Pre-Market IV Report January 16, 2019

Pre-Market IV Report January 16, 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: GPRO ZNGA LQD IMMU SNAP PCG GPRO SPOT ZAYO BOIL UNG TRIP

Options expected to have increasing volume: NFLX UAL AAL DAL LUV SNAP JWN GS MS BAC STT BK WDC

Netflix (NFLX) January call option implied volatility is at 115, February is at 52; compared to its 52-week range of 25 to 76 into the expected release of EPS after the close on January 17.

PG&E Corp. (PCG) January call option implied volatility is at 215, February is at 155, June is at 109; compared to its 52-week range of 26 to 202 on wide share price movement. Call put ratio 1 call to 3.3 puts with focus on January 5 and 6 puts.

Edison Int’l (EIX) January call option implied volatility is at 39, February is at 33, July is at 29; compared to its 52-week range of 18 to 74. Call put ratio 1 call to 6 puts with focus on April puts as shares react to PCG.

Sempra Energy (SRE) January call option implied volatility is at 17, February is at 19, June is at 19; compared to its 52-week range of 14 to 29. Call put ratio 16 calls to 1 put with a focus on February 120 calls as shares react to PCG.

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. Call put ratio 1.7 call to 1 put.

United States Natural Gas (UNG) January call option implied volatility is at 85, February is at 65; compared to its 52-week range of 21 to 112 on wide natural gas price movement.

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
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 180 straddle priced for move of 4% into the expected release of EPS before the open 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 48 straddle priced for move of 3.5% into the expected release of EPS before the open on January 16
Alcoa (AA) January 29 straddle priced for move of 7% into the expected release of EPS after the market close on January 17
American Express (AXP) January 98 straddle priced for move of 4% into the expected release of EPS after the market close on January 17
Morgan Stanley (MS) January 43 straddle priced for move of 3.5% into the expected release of EPS before the open on January 17
Netflix (NFLX) January 332.50 straddle priced for move of 9% into the expected release of EPS after the close on January 17
Bank OZK (OZK) January 25 straddle priced for move of 8% 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 16.50 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 4% into the expected release of EPS before the open on January 18
SunTrust (STI) January 55 straddle priced for move of 3.5% into the expected release of EPS before the open on January 18

Increasing unusual option volume: CYH VHC SE HSIC TXT PCG GSKY APRN JEF BCRX SSYS
Increasing unusual call option volume: VHC SE HSIC CYH IR GSKY SOXS APRN MAR PNC FEZ
Increasing unusual put option volume: CYH TXT SE PCG VHC EAT DELL CTXS WPG SSYS VNQ GT
Popular stocks with increasing volume: PCG UAL CGC TLRY FCX GT MAR PNC BSX PPG
Options with decreasing option implied volatility: RESI C FIVE LULU ANF AEO BBBY QEP ARNC NIHD CHS BHP NKE STZ FDX CELG
Active options: BAC AAPL FB PCG AMD JD NFLX GE BABA C AMZN MSFT JPM TWTR CGC NVDA SQ AMAT TSLA FCX