Pre-Market IV Report February 20, 2019

Pre-Market IV Report February 20, 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: UNIT CLDR NVAX NLSN NKE BHC OSTK BMY

Options expected to have increasing volume: ADI CVS A GDDY CAR HRL Z ZG W LUV PANW CTL WWW ROKU

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) February weekly and March call option implied volatility is at 15; compared to its 52-week range of 16 to 26 into the release of January FOMC minutes.

iShares 20+ Year Treasury Bond ETF (TLT) February weekly call option implied volatility is at 9, March is at 8; compared to its 52-week range of 8 to 13

United States Oil Fund (USO) February weekly call option implied volatility is at 28, March is at 27; compared to its 52-week range of 22 to 62. Call put ratio 1.9 calls to 1 put as WTI Crude trades near three month highs.

Novavax (NVAX) March call option implied volatility is at 306, February is at 234; 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 call to 2.5 puts.

Straddle prices for stocks expected to report results this week

Boston Beer (SAM) March 270 straddle priced for move of 10% into the expected release of EPS after the bell on February 20
Agilent Technology (A) March 77.50 straddle priced for move of 8% into the expected release of EPS after the bell on February 20
Avis Budget (CAR) March 29 straddle priced for move of 14% into the expected release of EPS on February 20
CVS Health (CVS) February weekly 70 straddle priced for move of 5% into the expected release of EPS before the bell on February 20
Gannet (GCI) March 12.50 straddle priced for move of 13% into the expected release of EPS before the bell on February 20
Garmin (GRMN) February weekly 71 straddle priced for move of 6% into the expected release of EPS before the bell on February 20
GoDaddy (GDDY) March 72.50 straddle priced for move of 9% into the expected release of EPS on February 20
Southern Co (SO) February weekly 49 straddle priced for move of 2% into the expected release of EPS on February 20
Vale (VALE) February weekly 12 straddle priced for move of 4% into the expected release of EPS on February 20
Vipshop (VIPS) February weekly 7 straddle priced for move of 12% into the expected release of EPS before the bell on February 20
Bunge (BG) March 52.50 straddle priced for move of 7% into the expected release of EPS on February 21
Baidu (BIDU) February weekly 172.50 straddle priced for move of 6% into the expected release of EPS after the bell on February 21
Domino’s Pizza (DPZ) February weekly 280 straddle priced for move of 7% into the expected release of EPS on February 21
Dropbox (DBX) February weekly 26 straddle priced for move of 8% into the expected release of EPS after the bell on February 21
First Solar (FSLR) February weekly 52 straddle priced for move of 9% into the expected release of EPS after the bell on February 21
Caesars (CZR) February weekly 9.5 straddle priced for move of 8.5% into the expected release of EPS on February 21
Flour (FLR) February 37 straddle priced for move of 8% into the expected release of EPS after the bell on February 21
Hewlett Packard (HPE) February 16 straddle priced for move of 8% into the expected release of EPS after the bell on February 21
Hormel (HRL) February weekly 43.50 straddle priced for move of 5% into the expected release of EPS before the bell on February 21
Intuit (INTU) March 235 straddle priced for move of 5% into the expected release of EPS after the bell on February 21
Roku (ROKU) February weekly 53.50 straddle priced for move of 13% into the expected release of EPS after the bell on February 21
Sprouts Farmers (SFM) March 25 straddle priced for move of 8% into the expected release of EPS on February 21
Kraft Heinz (KHC) March 47.50 straddle priced for move of 6% into the expected release of EPS on February 21
Wendy’s (WEN) March 18 straddle priced for move of 6% into the expected release of EPS on February 21
Zillow Group (Z) February 36 straddle priced for move of 13% into the expected release of EPS after the bell on February 21
AutoNation (AN) March 39 straddle priced for move of 7.5% into the expected release of EPS before the open on February 22
Wayfair (W) February 120 straddle priced for move of 12% into the expected release of EPS before the open on February 22

Increasing unusual option volume: TSEM CDNS ENLC AU OMI PWR RIOT KBR UNIT GRMN IRM KMB YETI
Increasing unusual call option volume: TSEM KBR CDNS RIOT ENLC UNIT KMB MX AU FTI ICPT
Increasing unusual put option volume: FDC ABB YETI AEM IRM TSEM GRMN WTI TRGP NBL SYY
Popular stocks with increasing unusual: CVS XOM PCG LLY S MAT
Options with decreasing option implied volatility: ICPT ACB YELP CRON FOSL GOOS UA TRIP UNG VALE MAT COTY PCG
Active options: AMD AAPL LLY BAC GE FCX FB NFLX WMT BABA MU EBAY NVDA AMZN MSFT PCG TSLA JD CVS XOM