Pre-Market IV Report February 1, 2019

Pre-Market IV Report February 1, 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 overlooked information.

Options with increasing option implied volatility: WTW FL ADSK JWN BBY XOM CVX

Options expected to have increasing volume: AMZN XOM CVX MRK HON CI SYMC NVAX

S&P Dep Receipts (SPY) February weekly call option implied volatility is at 18, February is at 15; compared to its 52-week range of 8 to 35 into January employment report. Call put ratio 1 call to 1.5 puts.

Amazon (AMZN) February weekly call option implied volatility is at 116, February is at 45; compared to its 52-week range of 18 to 54 into the expected release of EPS today after the bell. Call put ratio 1.5 calls to 1 put.

Novavax (NVAX) February call option implied volatility is at 135, March is at 240; compared to its 52-week range of 62 to 239 into Phase III PREPARE top-line data on ResVax this quarter, a vaccine for infants via maternal immunization. Call put ratio 1 call to 2.7 puts.

Straddle prices for stocks expected to report results next week
Alphabet (GOOG) February weekly 1115 straddle priced for move of 5.5% into the expected release of EPS after the bell on February 4
Arconic (ARNC) February weekly 19 straddle priced for move of 7.5% into the expected release of EPS on February 4
Clorox (CLX) February weekly 148 straddle priced for move of 4% into the expected release of EPS before the open on February 4
Emerson (EMR) February weekly 65 straddle priced for move of 4% into the expected release of EPS on February 4
Gilead (GILD) February weekly 70 straddle priced for move of 6.5% into the expected release of EPS after the bell on February 4
Hartford (HIG) February weekly 47 straddle priced for move of 5% into the expected release of EPS on February 4
Seagate (STX) February weekly 44 straddle priced for move of 10% into the expected release of EPS after the bell on February 4
Sysco (SYY) February weekly 64 straddle priced for move of 6% into the expected release of EPS before the open on February 4
Allstate (ALL) February 90 straddle priced for move of 4% into the expected release of EPS after the bell on February 5
Archer-Danial’s (ADM) February weekly 45 straddle priced for move of 4% into the expected release of EPS before the open on February 5
Ashland (ASH) February weekly 75 straddle priced for move of 6.5% into the expected release of EPS after the bell on February 5
Becton Dickinson (BDX) February weekly 250 straddle priced for move of 3.5% into the expected release of EPS before the open on February 5
Chubb (CB) February 130 straddle priced for move of 3% into the expected release of EPS after the bell on February 5
Container Store (TCS) February 7 straddle priced for move of 18% into the expected release of EPS after the bell on February 5
Electronic Arts (EA) February weekly 92 straddle priced for move of 8.5% into the expected release of EPS after the bell on February 5
Ralph Lauren (RL) February weekly 116 straddle priced for move of 7.5% into the expected release of EPS before the open on February 5
Shutterfly (SFLY) February 45 straddle priced for move of 11% into the expected release of EPS after the bell on February 5
Skyworks (SWKS) February weekly 73 straddle priced for move of 7% into the expected release of EPS after the bell on February 5
Spirit Airlines (SAVE) February 60 straddle priced for move of 7% into the expected release of EPS after the bell on February 5
SNAP (SNAP) February weekly 6.5 straddle priced for move of 15% into the expected release of EPS after the bell on February 5
Twenty-First Century Fox (FOX) February 49 straddle priced for move of 3% into the expected release of EPS on February 5

American International Group (AIG) February weekly 43 straddle priced for move of 3% into the expected release of EPS before the bell on February 6

Canada Goose (GOOS) February weekly 51.50 straddle priced for move of 7.5% into the expected release of EPS on February 6
General Motors (GM) February weekly 39 straddle priced for move of 5% into the expected release of EPS before the bell on February 6

Increasing unusual option volume: TGE EVRI TSS WAGE NVAX WAGE AVP
Increasing unusual call option volume: EVRI TGE AVP FITB SSRM EMB PGR FCAU
Increasing unusual put option volume: NVAX PSTG VXXB MLNX AVP SKT IIVI EWY
Popular stocks with increasing unusual: QCOM CRON X GE
Options with decreasing option implied volatility: CELG AAPL FB FDX PCG BOIL EXTR WDC JNPR
Active options: GE FB AMD AAPL BAC MSFT TSLA NVDA AMZN BABA C NVAX INTC NFLX X MU TWTR QCOM T CRON