Pre-Market IV Report January 16, 2020

Pre-Market IV Report January 16, 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: S EBAY TWTR IBM GPRO IRBT CGC ACB AAPL TLRY CRON BYND FOSL UA YELP SIX YNDX TAP MYL

Options expected to have increasing volume: XPO AA SLB MS TSLA BK STT SAVE NKE SKX UA

Tesla (TSLA) OTM calls and puts active

Tesla (TSLA) January call option implied volatility is at 61, February is at 66; compared to its 52-week range of 34 to 75. Call put ratio 1.2 calls to 1 put. Out of the money February 800 calls active were active on +4000 contracts with 36 days until expiration.

XPO Logistics (XPO) January call option implied volatility is at 31, February is at 36; compared to its 52-week range of 31 to 59 into announcing it is exploring strategic alternatives.

Cannabis stock option implied volatility, volume and share price up

Aurora Cannabis (ACB) 30 day option implied volatility is at 135; compared to its 52-week range of 37 to 136

Canopy Growth (CGC) 30 day option implied volatility is at 101; compared to its 52-week range of 41 to 101. Call put ratio 3.6 calls to 1 put.

Cronos Group (CRON) 30 day option implied volatility is at 85; compared to its 52-week range of 53 to 136. Call put ratio 5.2 calls to 1 put.

HEXO Corp. (HEXO) 30 day option implied volatility is at 138; compared to its 52-week range of 60 to 160

Tilray, Inc. (TLRY) 30 day option implied volatility is at 121; compared to its 52-week range of 48 to 139. Call put ratio 3.6 calls to 1 put.

Visa (V) and Master Card (MA) IV low as shares near record high into EPS and Davos

Visa Inc Class A (V) January weekly call option implied volatility is at 16, February is at 18; compared to its 52-week range of 15 to 29 into Financial Services agenda in Davos and the expected release of quarter results on January 28.

Master Card (MA) January weekly call option implied volatility is at 17, February is at 20; compared to its 52-week range of 16 to 31 into Financial Services agenda in Davos and the expected release of quarter results on January 29.

American Express (AXP) January weekly call option implied volatility is at 24, February is at 17; compared to its 52-week range of 14 to 28 into Financial Services agenda in Davos and the expected release of quarter results on January 24.

Straddle prices for stocks expected to report quarterly results this week

Bank of New York Mellon (BK) January 50.50 straddle is priced for a move of 3.5% into the expected release of quarterly results today before the bell

Bank OZK (OZK) January 30 straddle is priced for a move of 5.5% into the expected release of quarterly results today

CSX (CSX) January 75 straddle is priced for a move of 4% into the expected release of quarterly results today

Morgan Stanley (MS) January 53 straddle is priced for a move of 3.5% into the expected release of quarterly results today before the bell

Schwab (SCHW) January 47 straddle is priced for a move of 4% into the expected release of quarterly results today before the bell

Taiwan Semiconductor (TSM) January 58.50 straddle is priced for a move of 3.5% into the expected release of quarterly results today

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 38.50 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

Biogen (BIIB) January call option implied volatility is at 32, February is at 42; 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 2.4 calls to 1 put into expected quarter results on January 30.

Comcast NBCUniversal (CMCSA) January call option implied volatility is at 35, February is at 21; compared to its 52-week range of 17 to 30 into investor meeting today. Call put ratio 3.4 calls to 1 put with focus on March 47.50 calls.

Wingstop (WING) January call option implied volatility is at 73, February is at 34; compared to its 52-week range of 29 to 55 into investor day today.

Market Vectors Russia ETF Trust (RSX) 30 day option implied volatility is a 18; compared to its 52-week range of 16 to 32 after Vladimir Putin launches constitutional changes.

Yandex (YNDX) 30 day option implied volatility is a 36; compared to its 52-week range of 25 to 50 after Vladimir Putin launches constitutional changes. Call put ratio 9.5 calls to 1 put with focus on February calls.

Options with decreasing option implied volatility: BBBY CLVS FDX BBBY RAD APA GME RAD APA
Increasing unusual option volume: ACB CGC TLRY CRON VER GSX SHAK SPCE
Increasing unusual call option volume: PNC VER SHAK PPG TGNA NRG
Increasing unusual put option volume: FSLR PPG BK
Popular stocks with increasing unusual: WFC ACB SHAK
Active options: AAPL NIO TSLA AMD BAC WFC BYND ACB TGT CGC FB CRON AMZN MSFT MU TLRY SNAP SHAK SQ GE
Global S&P Futures are recently up 8.75 from previous day. Nikkei 225 up 0.01%, DAX up 0.01%, WTI Crude oil is recently at $58.12, natural gas up 0.4%, gold at $1555 an ounce