Pre-Market IV Report December 18, 2018

Pre-Market IV Report December 18, 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: UXIN RESI TLRY CLNY JNJ XLV XLU SHOP OIH CZR PEP BBY BBBY

Options expected to have increasing volume: JNJ FDX MU ORCL CBS BA NUS

Johnson & Johnson (JNJ) December call option implied volatility is at 47, January is at 31; compared to its 52-week range of 11 to 32 into announcing a $5B stock buyback.

Micron (MU) December call option implied volatility is at 105, January is at 61; compared to its 52-week range of 34 to 63 into the expected release of EPS on December 18. December 40 straddle priced for a move of 9%.

Boeing (BA) December call option implied volatility is at 45, January is at 37; compared to its 52-week range of 18 to 43 into announcing new $20B stock buyback and raising dividend by 20%.

Consumer financing company’s option implied volatility increases

Ally Financial (ALLY) December call option implied volatility is at 44, January is at 38; compared to its 52-week range of 19 to 42. Call put ratio 4.7 calls to 1 put.

America’s Car Mart (CRMT) December call option implied volatility is at 45, January is at 40; compared to its 52-week range of 25 to 69.

Santander Consumer USA (SC) December call option implied volatility is at 46, January is at 37; compared to its 52-week range of 23 to 54.

Discover Financial Services (DFS) December call option implied volatility is at 40, January is at 34; compared to its 52-week range of 17 to 34.

Capital One Financial (COF) December call option implied volatility is at 43, January is at 33; compared to its 52-week range of 17 to 34.

United States Oil Fund (USO) December call option implied volatility is at 55, January is at 54; compared to its 52-week range of 17 to 62 as WTI crude oil trades below $50.

Straddle prices for stocks expected to report results this week

FedEx (FDX) December 182.50 straddle priced for move of 5.5% into the expected release of EPS today after the bell
Jabil (JBL) December 21.50 straddle priced for move of 8% into the expected release of EPS today after the bell
Micron (MU) December 34 straddle priced for move of 9% into the expected release of EPS today after the bell
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
Steelcase (SCS) December 15 straddle priced for move of 12% into the expected release of EPS after the bell on December 19
Carnival Corp (CCL) December 56.50 straddle priced for move of 5.5% into the expected release of EPS on December 20
Accenture (ACN) December 150 straddle priced for move of 5.5% 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 29 straddle priced for move of 6% into the expected release of EPS before the open on December 20
Nike (NKE) December 70 straddle priced for move of 7% into the expected release of EPS on December 20
Sanderson Farms (SAFM) December 95 straddle priced for move of 7% into the expected release of EPS on December 20
Walgreens (WBA) December 76 straddle priced for move of 6% into the expected release of EPS on December 20
CarMax (KMX) December 60 straddle priced for move of 7% into the expected release of EPS on December 21

Increasing unusual option volume: PUMP TSEM AER KOS MCK TELL DRI IWF BRX CHS STLD AVGO ALLY
Increasing unusual call option volume: PUMP AER IEF SIG TSEM TELL ALLY DVY AVGO MCK NGG
Increasing unusual put option volume: TSEM DRI KOS CHS AER MCK STLD CBE IMGN IWF NRZ
Popular stocks with increasing volume: F JNJ RIG T GS AMZN
Options with decreasing option implied volatility: PVTL SFIX TLRD DSW APHA TROX NBIX AEO CIEN PLAY
Active options: AAPL BAC AMD F AMZN MSFT GE TSLA MU FB BABA NVDA JNJ NFLX TWTR SQ C AVGO GS T RIG