Pre-Market IV Report January 15, 2020

Pre-Market IV Report January 15, 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: TGT SHAK APA AAPL TLRY BYND CGC PINS FOSL GOOS TRIP UA SKX KO S TWT EBAY CGC T PTON AAPL TSLA

Options expected to have increasing volume: NKTR BYND GS USB PNC C BAC MNTA EXPR SLB MS TSLA

Biogen (BIIB) January call option implied volatility is at 32, February is at 40; 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. Call put ratio 2.6 calls to 1 put into expected quarter results on January 30.

Gold IV decreases as gold pulls back into Phase 1 China Trade deal signing

Market Vectors Gold Miners ETF (GDX) 30-day call option implied volatility is at 25; compared to its 52-week range of 21 to 36 as gold pulls back from 7-year highs. Call put ratio 1.6 calls to 1 put.

SPDR Gold Trust (GLD) January call option implied volatility is at 12, February is at 11; compared to its 52-week range of 8 to 18 as gold pulls back from 7-year highs. Call put ratio 1.9 calls to 1 put.

Market Vectors Russia ETF Trust (RSX) 30 day option implied volatility is a 17; compared to its 52-week range of 16 to 32 into Vladimir Putin State of Union speech.

Yandex (YNDX) 30 day option implied volatility is a 32; compared to its 52-week range of 25 to 50 into Vladimir Putin State of Union speech.

Stocks with active option implied volatility, volume and share price

Roku (ROKU) January call option implied volatility is at 63, February is at 75; compared to its 52-week range of 50 to 97 into expected release of quarter results on February 19.

Shopify (SHOP) January call option implied volatility is at 44, February is at 49; compared to its 52-week range of 36 to 63.

Overstock.com (OSTK) January call option implied volatility is at 113, February is at 90; compared to its 52-week range of 67 to 154 after sharp rally. Call put ratio 13 calls to 1 put with focus on February 7.5 calls.

Virgin Galactic Holdings (SPCE) January call option implied volatility is at 85, February is at 72; compared to its 52-week range of 66 to 153. Call put ratio 9 calls to 1 put with focus on January 14 and February 15 calls.

CrowdStrike Holdings Inc. (CRWD) January call option implied volatility is at 55, February is at 51; compared to its 52-week range of 53 to 90. Call put ratio 4.7 calls to 1 put with focus on January 60 and 62.50 calls.

RH (RH) January call option implied volatility is at 39, February is at 38; compared to its 52-week range of 32 to 94.
SmileDirectClub (SDC) January call option implied volatility is at 100, February is at 94; compared to its 52-week range of 59 to 138. Call put ratio 3.8 calls to 1 put with focus on January 12.50 calls as shares rally 16% after announcing move to sell aligners directly to orthodontists.

Pinterest (PINS) January call option implied volatility is at 78, February is at 64; compared to its 52-week range of 39 to 98 after a report by eMarketer said it has surpassed Snapchat (SNAP) to become the third-biggest social media platform in the U.S. Call put ratio 4.5 calls to 1 put with focus on February 21 and 25 calls.

Teck Resources (TECK) January call option implied volatility is at 33, February is at 36; compared to its 52-week range of 30 to 54. Call put ratio 2 calls to 1 put with focus on February 17 calls, February 15 & 16 puts.

Straddle prices for stocks expected to report quarterly results this week

Alcoa (AA) January 20.50 straddle is priced for a move of 6.5% into the expected release of quarterly results today after the bell
Bank of America (BAC) January 35.50 straddle is priced for a move of 3% into the expected release of quarterly results today before the bell
Blackrock (BLK) January 520 straddle is priced for a move of 2.5% into the expected release of quarterly results today
Goldman Sachs (GS) January 245 straddle is priced for a move of 3.5% into the expected release of quarterly results today before the bell
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 56.50 straddle is priced for a move of 2.5% into the expected release of quarterly results today before the bell
UnitedHealth Group (UNH) January 288 straddle is priced for a move of 3.5% into the expected release of quarterly results today before the bell
Bank of New York Mellon (BK) January 51 straddle is priced for a move of 3.5% 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 today after the bell
CSX (CSX) January 74.50 straddle is priced for a move of 4% into the expected release of quarterly results today after the bell
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 47.50 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% into the expected release of quarterly results on January 16
Fastenal (FAST) January 36.25 straddle is priced for a move of 7% 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% 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 39.50 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

Health Care Select Sect Fd (XLV) 30 day option implied volatility is at 13; compared to its 52-week range of 11 to 24 as JPMorgan 38th Healthcare Conference continues in San Fransico. Call put ratio 1 call to 2.8 puts.

Options with decreasing option implied volatility: BBBY CLVS FDX BBBY RAD APA EDIT APLS ABMD CROX INFY BAX
Increasing unusual option volume: THRC INOV HBI IWF GEL TSG TLRY
Increasing unusual call option volume: LBTYA CAN OAS ICHR TECK TSG INOV ENLC FHN ZIOP TLRY EHC PINS
Increasing unusual put option volume: HBI ACOR IWF GEL PAGP MTN FNKO VHC HL HTZ
Popular stocks with increasing unusual: BSX DDD DAL TECK EBAY WFC
Active options: AAPL TSLA BAC JPM BYND DIS AMD FB MSFT WFC TLRY CGC C AMZN MU PINS BABA BA NFLX NIO
Global S&P Futures are recently down 5.25 from previous day. Nikkei 225 down 0.4%, DAX down 0.1%, WTI Crude oil is recently at $57.97, natural gas down 1.4%, gold at $1553 an ounce