Pre-Market IV Report December 6, 2019

Pre-Market IV Report December 6, 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: S ORCL CLDR ULTA DOCU MDR FDX CLVS ARQL ZIOP LB

Options expected to have increasing volume: ULTA CLDR DOCU ZM

Bank option implied volatility flat into OPEC, November employment report, December 15 tariff deadline and FOMC.

Financial Select Sector SPDR ETF (XLF) December weekly call option implied volatility is at 15, December is at 15, January is at 14; compared to its 52-week range of 13 to 35 into OPEC, November employment report, December 15 tariff deadline and FOMC.

Wells Fargo (WFC) December weekly call option implied volatility is at 16, December is at 17, January is at 19; compared to its 52-week range of 15 to 44.

Citigroup (C) December weekly call option implied volatility is at 21, December is at 20, January is at 22; compared to its 52-week range of 19 to 55.

JPMorgan (JPM) December weekly call option implied volatility is at 17, December is at 16, January is at 17; compared to its 52-week range of 15 to 40. Call put ratio 1 call to 2.3 puts with focus on December weekly 131 and 132 puts.

Bank of America (BAC) December weekly call option implied volatility is at 18, December is at 19, January is at 21; compared to its 52-week range of 19 to 48.

Goldman Sachs (GS) December weekly call option implied volatility is at 21, December is at 20, January is at 22; compared to its 52-week range of 18 to 49.

Uber (UBER) December weekly call option implied volatility is at 35, December is at 37, January is at 39; compared to its 52-week range of 38 to 83.

Lyft (LYFT) December weekly call option implied volatility is at 56, December is at 45, January is at 43; compared to its 52-week range of 43 to 79. Call put ratio 1.9 calls to 1 put with focus on December 45 calls.

Straddle prices for stocks expected to report quarterly results next week

Toll Brother (TOL) December weekly 41 straddle priced for a move of 6.5% into the expected release of quarter results after the bell on December 9

Vail Resorts (MTN) December 240 straddle priced for a move of 7.5% into the expected release of quarter results after the bell on December 9

AutoZone (AZO) December weekly 1160 straddle priced for a move of 6% into the expected release of quarter results before the bell on December 10

Dave & Buster (PLAY) December 40 straddle priced for a move of 12 into the expected release of quarter results on December 10

GameStop (GME) December weekly 6.50 straddle priced for a move of 25% into the expected release of quarter results after the bell on December 10

HD Supply (HDS) December 40 straddle priced for a move of 6.5% into the expected release of quarter results on December 10

American Eagle (AEO) December weekly 15 straddle priced for a move of 11% into the expected release of quarter results before the bell on December 11

Luluemon (LULU) December weekly 230 straddle priced for a move of 8% into the expected release of quarter results after the bell on December 11

Tailored Brands (TLRD) December 5 straddle priced for a move of 23% into the expected release of quarter results after the bell on December 11

United Natural Foods (UNFI) December 10 straddle priced for a move of 17% into the expected release of quarter results before the bell on December 11

Adobe (ADBE) December weekly 302.50 priced for a move of 4% into the expected release of quarter results after the bell on December 12

Ciena (CIEN) December weekly 36.50 straddle priced for a move of 8% into the expected release of quarter results before the bell on December 12

Costco (COST) December weekly 292.50 straddle priced for a move of 3% into the expected release of quarter results on December 12

Oracle (ORCL) December weekly 54.50 priced for a move of 5.5% into the expected release of quarter results before the bell on December 12

Broadcom (AVGO) December weekly 310 priced for a move of 6% into the expected release of quarter results before the bell on December 13

Options with decreasing option implied volatility: PDD TWTR GRUB FIT EXPE RH WORK CPB KR BIIB SIG
Increasing unusual option volume: PTI MDLA GSX CORV CBB
Increasing unusual call option volume: PTI PTEN DLTH SAGE EAF AMJ YEXT SBGL EXPR GDS FIVE BIG
Increasing unusual put option volume: GSX EAF TLRD FLEX ESTC EVRI SAGE GWRE
Popular stocks with increasing unusual: NIO DHR SHOP
Active options: AAPL BABA AMZN ROKU AMD FB NIO TSLA BAC DHR NFLX UNH MSFT SHOP BYND BA UBER GE T DIS

Global S&P Futures are recently up 7.00 from previous day. Nikkei 225 up 0.2%, DAX up 0.1%, WTI Crude oil is recently at $58.39, natural gas down 0.2%, gold at $1478 an ounce