Pre-Market IV Report January 20, 2020

Pre-Market IV Report January 20, 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.

Option implied volatility for Health Care Select Sect Fd holdings into scientists warn China virus outbreak

XLV Health Care (XLV) 30-day option implied volatility is at 12; compared to its 52-week range of 11 to 24 into scientists warn China virus outbreak

Johnson & Johnson (JNJ) 30-day option implied volatility is at 16; compared to its 52-week range of 14 to 33 into scientists warn China virus outbreak

Straddle prices into expected release of quarter results this week

Capital One (COF) January weekly 104 straddle priced for a move of 3.5% into the expected release of quarter results on January 21

Comerica (CMA) February 67.50 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on January 21

Halliburton (HAL) January weekly 24 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on January 21

Interactive Broker (IBKR) February 50 straddle priced for a move of 6% into the expected release of quarter results on January 21

IBM (IBM) January weekly 138 straddle priced for a move of 4.5% into the expected release of quarter results after the bell on January 21

Las Vegas Sands (LVS) January weekly 74 straddle priced for a move of 3% into the expected release of quarter results on January 21