Pre-Market IV Report December 5, 2018

Pre-Market IV Report December 5, 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: UPS FDX CRUS KRE CS BAC XLF KRE JPM PNC MS TLT BK

Options expected to have increasing volume: JPM C BAC WFC GS DB SPY IWM RUT QQQ GE MSFT FB AMZN AAPL GOOGL GOOG

The oil ‘Majors’ option implied volatility into OPEC

Eni Spa (E) 30-day implied volatility is at 31, compared to its 52-week range of 13 to 32
Suncor (SU) 30-day implied volatility is at 30, compared to its 52-week range of 17 to 38
Total (TOT) 30-day implied volatility is at 28, compared to its 52-week range of 13 to 30
Chevron (CVX) 30 day option implied volatility is at 22; compared to its 52-week range of 12 to 30
Marathon Petroleum (MPC) 30 day option implied volatility is at 30; compared to its 52-week range of 19 to 37
Hess Corp. (HES) 30 day option implied volatility is at 38; compared to its 52-week range of 28 to 50
Exxon Mobil (XOM) 30 day option implied volatility is at 22; compared to its 52-week range of 10 to 30
ConocoPhillips (COP) 30 day option implied volatility is at 34; compared to its 52-week range of 19 to 40
BP plc (BP) 30 day option implied volatility is at 26; compared to its 52-week range of 13 to 37
Occidental Petroleum (OXY) 30 day option implied volatility is at 30; compared to its 52-week range of 14 to 34
PetroChina (PTR) 30 day option implied volatility is at 34; compared to its 52-week range of 20 to 41
YPF S.A. (YPF) 30-day implied volatility is at 45, compared to its 52-week range of 26 to 65
CNOOC (CEO) 30 day option implied volatility is at 37; compared to its 52-week range of 22 to 45
Sinopec (SNP) 30 day option implied volatility is at 34; compared to its 52-week range of 19 to 4
Phillips 66 (PSX) 30 day option implied volatility is at 30; compared to its 52-week range of 15 to 33
Marathon Petroleum (MPC) 30 day option implied volatility is at 45; compared to its 52-week range of 19 to 48

Straddle prices for stocks expected to report results this week
Five Below (FIVE) December 105 straddle priced for move of 10% into the expected release of EPS after the close on December 5
United Natural Foods (UNFI) December 20 straddle priced for move of 14% into the expected release of EPS after the close on December 5
Luluemon Athletica (LULU) December weekly 134 straddle priced for move of 10% into the expected release of EPS on December 6
Broadcom (AVGO) December weekly 242 straddle priced for move of 5% into the expected release of EPS after the close on December 6
Copper Companies (COO) December 270 straddle priced for move of 6% into the expected release of EPS on December 6
Duluth Holdings (DLTH) December 30 straddle priced for move of 14% into the expected release of EPS on December 6
Kroger (KR) December weekly 28.50 straddle priced for move of 8% into the expected release of EPS before the open on December 6
Michaels Stores (MIK) December 17.50 straddle priced for move of 12% into the expected release of EPS before the open on December 6
Signet Jewelers (SIG) December weekly 50 straddle priced for move of 19% into the expected release of EPS on December 6

Increasing unusual option volume: RSG BC HCP LDOS GEL OPK
Increasing unusual call option volume: BC TRU KMB FHN MGA RF HOME INVA
Increasing unusual put option volume: GEL OPK VNQ SIG BBT TOL ESV HPE LGIH EQIX STLD
Popular stocks with increasing volume: WMT INTC JPM
Options with decreasing option implied volatility: RH DG TOL AZO DG COUP F MPC DG STX BX
Cboe Bitcoin December futures down 55 to 3805