Pre-Market IV Report January 14, 2019

Pre-Market IV Report January 14, 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: RHT CZR TLRY UNG ACHC BBT VFC JNK UNG CZR ZNGA SNAP CMG GPRO AKS PCG

Options expected to have increasing volume: PCG PEG EIX XLU JNK HYG NEM GG C JPM WFC PNC BAC GS UNH DAL GCI

PG&E Corp. (PCG) call put ratio 1 call to 9.3 puts into PG&E sees bankruptcy filing ‘on or about’ January 29

PG&E Corp. (PCG) call put ratio 1 call to 9.3 puts with February and March 10 puts active into February and March 10 puts active into call put ratio 1 call to 9.3 puts into PG&E sees bankruptcy filing ‘on or about’ January 29. January call option implied volatility is at 90, February is at 113, June is at 90; compared to its 52-week range of 26 to 202.

Utilities Sel Sect Spdr Fd (XLU) January call option implied volatility is at 16, February is at 17; compared to its 52-week range of 13 to 23 into PG&E Corp. (PCG) sees bankruptcy filing ‘on or about’ January 29.

Public Service Enterprise (PEG) 30-day call option implied volatility is at 20; compared to its 52-week range of 14 to 29 into PG&E Corp. (PCG) sees bankruptcy filing ‘on or about’ January 29.

S&P Dep Receipts (SPY) 30-day option implied volatility is at 16; compared to its 52-week range of 9 to 34 into PG&E Corp. (PCG) sees bankruptcy filing ‘on or about’ January 29.

Newmont Mining (NEM) January call option implied volatility is at 25, February is at 26; compared to its 52-week range of 19 to 39 into purchasing Goldcorp (GG) for $10B in stock.

Goldcorp (GG) January call option implied volatility is at 38, February is at 37; compared to its 52-week range of 21 to 47.

Market Vectors Gold Miners ETF (GDX) January call option implied volatility is at 23, February is at 25; compared to its 52-week range of 18 to 36.

SPDR Gold Trust (GLD) January call option implied volatility is at 9, February is at 9; compared to its 52-week range of 9 to 14.

Monster Beverage (MNST) January call option implied volatility is at 26, February is at 28; compared to its 52-week range of 19 to 43 into company hosted investor meeting on January 17.

Domino’s Pizza (DPZ) January call option implied volatility is at 32, February is at 29; compared to its 52-week range of 20 to 45 into company hosted investor meeting on January 17.

Straddle prices for stocks expected to report results this week

Citigroup (C) January 56.50 straddle priced for move of 4% into the expected release of EPS before the open on January 14
JPMorgan (JPM) January 100 straddle priced for move of 3.5% into the expected release of EPS before the open on January 15
Wells Fargo (WFC) January 48 straddle priced for move of 3.5% into the expected release of EPS before the open on January 15
Delta (DAL) January 49 straddle priced for move of 5% into the expected release of EPS before the open on January 15
Schwab (SCHW) January 43.50 straddle priced for move of 4.5% into the expected release of EPS before the open on January 15
UnitedHealth Group (UNH) January 245 straddle priced for move of 4% into the expected release of EPS before the open on January 15
United Continental (UAL) January 80 straddle priced for move of 6% into the expected release of EPS before the open on January 15
Bank of America (BAC) January 26 straddle priced for move of 4% into the expected release of EPS before the open on January 16
Bank of New York (BK) January 47.50 straddle priced for move of 4.5% into the expected release of EPS before the open on January 16
Blackrock (BLK) January 400 straddle priced for move of 4% into the expected release of EPS before the open on January 16
CSX (CSX) January 65 straddle priced for move of 5% into the expected release of EPS before the open on January 16
Goldman Sachs (GS) January 175 straddle priced for move of 4% into the expected release of EPS before the open on January 16
Kinder Morgan (KMI) January 17.50 straddle priced for move of 3% into the expected release of EPS on January 16
PNC (PNC) January 120 straddle priced for move of 3.5% into the expected release of EPS before the open on January 16
U.S. Bancorp (USB) January 47.50 straddle priced for move of 3.5% into the expected release of EPS before the open on January 16
Alcoa (AA) January 28.50 straddle priced for move of 8% into the expected release of EPS after the market close on January 17
American Express (AXP) January 98.50 straddle priced for move of 4% into the expected release of EPS after the market close on January 17
Morgan Stanley (MS) January 41.50 straddle priced for move of 4.5% into the expected release of EPS before the open on January 17
Netflix (NFLX) January 337.50 straddle priced for move of 10% into the expected release of EPS after the close on January 17

Increasing unusual option volume: ERJ LOXO PCG DISCA FTK PDFS RDUS VSAT MTN XRX
Increasing unusual call option volume: LOXO AR FTK DISCA DVY OFG EXPD SSP RDUS SSP ABBV PRGO
Increasing unusual put option volume: ERJ PCG DISCA IMGN VSAT CHS VXXB UBS WTW FIVE IQ ZNGA MTN
Popular stocks with increasing volume: TLRY ATVI ABBV GM F IQ PCG DISCA UBS
Options with decreasing option implied volatility: STZ FDX CELG QEP INFY CHS M GM APHA URBN ET M MGM MO
Active options: NFLX AAPL PCG BAC GM NVDA AMD GE AMZN FB MU TSLA IQ CMCSA TLRY C T ATVI ABBV MSFT