Pre-Market IV Report February 13, 2019

Pre-Market IV Report February 13, 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: ARRY SFIX ATVI DKS DG ATVI GRPN NVAX YELP KHC OSTK ARRY NVDA NWL GOOS

Options expected to have increasing volume: ATVI TRIP HLT GPN DISH IPG UIS GOOS CBS KO NVDA CME PEP NWL TWLO

Novavax (NVAX) February call option implied volatility is at 130, March is at 284; 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 1.8 calls to 1 put.

Straddle prices for stocks expected to report results this week

Applied Materials (AMAT) February 40.50 straddle priced for move of 5.5% into the expected release of EPS on February 14
Goose (GOOS) February 59 straddle priced for move of 15% 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 4.5% into the expected release of EPS before the bell on February 14
CBS (CBS) February 48 straddle priced for move of 4.5% into the expected release of EPS after 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 35 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 7.5% into the expected release of EPS after the bell on February 14
CME Group (CME) February 177.50 straddle priced for move of 3% into the expected release of EPS before the bell on February 14
XPO Logistics (XPO) February 57.50 straddle priced for move of 8% into the expected release of EPS before the bell on February 14
Zoetis (ZTS) February 87.50 straddle priced for move of 6.5% into the expected release of EPS before the bell on February 14
Deere (DE) February 165 straddle priced for move of 5.5% into the expected release of EPS before the bell on February 15
Newell Brands (NWL) February 22 straddle priced for move of 10% into the expected release of EPS before the bell on February 15
PepsiCo (PEP) February 114 straddle priced for move of 2.5% into the expected release of EPS before the bell on February 15
Yandex (YNDX) February 34 straddle priced for move of 8% into the expected release of EPS before the bell on February 15

Increasing unusual option volume: ELAN QTT OMF MDCO FIS AXGN ELLI CHGG ASH ARLO RDN
Increasing unusual call option volume: ELAN MDCO RLGY SPG SSYS RDN CHGG ELLI GDDY FLR GLPI
Increasing unusual put option volume: ELAN OMF INGN KGC AKAM MDCO COTY HUBS CVNA
Popular stocks with increasing unusual: ATVI NVDA GILD LLY EA VALE
Options with decreasing option implied volatility: GPRO SNAP SFLY IRBT SONO SKX ADNT GRUB FDC COTY PCG SWKS UNG COTY
Active options: GE AAPL MU NFLX AMD LLY EA BAC FB AMZN VALE ATVI NVDA TSLA MSFT QCOM SNAP TEVA GILD INTC