Pre-Market IV Report February 25, 2019

Pre-Market IV Report February 25, 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 KNDI S PBI KHC ERIC TIF NKE

Options expected to have increasing volume: KHC GOLD NEM GG SHAK MOS ETSY MU AMD INTC TXN NVDA AVGO SWKS XLNX ADI NXPI QCOM ONCE AMRN

Kraft Heinz (KHC) March weekly call option implied volatility is at 47, April is at 35; compared to its 52-week range of 19 to 38 after the SEC opens investigation into Kraft accounting, discloses subpoena, cuts its quarterly dividend to 40 cents a share from 62.5 cents.

JPMorgan (JPM) March weekly call option implied volatility is at 18, April is at 17; compared to its 52-week range of 15 to 41 into hosting an investor day on February 26.

Hain Celestial (HAIN) March call option implied volatility is at 34, April is at 35; compared to its 52-week range of 26 to 56 into hosting an investor day on February 27.

Amarin Corp. (AMRN) March weekly call option implied volatility is at 129, March is at 85; compared to its 52-week range of 49 to 428. Call put ratio 11 calls to 1 put with focus on March weekly 17.50, 18.50 and 19 calls.

Newmont (NEM) March weekly call option implied volatility is at 23, March is at 24; compared to its 52-week range of 19 to 38 into Barrick Gold Corporation (GOLD) announced that it has made a proposal to the Newmont Mining board to merge with Newmont in an all-share transaction.

Spark Therapeutics (ONCE) March call option implied volatility is at 49, April is at 48; compared to its 52-week range of 45 to 108 into announcing that it has entered into a definitive merger agreement for Roche (RHHBY) to fully acquire Spark Therapeutics at a price of $114.50 per share in an all-cash transaction. Call put ratio 8.8 calls to 1 put with focus on March 60 calls.

Straddle prices for stocks expected to report results this week

Delphi (DLPH) March 22.50 straddle priced for move of 8% into the expected release of EPS before the bell on February 25
Dillards (DDS) March weekly 65.50 straddle priced for move of 12% into the expected release of EPS before the bell on February 25
Lumber Liquidators (LL) March 11.50 straddle priced for move of 17% into the expected release of EPS before the bell on February 25

McDermott (MDR) March 8 straddle priced for move of 17% into the expected release of EPS before the bell on February 25
Mosaic (MOS) March weekly 32 straddle priced for move of 8% into the expected release of EPS on February 25
Rent-A-Center (RCII) March weekly 18 straddle priced for move of 8% into the expected release of EPS on February 25

Shake Shack (SHAK) March weekly 53 straddle priced for move of 9% into the expected release of EPS after the bell on February 25
Tenet Healthcare (THC) March weekly 24 straddle priced for move of 12% into the expected release of EPS before the bell on February 25

AutoZone (AZO) March weekly 912.50 straddle priced for move of 5% into the expected release of EPS before the bell on February 26
Cheniere Energy (LNG) March weekly 65 straddle priced for move of 4% into the expected release of EPS before the bell on February 26
Clovis (CLVS) March 25 straddle priced for move of 16% into the expected release of EPS before the bell on February 26
Cracker Barrel (CBRL) March 170 straddle priced for move of 6% into the expected release of EPS before the bell on February 26
Discovery (DISCA) March 30 straddle priced for move of 8% into the expected release of EPS before the bell on February 26
Home Depot (HD) March weekly 192.50 straddle priced for move of 3.5% into the expected release of EPS before the bell on February 26
J.M. Smucker (SJM) March 100 straddle priced for move of 6% into the expected release of EPS before the bell on February 26
Macy’s (M) March weekly 24 straddle priced for move of 10% into the expected release of EPS before the bell on February 26
Monster Beverage (MNST) March weekly 58.50 straddle priced for move of 8% into the expected release of EPS after the bell on February 26

Mylan (MYL) March weekly 31 straddle priced for move of 8% into the expected release of EPS after the bell on February 26
Palo Alto Networks (PANW) March weekly 230 straddle priced for move of 8% into the expected release of EPS after the bell on February 26

Weight Watchers (WTW) March weekly 29.50 straddle priced for move of 16% into the expected release of EPS after the bell on February 26
Papa Johns (PZZA) March weekly 42 straddle priced for move of 9% into the expected release of EPS after the bell on February 26

Red Robin (RRGB) March 30 straddle priced for move of 14% into the expected release of EPS after the bell on February 26
Toll Brother (TOL) March 37.50 straddle priced for move of 6% into the expected release of EPS after the bell on February 26

Increasing unusual option volume: NWSA KPTI STMP CATM SBS CTLT KHC SUM ST Z
Increasing unusual call option volume: KPTI STMP PBI KHC SUM HGV Z BGS LYB SOHU COTY W AMRN KHC
Increasing unusual put option volume: CATM STMP ZG KHC APA TTD FNV COTY PLNT
Popular stocks with increasing unusual: KHC K ROKU NVDA
Options with decreasing option implied volatility: ICPT AAOI VKTX TTD SGMS RDFN OLED ROKU Z INFN EXAS