Pre-Market IV Report December 4, 2019

Pre-Market IV Report December 4, 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: SPPI ITCI CLVS ITCI AUPH S SPXPM LULU ULTA FDX WORK AXSM TGTX ZAGG DLTH RH BIIB

Options expected to have increasing volume: CRM WDAY WORK MCHP T MRVL JNJ GOOGL GOOG AZO MA GRPO HRB CPB

Biogen (BIIB) December weekly call option implied volatility is at 95, 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.

Axsome Therapeutics (AXSM) December call option implied volatility is at 185, January is at 176; compared to its 52-week range of 66 to 298 into End-of-Phase 2 meeting with the FDA.. Call put ratio 14.5 calls to 1 put with focus on January 40 and 50 calls.

Bluebird Bio (BLUE) WBA December weekly call option implied volatility is at 113, December is at 82, January is at ; compared to its 52-week range of 44 to 97 into topline results from its KarMMa study of bb2121 as a fourth line or later therapy for the treatment of relapsed/refractory multiple myeloma, which are due by year-end. Call put ratio 11 calls to 1 put with a focus on December calls.

Clovis (CLVS) December call option implied volatility is at 195, January is at 178; compared to its 52-week range of 64 to 208 after wide price movement. Call put ratio 2.8 calls to 1 put.
Option implied volatility into OPEC and Armco IPO

United States Oil Fund (USO) December weekly call option implied volatility is at 33, December is at 29; compared to its 52-week range of 22to 62 into OPEC meeting.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) December weekly call option implied volatility is at 45, December is at 39; compared to its 52-week range of 28 to 58 into OPEC meeting.

Marathon Petroleum (MPC) 30 day option implied volatility is at 33; compared to its 52-week range of 24 to 50. Call put ratio 8.6 calls to 1 put with focus on January 65, April 62.50 and 70 calls.

ExxonMobil (XOM) 30-day option implied volatility is at 19; compared to its 52-week range of 15 to 39

BP plc (BP) 30-day option implied volatility is at 20; compared to its 52-week range of 15 to 36

Occidental Petroleum (OXY) 30-day option implied volatility is at 32; compared to its 52-week range of 20 to 45

Laredo Petroleum (LPI) 30-day option implied volatility is at 78; compared to its 52-week range of 56 to 102

ConocoPhillips (COP) 30-day option implied volatility is at 29; compared to its 52-week range of 22 to 48

Murphy Oil (MUR) 30-day option implied volatility is at 47; compared to its 52-week range of 32 to 60

Chesapeake Energy (CHK) 30-day option implied volatility is at 169; compared to its 52-week range of 57 to 202

Diamondback Energy (FANG) 30-day option implied volatility is at 39; compared to its 52-week range of 30 to 63

Marathon Oil (MRO) 30-day option implied volatility is at 40; compared to its 52-week range of 31 to 67

Halliburton (HAL) 30-day option implied volatility is at 37; compared to its 52-week range of 27 to 57

Schlumberger Ltd. (SLB) 30-day option implied volatility is at 35; compared to its 52-week range of 24 to 55

Flour (FLR) 30-day option implied volatility is at 48; compared to its 52-week range of 26 to 81

Straddle prices for stocks expected to report quarterly results this week

At Home Group (ATHM) December 70 straddle priced for a move of 7.5% into the expected release of quarter results today after the bell

Slack (WORK) December weekly 22.50 straddle priced for a move of 12% into the expected release of quarter results today

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

Campbell Soup Company (CPB) December 47.50 straddle priced for a move of 6.5% into the expected release of quarter results today before the bell

RH (RH) December weekly 200 straddle priced for a move 12.5% into the expected release of quarter results today after the bell

Dollar General (DG) December weekly 152.5 straddle priced for a move 5.5% into the expected release of quarter results before the bell on December 5

Duluth Holdings (DLTH) December 7.5 straddle priced for a move 19% into the expected release of quarter results before the bell on December 5

Express (EXPR) December 4 straddle priced for a move 21% 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 16 straddle priced for a move 12.5% into the expected release of quarter results on December 5

Zoom Video Communications (ZM) December weekly 69 straddle priced for a move 11.5% into the expected release of quarter results after the bell on December 5

Zuora (ZUO) December 16 straddle priced for a move 15.5% 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: TWTR GRUB FIT EXPE MDCO CCXI NTNX
Increasing unusual option volume: TWO BHF MPC CCC AMJ AXSM SRNE
Increasing unusual call option volume: TWO AXSM QCOM SRNE EDIT RUBI QID BKR LE HD
Increasing unusual put option volume: BHF TGE CARA PSX TV HOLX SAVE EPI
Popular stocks with increasing unusual: QCOM HD NIO CRM DIS
Active options: AAPL QCOM BAC AMD ROKU HD AMZN SNAP FB MU AMZN SNAP FB MU TSLA BABA MSFT DIS NVDA T NIO INTC CRM

Global S&P Futures are recently up 11.25 from previous day. Nikkei 225 down 1%, DAX up 1%, WTI Crude oil is recently at $56.89, natural gas up 1.7%, gold at $1480 an ounce