Pre-Market IV Report December 17, 2019

Pre-Market IV Report December 17, 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: BB PTON ITCI BKLN LLY NVST FDX BBBY PCG S ILMN CL TIF PCG GME MEET ADMS

Options expected to have increasing volume: ROKU BA CLVS PFE GIS MU NKE PCG FDX NAV LLY

Boeing (BA) December call option implied volatility is at 34, January at 27; compared to its 52-week range of 22 to 46 into suspends 737 Max production.

General Electric (GE) December call option implied volatility is at 30, January is at 29; compared to its 52-week range of 28 to 72 into Boeing (Pre-Market IV Report December 17, 2019) suspends 737 Max production.

Honeywell (HON) December call option implied volatility is at 16, January is at 15; compared to its 52-week range of 14 to 35 into Boeing (BA) suspends 737 Max production.

Spirit AeroSystems (SPR) December call option implied volatility is at 35, January is at 31; compared to its 52-week range of 21 to 44 into Boeing (BA) suspends 737 Max production.

Clovis (CLVS) December call option implied volatility is at 155, January is at 149; compared to its 52-week range of 65 to 208 into equity offering.

Roku (ROKU) December call option implied volatility is at 65, January is at 62; compared to its 52-week range of 50 to 97 into announcing resignation of CFO.

Option implied volatility for T-Mobile (TMUS) and Sprint (S) amid upcoming proposed merger & Judge headlines

Sprint (S) December call option implied volatility is at 79, January is at 78; compared to its 52-week range of 29 to 133.

T-Mobile (TMUS) December call option implied volatility is at 21, January is at 20; compared to its 52-week range of 18 to 35.

DISH Network (DISH) December call option implied volatility is at 28, January is at 32; compared to its 52-week range of 30 to 70 amid proposed merger of T-Mobile (TMUS) and Sprint (S).

General Mills (GIS) December call option implied volatility is at 45, January is at 23; compared to its 52-week range of 30 to 70 into Unilever warns on sales growth and quarter results.

Mondelez (MDLZ) December call option implied volatility is at 14, January is at 13; compared to its 52-week range of 14 to 29 into Unilever warns on sales growth and General Mills (GIS) quarter results.

Kraft Heinz (KHC) December call option implied volatility is at 20, January is at 19; compared to its 52-week range of 21 to 51 into Unilever warns on sales growth and General Mills (GIS) quarter results.

ConAgra Brands (CAG) December call option implied volatility is at 75, January is at 35; compared to its 52-week range of 23 to 50 into Unilever warns on sales growth and quarter results on December 19.

Kellogg (K) December call option implied volatility is at 14, January is at 15; compared to its 52-week range of 17 to 31 into Unilever warns on sales growth and General Mills (GIS) quarter results.

Campbell Soup (CPB) December call option implied volatility is at 18, January is at 17; compared to its 52-week range of 18 to 45 into Unilever warns on sales growth and General Mills (GIS) quarter results.

Eli Lily (LLY) December call option implied volatility is at 31, January is at 19; compared to its 52-week range of 17 to 32 into conference call to discuss 2020 financial guidance today.

United States Oil Fund (USO) December call option implied volatility is a 25, January is at 27; compared to its 52-week range of 23 to 55 as WTI Crude oil trades above $60 after Saudi Aramco IPO.

Straddle prices for stocks expected to report quarterly results this week

Jabil (JBL) December 40 straddle priced for a move of 7% into the expected release of quarter results today before the bell

Navistar (NAV) December 32 straddle priced for a move of 8% into the expected release of quarter results today before the bell

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

General Mills (GIS) December 52.50 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 53 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.

Accenture (ACN) December 205 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on December 19.

Darden (DRI) December 115 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on December 19.

Conagra (CAG) December 29 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 99 straddle priced for a move of 4% into the expected release of quarter results after the bell on December 19.

BlackBerry (BB) December 5.5 straddle priced for a move of 12.5% into the expected release of quarter results before the bell on December 20.

Options with decreasing option implied volatility: KSS CIEN PDD EXPE ARQL AXSM SFIX OLLI UNFI CHWY
Increasing unusual option volume: DHR HEI ITCI WVE SPR LEA HLT JBL
Increasing unusual call option volume: HST LEA HBAN WVE UUP NAV HLT
Increasing unusual put option volume: MDLA ITCI SPR DHR ETRN WVE O NAV
Popular stocks with increasing unusual: PCG UBER TWTR BA
Active options: DHR AAPL TSLA MU MSFT BA FB AMRN BAC ROKU BABA AMZN BMY ITCI TWTR UBER GE DIS PCG
Global S&P Futures are recently down 2.25 from previous day. Nikkei 225 up 0.4%, DAX down 0.4%, WTI Crude oil is recently at $60, natural gas down 0.2%, gold at $1482 an ounce