Pre-Market IV Report January 14, 2020

Pre-Market IV Report January 14, 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: BYND TSLA NK NXPI T PTON TWTR TGT GRUB S CGC AMC GRUB AAPL

Options expected to have increasing volume: BYND TSLA PTON NBEV DAL TSC ETH GME V NK GS USB PNC C BAC JPM

Health Care Select Sect Fd (XLV) 30 day option implied volatility is at 15; compared to its 52-week range of 11 to 24 into JPMorgan 38th Healthcare Conference January 13 to January 16. Call put ratio 1 call to 5.2 puts with focus on March 93 and 100 puts.

Biogen (BIIB) January call option implied volatility is at 38, February is at 39; compared to is 52-week range of 25 to 47 into an expected patent challenge decision to its top product, Tecfidera, a multiple sclerosis drug.

iShares Nasdaq Biotechnology (IBB) January call option implied volatility is at 23, February is at 18; compared to its 52-week range of 17 to 37 into JPMorgan 38th Healthcare Conference January 13 to January 16.

Regeneron (REGN) 30-day option implied volatility is at 34; compared to its 52-week range of 25 to 47 into JPMorgan 38th Healthcare Conference January 13 to January 16.

Ziopharm Oncology (ZIOP) 30-day option implied volatility is at 86; compared to its 52-week range of 55 to 120 into JPMorgan 38th Healthcare Conference January 13 to January 16. Call put ratio 11 calls to 1 put with focus on January and February calls.

Sanofi (SNY) 30-day option implied volatility is at 19; compared to its 52-week range of 16 to 29 into JPMorgan 38th Healthcare Conference January 13 to January 16.. Call put ratio 29 calls to 1 put with focus on January 48 calls.

Epizyme (EPZM) January call option implied volatility is at 80, February is at 91; compared to its 52-week range of 52 to 108 after recently submits NDA to FDA for accelerated approval of tazemetosta.

Illumina (ILMN) January call option implied volatility is at 38, February is at 32; compared to its 52-week range of 23 to 48 after issues 2020 sales growth outlook. Call put ratio 1.1 call to 1 put after wide price movement.

UnitedHealth Group (UNH) January call option implied volatility is at 43, February is at 22; compared to its 52-week range of 18 to 35 into the expected release of quarter results before the bell on January 15.

Humana (HUM) January call option implied volatility is at 29, February is at 25; compared to its 52-week range of 20 to 37. Call put ratio 3.8 calls to 1 put.

Cigna Corp. (CI) January call option implied volatility is at 34, February is at 27; compared to its 52-week range of 22 to 39. Call put ratio 1 call to 1.6 puts.

Anthem (ANTM) January call option implied volatility is at 32, February is at 24; compared to its 52-week range of 19 to 43. Call put ratio 1 call to 2 puts into expected release of quarter results on January 29.

Tesla (TSLA) January call option implied volatility is at 63, February is at 60; compared to its 52-week range of 34 to 75 as shares trade up 8%. Call put ratio 1.3 calls to 1 put with focus on January 520 calls.

Qualcomm (QCOM) January call option implied volatility is at 29, February is at 32; compared to its 52-week range of 25 to 43 into 5G 2020. Call put ratio 1.9 calls to 1 put with focus on January 92 and 94 calls into 5G 2020.

Beyond Meat (BYND) January weekly call option implied volatility is at 140, February is at 85; compared to its 52-week range of 47 to 141 after sharp rally. Call put ratio 2.9 calls to 1 put with focus on January 115 and February 120 calls.

Netflix (NFLX) January call option implied volatility is at 33, February is at 41; compared to its 52-week range of 23 to 58 after receiving more than 20 Oscar nominations. Call put ratio 2 calls to 1 put into the expected release of quarter results on January 22.

Barrick Gold (GOLD) January call option implied volatility is at 28, February is at 29; compared to its 52-week range of 26 to 45. Call put ratio 3.5 calls to 1 put with focus on January 18 and January weekly 19 calls.

Akorn (AKRX) 30-day option implied volatility is at 191; compared to its 52-week range of 61 to 247 after recent unconfirmed M&A reports. Call put ratio 1.7 calls to 1 put with focus on January 1.5 and 2 calls.

New Age Beverages (NBEV) January call option implied volatility is at 179, February is at 112; compared to its 52-week range of 63 to 130 after social media tie in with Jenner. Call put ratio 21 calls to 1 put with focus on January 2 and 3 calls.

PG&E (PCG) January call option implied volatility is at 90, February is at 87; compared to its 52-week range of 59 to 254. Call put ratio 1 call to 1 put after wide price movement.

Straddle prices for stocks expected to report quarterly results this week

Citigroup (C) January 80.50 straddle is priced for a move of 3% into the expected release of quarterly results today
Delta Air Lines (DAL) January 59.50 straddle is priced for a move of 4% into the expected release of quarterly results today
JPMorgan (JPM) January 137 straddle is priced for a move of 3% into the expected release of quarterly results today
Wells Fargo (WFC) January 52 straddle is priced for a move of 3% into the expected release of quarterly results today
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 522.50 straddle is priced for a move of 2.5% into the expected release of quarterly results on January 15
Goldman Sachs (GS) January 245 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 285 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 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 74.50 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 53 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 60 straddle is priced for a move of 3.5% into the expected release of quarterly results on January 15
Fastenal (FAST) January 36.25 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 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 160 straddle is priced for a move of 4% into the expected release of quarterly results before the bell on January 17
Schlumberger (SLB) January 39 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

Options with decreasing option implied volatility: BBBY CLVS FDX RAD APA
Increasing unusual option volume: NK WIFI CDEV CS ABBV RADA NBEV FIVE NK DDD DIOD NBEV
Increasing unusual call option volume: NK WIFI CS ABBV NBEV CVM AAP CLW THC FIVE ABT
Increasing unusual put option volume: SWN SSI ITB QURE FIVE ERIC TDOC BOIL APPN SM BLDP
Popular stocks with increasing unusual: ABBV CGC FCX C T NIO ACB
Active options: APPL TSLA ABBV BYND BABA FB CGC AMD BAC ROKU GE NVDA FCX C T MSFT SNAP JPM NIO ACB
Global S&P Futures are recently down 7.75 from previous day. Nikkei 225 up 0.7%, DAX down 0.3%, WTI Crude oil is recently at $57.88, natural gas up 0.6%, gold at $1545 an ounce