Pre-Market IV Report December 19, 2018

Pre-Market IV Report December 19, 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: TLRY RESI TSRO SCO UCO DVMT XRX MO PM JNJ PG GIS RCII MU FDX JNJ ENDP SHOP OIH WPM P C JPM GS….

Options expected to have increasing volume: JBL SCS MU LRCX AMAT FDX UPS FB GIS

Index and stock option implied volatility is near 12-month highs and approaching the levels we saw in February

Bank option implied volatility elevated into FOMC rate decision

Citigroup (C) 30-day option implied volatility is at 41; compared to its 52-week range of 16 to 40
Bank of America (BAC) 30-day option implied volatility is at 37; compared to its 52-week range of 16 to 37
Morgan Stanley (MS) 30-day option implied volatility is at 41; compared to its 52-week range of 18 to 41
BNY Mellon (BK) 30-day option implied volatility is at 34; compared to its 52-week range of 16 to 36
Wells Fargo (WFC) 30-day option implied volatility is at 37; compared to its 52-week range of 16 to 41
Comerica (CMA) 30-day option implied volatility is at 37; compared to its 52-week range of 18 to 38
BB&T (BBT) 30-day option implied volatility is at 31; compared to its 52-week range of 17 to 31
KeyCorp (KEY) 30-day option implied volatility is at 40; compared to its 52-week range of 19 to 40
PNC Financial Services (PNC) 30-day option implied volatility is at 35; compared to its 52-week range of 16 to 35
JP Morgan (JPM) 30-day option implied volatility is at 34; compared to its 52-week range of 15 to 35
Goldman Sachs (GS) 30-day option implied volatility is at 38; compared to its 52-week range of 15 to 38

Financial Select Sector SPDR ETF (XLF) December call option implied volatility is at 38, January is at 30; compared to its 52-week range of 13 to 30 into FOMC meeting decision.

United States Oil Fund (USO) December call option implied volatility is at 63, January is at 53; compared to its 52-week range of 17 to 62 as WTI crude oil hit levels it hasn’t seen in 15 months on high US and Russia production levels and concerns about global economic growth.

United States Natural Gas (UNG) December call option implied volatility is at 66, January is at 69; compared to its 52-week range of 21 to 112.

Altria Group (MO) December call option implied volatility is at 37, January is at 34; compared to its 52-week range of 16 to 33 as shares near 40-month low.
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Philip Morris International (PM) December call option implied volatility is at 33, January is at 28; compared to its 52-week range of 16 to 31 as shares near 6 year low.

Biogen (BIIB) December call option implied volatility is at 47, January is at 36; compared to its 52-week range of 22 to 45 on wide price movement.
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Rent-A-Center (RCII) December call option implied volatility is at 105, January is at 27; compared to its 52-week range of 14 to 104 after the company announced it has terminated a merger agreement with Vintage Capital and a conference call to discuss the company’s 2019 financial forecast on December 20.

Krsh Csi Ch Intern (KWEB) December call option implied volatility is at 54, January is at 42; compared to its 52-week range of 20 to 49 on active December 41 call volume.

Freeport-McMoRan Copper & Gold (FCX) December call option implied volatility is at 74, January is at 55; compared to its 52-week range of 33 to 56 as shares at 26-month low.
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Southern Copper (SCCO) December call option implied volatility is at 45, January is at 41; compared to its 52-week range of 22 to 44 as shares at 2-year low.

Straddle prices for stocks expected to report this next week

Carnival Corp (CCL) December 56.50 straddle priced for move of 6% into the expected release of EPS on December 20
Accenture (ACN) December 152.50 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 29 straddle priced for move of 6% into the expected release of EPS before the open on December 20
Nike (NKE) December 71 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 75.50 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: RCII MX AEL AAXJ BANC XAU VIRT KFC UXIN NAV
Increasing unusual call option volume: RCII AAXJ NAV KGC LBTYA ADP UXIN NRZ HP KWBH APHA
Increasing unusual put option volume: VIRT RCII XAU BHF ERF ALRM NGG PPL CNC KMX
Popular stocks with increasing volume: HES KMX XAU ORCL NAV HLT HP FCX JNJ PBR
Options with decreasing option implied volatility: PVTL TLRD PLAY NBIX AEO CIEN DRI XPO NLY RAMP NBEV JNK COST ESRX