Pre-Market IV Report January 15, 2019

Pre-Market IV Report January 15, 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: PCG IMGN CGC YELP UNG GPRO GRPN SNAP ADNT KEY FAST ZNGA AKS UAL DAL NFLX

Options expected to have increasing volume: JPM WFC PNC BAC GS UNH DAL AXP UAL CSX USB PCG

PG&E Corp. (PCG) January call option implied volatility is at 233, February is at 188, June is at 109; compared to its 52-week range of 26 to 202 after announcing plans to file for bankruptcy.

Edison Int’l (EIX) January call option implied volatility is at 33, February is at 30, July is at 25; compared to its 52-week range of 18 to 74 after PG&E Corp. (PCG) announces plans to file for bankruptcy. Call put ratio 1 call to 2.4 puts.

Sempra Energy (SRE) January call option implied volatility is at 21, February is at 19, June is at 20; compared to its 52-week range of 14 to 29 after PG&E Corp. (NYSE: PCG) announced plans to file for bankruptcy. Call put ratio 1 call to 5.4 puts.

Utilities Sel Sect Spdr Fd (XLU) January call option implied volatility is at 21, February is at 18; compared to its 52-week range of 13 to 23 after PG&E Corp. (PCG) announced sees bankruptcy filing ‘on or about’ January 29. Call put ratio 1 call to 1.8 puts.

Straddle prices for stocks expected to report results this week

Bank of America (BAC) January 26.50 straddle priced for move of 3.5% into the expected release of EPS before the open on January 16
Bank of New York (BK) January 48.50 straddle priced for move of 4% into the expected release of EPS before the open on January 16
Blackrock (BLK) January 397.50 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 177.50 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 121 straddle priced for move of 3% 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% into the expected release of EPS before the open on January 17
Netflix (NFLX) January 332.50 straddle priced for move of 10% into the expected release of EPS after the close on January 17
Bank OZK (OZK) January 25 straddle priced for move of 9% into the expected release of EPS after the close on January 17
BB&T (BBT) January 46 straddle priced for move of 3.5% into the expected release of EPS before the open on January 17
Fastenal (FAST) January 55 straddle priced for move of 6% into the expected release of EPS before the open on January 17
KeyCorp (KEY) January 16 straddle priced for move of 5% into the expected release of EPS before the open on January 17
Citizens (CFG) January 35 straddle priced for move of 5% into the expected release of EPS before the open on January 18
Kansas City Southern (KSU) January 103 straddle priced for move of 4% into the expected release of EPS before the open on January 18
Schlumberger (SLB) January 41.50 straddle priced for move of % into the expected release of EPS before the open on January 18
State Street (STT) January 67.50 straddle priced for move of 5% into the expected release of EPS before the open on January 18
SunTrust (STI) January 55 straddle priced for move of 5% into the expected release of EPS before the open on January 18

Increasing unusual option volume: EWU TXT DLPH LYG ECA R ZAYO
Increasing unusual call option volume: DLPH LYG RDC MRTX R MDRX GRPN KEY
Increasing unusual put option volume: EWU ECA TXT GWW GDS OC M ATHM
Popular stocks with increasing volume: F CGC ECA M PCG

Options with decreasing option implied volatility: BBBY QEP RESI BHP CHS KBH LEN AMBA RESI C FIVE LULU ANF AEO

Active options: BAC AAPL GE C FB PCG M ECA AMD NVDA CGC MU AMZN BABA MSFT TSLA F NFLX JPM WFC