Pre-Market IV Report December 3, 2019

Pre-Market IV Report December 3, 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: BIIB CLVS ITCI AUPH S CLDR CLVS ITCI AUPH PTON APA COST APA LULU S CHK WLL ULTA MDR XBIT OLLI CRM

Options expected to have increasing volume: BOLD CRM WDAY CPB WORK LE COUP AFL AZO HRB GE UNH NEM

Option implied volatility into President Trump on China deal says; might be better to wait after elections

S&P Dep Receipts (SPY) December weekly call option implied volatility is at 13, December January is at 13, January 2021 is at 14; compared to its 52-week range of 10 to 32 into President Trump on China deal says; might be better to wait after elections.

PowerShares QQQ Trust (QQQ) December weekly call option implied volatility is at 16, December is at 16, January is at 17; compared to its 52-week range of 14 to 37.

iShares Russell 2000 ETF (IWM) December weekly call option implied volatility is at 17, December is at 16, January is at 17; compared to its 52-week range of 14 to 34.

SalesForce (CRM) December weekly call option implied volatility is at 53, December is at 32, January is at 24; compared to its 52-week range of 27 to 56 into the expected release of quarter results today after the bell.

Premier (PINC) December call option implied volatility is at 44, January is at 36; compared to its 52-week range of 22 to 67 after M&A report. Call put ratio 5 calls to 1 put with focus on December 40 calls.

Ollie’s Bargain Outlet (OLLI) December call option implied volatility is at 76, January is at 54; compared to its 52-week range of 28 to 66 after death of CEO. Call put ratio 1 call to 1.6 puts into the expected release of quarter results on December 5.

Guess? (GES) December call option implied volatility is at 42, January is at 40; compared to its 52-week range of 37 to 90 into a company hosted investor day today. Call put ratio 5 calls to 1 put with focus on December 19 calls.

UnitedHealth Group (UNH) December weekly call option implied volatility is at 25, December is at 21; compared to its 52-week range of 18 to 40 into hosting an analyst day today.

Beyond Meat (BYND) December weekly call option implied volatility is at 61, December is at 57, January is at 54; compared to its 28-week range of 49 to 141 as shares sell off.

Roku (ROKU) December weekly call option implied volatility is at 84, December is at 69, January is at 65; compared to its 52-week range of 50 to 97 as shares sell off. Call put ratio 1 call to 1 put.

Clovis (CLVS) December call option implied volatility is at 205, January is at 177; compared to its 52-week range of 64 to 208 after wide price movement. Call put ratio 1.33 calls to 1 put with focus on December 10 and 20 calls.

Biogen (BIIB) December weekly call option implied volatility is at 80, December is at 47, January is at 36; compared to its 52-week range of 25 to 48 into presents data aducanumab, its Alzheimer’s treatment.

Boeing (BA) December weekly call option implied volatility is at 30, December is at 27, January is at 25; compared to its 52-week range of 23 to 46.

lululemon athletica (LULU) December weekly call option implied volatility is at 28, December is at 50, January is at 38; compared to its 52-week range of 24 to 61 into expected release of quarter results on December 11.

Option implied volatility increases for energy stocks into OPEC

ExxonMobil (XOM) 30-day option implied volatility is at 18; compared to its 52-week range of 15 to 39
BP plc (BP) 30-day option implied volatility is at 18; compared to its 52-week range of 15 to 36
Chevron (CVX) 30-day option implied volatility is at 18; compared to its 52-week range of 16 to 39

Straddle prices for stocks expected to report quarterly results this week

Lands End (LE) December 12.50 straddle priced for a move of 15% into the expected release of quarter results before the bell on December 3

Marvell Technology (MRVL) December weekly 25.50 straddle priced for a move of 6.5% into the expected release of quarter results after the bell on December 3

SalesForce (CRM) December weekly 160 straddle priced for a move of 4.5% into the expected release of quarter results after the bell on December 3

Workday (WDAY) December weekly 170 straddle priced for a move 6.5% into the expected release of quarter results after the bell on December 3

At Home Group (ATHM) December 70 straddle priced for a move of 7% into the expected release of quarter results after the bell on December 4

Slack (WORK) December weekly 22.50 straddle priced for a move of 14% into the expected release of quarter results on December 4

Block H&R (HRB) December 24 straddle priced for a move of 8% into the expected release of quarter results after the bell on December 4

Campbell Soup Company (CPB) December 47 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on December 4

RH (RH) December weekly 200 straddle priced for a move 12% into the expected release of quarter results after the bell on December 4

Dollar General (DG) December weekly 155 straddle priced for a move 5.5% into the expected release of quarter results before the bell on December 5

Duluth Holdings (DLTH) December 10 straddle priced for a move 20% into the expected release of quarter results before the bell on December 5

Express (EXPR) December 4 straddle priced for a move 20% into the expected release of quarter results before the bell on December 5

Kroger (KR) December weekly 27.5 straddle priced for a move 5.5% into the expected release of quarter results before the bell on December 5

Signet (SIG) December weekly 17.50 straddle priced for a move 16.5% into the expected release of quarter results on December 5

Zoom Video Communications (ZM) December weekly 69 straddle priced for a move 12.5% into the expected release of quarter results after the bell on December 5

Zuora (ZUO) December 16 straddle priced for a move 15% into the expected release of quarter results after the bell on December 5

Big Lots (BIG) December 20 straddle priced for a move 14% into the expected release of quarter results before the bell on December 6

Options with decreasing option implied volatility: GRUB EXPE ANF I TIF BURL BBY FIT MDCO
Increasing unusual option volume: OLLI PINC DPZ M INVA TCO AMG SRNE RVNC NLOK FOSL BOLD VSTM AMRX
Increasing unusual call option volume: INVA NLOK FOSL SRNE RVNC FEZ
Increasing unusual put option volume: TCO AMG HDS FLEX LNC MAC
Popular stocks with increasing unusual: ROKU NIO CLVS F APA
Active options: AAPL ROKU BAC MSFT FB DIS AMZN AMD TSLA APA SNAP DHR NVDA M NIO NFLX F CLVS GE

Global S&P Futures are recently down 10.25 from previous day. Nikkei 225 down 0.6%, DAX up 0.7%, WTI Crude oil is recently at $56.32, natural gas up 2.3%, gold at $1470 an ounce