.5% into the expected release of EPS after the bell on December 17
Darden (DRI) December 105 straddle priced for move of 7% into the expected release of EPS on December 18
FedEx (FDX) December 185 straddle priced for move of 5.5% into the expected release of EPS after the bell on December 18
Jabil (JBL) December 21.50 straddle priced for move of 8% into the expected release of EPS after the bell on December 18
Micron (MU) December 34 straddle priced for move of 9% into the expected release of EPS after the bell on December 18
Navistar (NAV) December 25.50 straddle priced for move of 9% into the expected release of EPS before the open on December 18
Cintas (CTAS) December 170 straddle priced for move of 5% into the expected release of EPS after the bell on December 19
General Mills (GIS) December 37.50 straddle priced for move of 5.6% into the expected release of EPS before the open on December 19
Paychex (PAYX) December 65 straddle priced for move of 4.5% into the expected release of EPS before the open on December 19
Winnebago (WGO) December 20 straddle priced for move of 12% into the expected release of EPS before the open on December 19
Accenture (ACN) December 155 straddle priced for move of 5% into the expected release of EPS before the open on December 20
Apogee (APOG) December 30 straddle priced for move of 12% into the expected release of EPS before the open on December 20
BlackBerry (BB) December 7.5 straddle priced for move of 10% into the expected release of EPS on December 20
ConAgra (CAG) December 30 straddle priced for move of 5.5% into the expected release of EPS before the open on December 20
Nike (NKE) December 72.50 straddle priced for move of 7% into the expected release of EPS on December 20
Sanderson Farms (SAFM) December 100 straddle priced for move of 7% into the expected release of EPS on December 20
Walgreens (WBA) December 78.50 straddle priced for move of 5.5% into the expected release of EPS on December 20
CarMax (KMX) December 61 straddle priced for move of 6.5% into the expected release of EPS on December 21

Increasing unusual option volume: JNJ ACOR CIT LM PNR XPO TRU DVY CHK COST YRCW
Increasing unusual call option volume: IYR FDC XPO AU JNJ DO QSR WPM KEYS BHF CVRR
Increasing unusual put option volume: FXH TRU JNJ LM ETFC SYK BOOT ESV RUN XPO EPD SUN
Popular stocks with increasing volume: COST CHK KORS GPRO ADBE EBAY WSM
Options with decreasing option implied volatility: XPO NLY RAMP NBEV JNK COST TLRY ESRX BKLN FSRX
Active options: AAPL BAC JNJ FB AMZN MSFT AMD TSLA BABA GE NFLX MU COST NVDA ADBE FDC JD INTC T CHK