Pre-Market IV Report February 12, 2019

Pre-Market IV Report February 12, 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: NVAX ELAN YELP UAA ATVI ELAN FIT ARS DKS

Options expected to have increasing volume: CHGG EA MGI GILD TAP NVDA KO AKAM FOSL UAA HUN FIS SHOP CSCO

S&P Dep Receipts (SPY) February call option implied volatility is at 15, March is at 14; compared to its 52-week range of 8 to 35 as the market weighs mixed news on reports of an avoidance of a government shutdown, US-China trade talks and economic data that indicates slowing growth in China

Amazon (AMZN) February call option implied volatility is at 30, March is at 27; compared to its 52-week range of 18 to 54. Call put ratio 1.25 calls to 1 put.

Novavax (NVAX) February call option implied volatility is at 135, March is at 280; compared to its 52-week range of 62 to 312 into Phase III PREPARE top-line data on ResVax this quarter, a vaccine for infants via maternal immunization. Call put ratio 1.1 calls to 1 put.

Gilead (GILD) February call option implied volatility is at 25, March is at 26, compared to its 52-week range of 19 to 43 into late stage NASH study fails. Call put ratio 4 calls to 1 put.

Goose (GOOS) February call option implied volatility is at 157, March is at 74, compared to its 52-week range of 28 to 69 into the expected release of EPS on February 14. Call put ratio 2.9 calls to 1 put.

Straddle prices for stocks expected to report results this week.

Activision Blizzard (ATVI) February 40 straddle priced for move of 10% into the expected release of EPS after the bell on February 12
Akamai (AKAM) February 68.50 straddle priced for move of 9% into the expected release of EPS after the bell on February 12
Barrick Gold (GOLD) February 13.50 straddle priced for move of 4.5% into the expected release of EPS on February 12
Under Armour (UAA) February 21 straddle priced for move of 12% into the expected release of EPS on February 12
Groupon (GRPN) February 4 straddle priced for move of 15% into the expected release of EPS after the bell on February 12
Molson Coors Brewing (TAP) February 65.50 straddle priced for move of 6% into the expected release of EPS before the bell on February 12
Shopify (SHOP) February 172.50 straddle priced for move of 8% into the expected release of EPS before the bell on February 12
Terex (TEX) February 31 straddle priced for move of 8% into the expected release of EPS before the bell on February 12

Fossil (FOSL) February 16 straddle priced for move of 20% into the expected release of EPS after the bell on February 13
Louisiana-Pacific (LPX) February 24 straddle priced for move of 4% into the expected release of EPS before the bell on February 13
Dish Network (DISH) February 31 straddle priced for move of 9% into the expected release of EPS before the bell on February 13
TripAdvisor (TRIP) February 59.50 straddle priced for move of 12% into the expected release of EPS after the bell on February 13
Applied Materials (AMAT) February 40 straddle priced for move of 4.5% into the expected release of EPS on February 14
Goose (GOOS) February 57 straddle priced for move of 14% into the expected release of EPS on February 14
AstraZeneca (AZN) February 36.50 straddle priced for move of 2.5% into the expected release of EPS on February 14
Avon Products (AVP) February 2.5 straddle priced for move of 15% into the expected release of EPS on February 14
BorgWarner (BWA) February 40 straddle priced for move of 5% into the expected release of EPS before the bell on February 14
CBS (CBS) February 48 straddle priced for move of 5% into the expected release of EPS after the bell on February 14
CME Group (CME) February 177.50 straddle priced for move of 3.5% into the expected release of EPS before the bell on February 14
Coca-Cola (KO) February 49.50 straddle priced for move of 2% into the expected release of EPS before the bell on February 14
Generac (GNRC) February 50 straddle priced for move of 6.5% into the expected release of EPS before the bell on February 14
Iron Mountain (IRM) February 37.50 straddle priced for move of 4% into the expected release of EPS before the bell on February 14
NVIDIA (NVDA) February 146 straddle priced for move of 8% into the expected release of EPS after the bell on February 14
XPO Logistics (XPO) February 57.50 straddle priced for move of 9% into the expected release of EPS before the bell on February 14
Zoetis (ZTS) February 87 straddle priced for move of 6% into the expected release of EPS before the bell on February 14
Deere (DE) February 162.50 straddle priced for move of 5.5% into the expected release of EPS before the bell on February 15
Newell Brands (NWL) February 21 straddle priced for move of 10% into the expected release of EPS before the bell on February 15
PepsiCo (PEP) February 113 straddle priced for move of 2.5% into the expected release of EPS before the bell on February 15
Yandex (YNDX) February 33.50 straddle priced for move of 8% into the expected release of EPS before the bell on February 15

Increasing unusual option volume: VOYA ZGNX ELAN LAD RNG GDOT PTI CHGG LLY IPG WMGI MOH MDCO
Increasing unusual call option volume: VOYA ELAN LAD MDCO PTI WMGI RNG KSA WEC VMC OMC LLY SHLDQ BBT
Increasing unusual put option volume: ELAN RNG TD CHGG TRGP LLY NCR VMC MLM ACB UAA NGL
Popular stocks with increasing unusual: DIS ACB SNAP UAA FOSL SHOP K HLT HAS DNKN
Options with decreasing option implied volatility: CELG ARNC UNG PCG COTY PBI GPRO SFLY GLUU SKX GRUB
Active options: AAPL GE LLY EA TWTR FB NVDA TSLA ATVI SNAP AMD MU BABA BAC AMZN ACB SQ NFLX MSFT DIS