Pre-Market IV Report December 18, 2019

Pre-Market IV Report December 18, 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 WVE TUP TA CZR BKLN S BB ILMN CL CZR TIF NVST PTON BBBY FDX

Options expected to have increasing volume: PCG MU NKE FDX NAV TSLA VIX FCAU GM F TM HMC CTAS SCS TTC GIS PAYX S DISH TMUS

Big VIX Trade suggests return of ’50 cent’

CBOE Volatility Index (VIX) call put ratio 2.6 calls to 1 put with focus on January 22 calls. Big VIX Trade suggests return of ’50 cent’

United States Oil Fund (USO) December call option implied volatility is a 25, January is at 23; compared to its 52-week range of 23 to 55 as WTI Crude oil trades above $60, near levels following the attack on Saudi Arabia oil fields.

PG&E Corp. (PCG) December call option implied volatility is at 227, January is at 84; compared to its 52-week range of 59 to 254 into submits settlement pact to CPUC related to 2017, 2018 wildfires.

DISH Network (DISH) December call option implied volatility is at 29, January is at 33; compared to its 52-week range of 30 to 70 amid Charlie Ergen, the chairman of the pay-TV provider, said his company has received “highly confident” letters from banks on $10B in loans to build a network for his new wireless phone venture, Bloomberg reports.

T-Mobile (TMUS) December call option implied volatility is at 20, January is at 19; compared to its 52-week range of 18 to 35 amid proposed merger with Sprint (S). Charlie Ergen, the chairman of DISH Network (DISH), said his company has received “highly confident” letters from banks on $10B in loans to build a network for his new wireless phone venture, Bloomberg reports.

Sprint (S) December call option implied volatility is at 73, January is at 73; compared to its 52-week range of 29 to 133.

Goldman Sachs (GS) December call option implied volatility is at 19, January is at 22; compared to its 52-week range of 19 to 50 into 2020 investor day on January 29, 2020. Call put ratio 3.6 calls to 1 put with focus on December calls.

Boeing (BA) December call option implied volatility is at 30, January at 26; compared to its 52-week range of 22 to 46 after suspends 737 Max production.

Spirit AeroSystems (SPR) December call option implied volatility is at 43, January is at 33; compared to its 30-week range of 21 to 44 after Boeing (BA) announces a January manufacturing halt of 737 Max. Call put ratio 1 call to 6.5 puts with focus on December 75 puts.

iShares China Large-Cap (FXI) December call option implied volatility is at 18, December is at 16; compared to its 52-week range of 16 to 30 into China President XI arrives in Macau.

Beyond Meat (BYND) December call option implied volatility is at 46, January is at 48; compared to its 30-week range of 49 to 141 into CES.

Straddle prices for stocks expected to report quarterly results this week

General Mills (GIS) December 52.50 straddle priced for a move of 4% into the expected release of quarter results today before the bell.

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

Micron (MU) December 53 straddle priced for a move of 7% into the expected release of quarter results today after the bell.

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

Accenture (ACN) December 202.5 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 170 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on December 19.

Nike (NKE) December 99.50 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.

Farfetch Limited (FTCH) 30-day call option implied volatility is at 60; compared to its 52-week range of 46 to 118. Call put ratio 1 call to 2.3 puts.

Options with decreasing option implied volatility: KSS PDD CIEN ARQL PTI AXSM ATNX OLLI UNFI LULU AEO JBL
Increasing unusual option volume: DCP DCPH AMJ ADMS SPR CTAS
Increasing unusual call option volume: DCP TUP PM DCPH CTAS CLW LOGM DNR
Increasing unusual put option volume: AMJ PTI SPR JCOM AES BRFS CTAS
Popular stocks with increasing unusual: AMJ PTI SPR JCOM AES BRFS CTAS
Active options: AAPL TSLA AMD NFLX DHR BA AMZN BAC PM MU MSFT FB ROKU FDX NVDA BABA NIO AMRN HD DIS

Global S&P Futures are recently down 1.50 from previous day. Nikkei 225 down 0.5%, DAX down 0.01%, WTI Crude oil is recently at $60.50, natural gas down 1.1%, gold at $1481 an ounce