Pre-Market IV Report January 13, 2020

Pre-Market IV Report January 13, 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: TWTR TGT GRUB S AAPL S CCXI IRBT GRUB AMRN BYND TWTR HAS CMG XLP AMC SKT

Options expected to have increasing volume: C BAC JPM GS WDC USB PNC

Comcast NBCUniversal (CMCSA) January call option implied volatility is at 20, February is at 19; compared to its 52-week range of 17 to 30 into investor meeting on January 16.

Target (TGT) January call option implied volatility is at 49, February is at 26; compared to its 52-week range of 19 to 42 into expected release of store sales.

Abercrombie & Fitch (ANF) January call option implied volatility is at 69, February is at 45; compared to its 52-week range of 37 to 90 into expected release of store sales. Call put ratio 4.5 calls to 1 put.

American Eagle Outfitters (AEO) January weekly call option implied volatility is at 61, February is at 39; compared to its 52-week range of 32 to 64 into expected release of store sales. Call put ratio 1 call to 4.5 puts.

PVH Corp (PVH) January call option implied volatility is at 32, February is at 28; compared to its 52-week range of 25 to 65 into expected release of store sales.

GameStop (GME) January call option implied volatility is at 94 January is at 90, February is at 66; compared to its 52-week range of 35 to 140 into expected release of store sales.

Lululemon (LULU) January call option implied volatility is at 36, February is at 25; compared to its 52-week range of 24 to 59 into expected release sales data as shares near record high.

S&P Dep Receipts (SPY) January call option implied volatility is at 10, February is at 11; compared to its 52-week range of 10 to 23 into EPS season, expected China Phase 1 trade tariff signing on January 15, and Brexit.

United States Oil Fund (USO) 30-day call option implied volatility is at 27; compared to its 52-week range of 22 to 46 after WTI Crude Oil futures prices declined by over 6% on the week.

Financial Select Sector SPDR ETF (XLF) January call option implied volatility is at 15, February is at 14; compared to its 52-week range of 13 to 26 into bank quarterly results.

Straddle prices for stocks expected to report quarterly results this week

Citigroup (C) January 79 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 3.8% into the expected release of quarterly results before the bell on January 14

JPMorgan (JPM) January 137 straddle is priced for a move of 3% into the expected release of quarterly results before the bell on January 14

Alcoa (AA) January 19.50 straddle is priced for a move of 6.5% 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 3% 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 50.50 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% into the expected release of quarterly results on January 15

Fastenal (FAST) January 36 straddle is priced for a move of 6% into the expected release of quarterly results before the bell on January 17

J.B. Hunt (JBHT) January 120 straddle is priced for a move of 4.5% into the expected release of quarterly results before the bell on January 17

Kansas City (KSU) January 157.50 straddle is priced for a move of 4% into the expected release of quarterly results before the bell on January 17

Schlumberger (SLB) January 40 straddle is priced for a move of 4% into the expected release of quarterly results before the bell on January 17

State Street (STT) January 82.50 straddle is priced for a move of 5% into the expected release of quarterly results before the bell on January 17

Sprint (S) January call option implied volatility is at 70, February is at 110; compared to its 52-week range of 28 to 132 amid proposed merger with T-Mobile (TMUS). Call put ratio 1 call to 2.5 puts.

T-Mobile (TMUS) January call option implied volatility is at 18, February is at 23; compared to its 52-week range of 18 to 35.

DISH Network (DISH) January call option implied volatility is at 27, February is at 39; compared to its 52-week range of 30 to 64. Call put ratio 2.6 calls to 1 put.

Options with decreasing option implied volatility: BBBY CLVS FDX RAD APA APLS BBBY QGEN MRTX
Increasing unusual option volume: ZYME SNX SIX GEL RADA TRN
Increasing unusual call option volume: RADA PTLA AMRS TRN
Increasing unusual put option volume: QURE DCPH SIX BHF PTLA BBBY
Popular stocks with increasing unusual: LK NIO
Active options: AAPL TSLA AMD BYND AMZN FB BABA MSFT ROKU BA NVDA UBER T SNAP NIO MU GE BAC NFLX LK
Global S&P Futures are recently up 11.00 from previous day. Nikkei 225 up 0.4%, DAX up 0.06%, WTI Crude oil is recently at $59.15, natural gas up 0.5%, gold at $1549 an ounce