Pre-Market IV Report January 10, 2020

Pre-Market IV Report January 10, 2020

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 over looked information.

Options with increasing option implied volatility: S TWTR T TGT SNAP SKT PTON ISRG WDFC GRUB S AAPL IRBT SKT GRUB PTON TWTR BYND SNAP TPR EXPE

Options expected to have increasing volume: INFY T CMCSA CHTR S DISH TMUS YELP GRUB URBN AEO ANF MRNA

Tesla (TSLA) January weekly call option implied volatility is at 50, January is at 51, February is at 59; compared to its 52-week range of 34 to 75 as shares at record high. Call put ratio 1.5 calls to 1 put with focus on January weekly and January weekly 485 and 490 calls.​

Apple (AAPL) January weekly call option implied volatility is at 27, January is at 25, February is at 29; compared to its 52-week range of 18 to 37. Call put ratio 1.68 calls to 1 put with focus on January weekly and January 310 calls. ​

Option implied volatility for T-Mobile (TMUS) and Sprint (S) amid proposed merger

Sprint (S) January call option implied volatility is at 65, February is at 105; compared to its 52-week range of 28 to 132 amid proposed merger with T-Mobile (TMUS). Call put ratio 1 call to 5.8 puts with focus on February 3 and 4 puts.

T-Mobile (TMUS) January call option implied volatility is at 17, February is at 22; compared to its 52-week range of 18 to 35. Call put ratio 14.5 calls to 1 put with focus on February and March calls.

DISH Network (DISH) January call option implied volatility is at 27, February is at 38; compared to its 52-week range of 30 to 64. Call put ratio 3.7 calls to 1 put.

Urban Outfitters (URBN) January weekly call option implied volatility is at 99, January is at 52, February is at 38; compared to its 52-week range of 31 to 64 into reporting holiday sales. Call put ratio 5 calls to 1 put with focus on January calls.

GrubHub (GRUB) January weekly call option implied volatility is at 80, January is at 51, February is at 61; compared to its 52-week range of 38 to 79 into Bloomberg said the company isn’t running a sale process.

Straddle prices for stocks expected to report quarterly results next week

Citigroup (C) January 80 straddle is priced for a move of 3% into the expected release of quarterly results before the bell on January 14

Delta Air Lines (DAL) January 59 straddle is priced for a move of 3.5% into the expected release of quarterly results before the bell on January 14

JPMorgan (JPM) January 138 straddle is priced for a move of 3.5% into the expected release of quarterly results before the bell on January 14

Wells Fargo (WFC) January 53 straddle is priced for a move of 3%into the expected release of quarterly results before the bell on January 14

Alcoa (AA) January 20 straddle is priced for a move of 7% into the expected release of quarterly results after the bell on January 15

Bank of America (BAC) January 35 straddle is priced for a move of 3% into the expected release of quarterly results on January 15

Blackrock (BLK) January 512.50 straddle is priced for a move of 2.5% into the expected release of quarterly results on January 15

Goldman Sachs (GS) January 242.50 straddle is priced for a move of 3.5% into the expected release of quarterly results before the bell on January 15

PNC Financial Services (PNC) January 160 straddle is priced for a move of 2.5% into the expected release of quarterly results before the bell on January 15

U.S. Bancorp (USB) January 57 straddle is priced for a move of 2.5% into the expected release of quarterly results before the bell on January 15

UnitedHealth Group (UNH) January 295 straddle is priced for a move of 3.5% into the expected release of quarterly results before the bell on January 15

Bank of New York Mellon (BK) January 51.50 straddle is priced for a move of 4% into the expected release of quarterly results before the bell on January 16

Bank OZK (OZK) January 30 straddle is priced for a move of 6.5% into the expected release of quarterly results after the bell on January 15

CSX (CSX) January 73.50 straddle is priced for a move of 4% into the expected release of quarterly results after the bell on January 15

Morgan Stanley (MS) January 52 straddle is priced for a move of 3.5% into the expected release of quarterly results before the bell on January 16

Schwab (SCHW) January 48 straddle is priced for a move of 4% into the expected release of quarterly results before the bell on January 16

Taiwan Semiconductor (TSM) January 59 straddle is priced for a move of 4.5% into the expected release of quarterly results on January 15

Fastenal (FAST) January 36 straddle is priced for a move of 6.5% into the expected release of quarterly results before the bell on January 17

J.B. Hunt (JBHT) January 115 straddle is priced for a move of 4% into the expected release of quarterly results before the bell on January 17

Kansas City (KSU) January 160 straddle is priced for a move of 4.5%into the expected release of quarterly results before the bell on January 17

Option implied volatility for HRL TSN CAT & DE into expected signing of China Phase 1 trade tariff agreement.

Hormel Foods (HRL) January call option implied volatility is at 15, February is at 15; compared to its 52-week range of 15 to 37.

Tyson (TSN) January call option implied volatility is at 19, February is at 24; compared to its 52-week range of 20 to 33.

Caterpillar (CAT) January call option implied volatility is at 21, February is at 24; compared to its 52-week range of 20 to 37.

Deere (DE) January call option implied volatility is at 20, February is at 24; compared to its 52-week range of 19 to 41.

Agios Pharma (AGIO) call put ratio 9.2 calls to 1 put with focus on January 50 and 55 calls.​

Options with decreasing option implied volatility: BBBY CLVS FDX RAD APA APLS TGTX

Increasing unusual option volume: RMBS XENT TWNK SNK IWF ZYME HOLX HELE EXAS HELE AGIO

Increasing unusual call option volume: XENT RMBS DISCK HOLX LQD AYI CS

Increasing unusual put option volume: MIC PAGP S ELAN OAS ARNC AYI AMRS NEPT BBBY

Popular stocks with increasing unusual: BMY NIO LK T S

Active options: AAPL TSLA AMD S FB SNAP BYND BMY MSFT AMZN T LK BA BABA BAC BBBY NIO ROKU NVDA MU

Global S&P Futures are recently up 6.00 from previous day. Nikkei 225 up 0.2%, DAX up 0.06%, WTI Crude oil is recently at $59.27, natural gas down 0.6%, gold at $1550 an ounce