Pre-Market IV Report December 5, 2019

Pre-Market IV Report December 5, 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 ARQL ULTA INSG ITCI MDR AUPH RH DG S ULTA FDX JNCE RH BLU PCG CLVS DG

Options expected to have increasing volume: BIIB MSFT FIVE RH KR DG TIF MIK HOME CBS WORK GM COST

Biogen (BIIB) December weekly call option implied volatility is at 115, December is at 49, January is at 37; compared to its 52-week range of 25 to 48 into management discusses the Phase 3 top-line results for Aducanumab on a conference call today at 11 am.

Axsome Therapeutics (AXSM) December call option implied volatility is at 199, January is at 177; compared to its 52-week range of 66 to 298 into End-of-Phase 2 meeting with the FDA.

Shopify (SHOP) December weekly call option implied volatility is at 58, December is at 48, January is at 46; compared to its 52-week range of 36 to 72 as shares rally into holidays.

Canada Goose (GOOS) December weekly call option implied volatility is at 57, December is at 43, January is at 42; compared to its 52-week range of 38 to 82 into holidays. Call put ratio 13 calls to 1 put with focus on January 40 calls.

YETI Holdings, Inc. (YETI) December weekly and December call option implied volatility is at 49, January is at 50; compared to its 52-week range of 46 to 97 into upgraded to Buy from Neutral at Goldman Sachs. Call put ratio 3 calls to 1 put with focus on January 40 calls.

Peloton (PTON) December weekly call option implied volatility is at 97, December is at 75, January is at 86; compared to its 16-week range of 58 to 90.

Ulta Salon (ULTA) December weekly call option implied volatility is at 155, December is at 64, January is at 45; compared to its 52-week range of 22 to 51.

SmileDirectClub (SDC) December call option implied volatility is at 75, January is at 76; compared to its 26-week range of 59 to 137. Call put ratio 4.4 calls to 1 put with focus on December 10 calls.

Bluebird Bio (BLUE) December weekly call option implied volatility is at 116, December is at 89, 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 190, January is at 166; compared to its 52-week range of 64 to 208 after wide price movement.

SPY option implied volatility is bid relative to the levels of November into upcoming events

Today: OPEC, Saudi Armco IPO
Friday: November Employment report
Next Week: Britain’s general elections and referendums
Dec 12 FOMC meeting
December 15 is the day President Trump set in the autumn for the next round of China Tariff hikes
Senator Warren anti-trust plan

Option implied volatility into OPEC and Armco IPO

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 38

Phillips 66 (PSX) 30-day option implied volatility is at 21; compared to its 52-week range of 19 to 44

Marathon Oil (MRO) 30-day option implied volatility is at 38; compared to its 52-week range of 31 to 66

ConocoPhillips (COP) 30-day option implied volatility is at 27; compared to its 52-week range of 23 to 48

Diamond Offshore Drilling (DO) 30-day option implied volatility is at 79; compared to its 52-week range of 47 to 96

Concho Resources (CXO) 30-day option implied volatility is at 39; compared to its 52-week range of 30 to 59

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

Straddle prices for stocks expected to report quarterly results this week

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

Duluth Holdings (DLTH) December 7.5 straddle priced for a move 18.5% into the expected release of quarter results today before the bell

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

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

Signet (SIG) December weekly 16.5 straddle priced for a move 17% into the expected release of quarter results today

Zoom Video Communications (ZM) December weekly 70 straddle priced for a move 11% into the expected release of quarter results today after the bell

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

Big Lots (BIG) December 20 straddle priced for a move 13% into the expected release of quarter results before the bell on December 6

Options with decreasing option implied volatility: PDD FIT EXPE GRUB TWTR ADSK CARA GES
Increasing unusual option volume: JBLU NUAN ALLK FOE MLCO UPWK SNY BOLD CP TECK SNY
Increasing unusual call option volume: JBLU NUAN MLCO SNY CP DPLO SNPS OGI NTES PEP TECK SNY
Increasing unusual put option volume: FLEX BOLD UPWK CBB MT FIVE SLM AUPH MRVL DHR
Popular stocks with increasing unusual: SHOP JBLU ROKU F DHR PCG
Active options: BAC AAPL ROKU AMD F WMT BMY AMZN CRM BABA TSLA DHR PCG SHOP FB JBLU DIS NIO T MT
Global S&P Futures are recently up 5.50 from previous day. Nikkei 225 down 1%, DAX down 0.1%, WTI Crude oil is recently at $58.36, natural gas up 1%, gold at $1479 an ounce