Pre-Market IV Report January 21, 2020

Pre-Market IV Report January 21, 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 T IRBT ACB PTON PBYI JMIA PINS BLDP ROKU UAA

Options expected to have increasing volume: COF IBM HAL LVS

S&P Dep Receipts (SPY) 30-day call option implied volatility is at 10; compared to its 52-week range of 10 as 23 into Trump speech at Davos and scientists warn China virus outbreak.

Chinese Tech stocks option implied volatility into scientists warn China virus outbreak and China New Year

iShares China Large-Cap (FXI) 30-day call option implied volatility is at 16; compared to its 52-week range of 15 to 26 into scientists warn China virus outbreak and China New Year.

Db X-trackers Harvest Csi 300 China A – Shares Fund (ASHR) 30-day call option implied volatility is at 18; compared to its 52-week range of 17 to 36.

Yum China (YUMC) January weekly call option implied volatility is at 36, February is at 39; compared to its 52-week range of 24 to 54 into scientists warn China virus outbreak and China New Year.

Luckin Coffee (LK) January weekly call option implied volatility is at 72, February is at 85; compared to its 52-week range of 53 to 120 into scientists warn China virus outbreak and China New Year.

Alibaba (BABA) 30-day call option implied volatility is at 28; compared to its 52-week range of 22 to 43 into scientists warn China virus outbreak and China New Year.

NIO (NIO) 30-day call option implied volatility is at 116; compared to its 52-week range of 60 to 221 into scientists warn China virus outbreak and China New Year.

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

Netflix (NFLX) January weekly call option implied volatility is at 68, February is at 40; compared to its 52-week range of 23 to 58. Call put ratio 1.5 calls to 1 put into the expected release of quarter results on January 22.

Tesla (TSLA) January weekly call option implied volatility is at 50, February is at 62; compared to its 52-week range of 34 to 75. Call put ratio 1.3 calls to 1 put.

Qualcomm (QCOM) January weekly call option implied volatility is at 26, February is at 32; compared to its 52-week range of 25 to 43 into 5G 2020. Call put ratio 3.8 calls to 1 put.

Beyond Meat (BYND) January weekly call option implied volatility is at 72, February is at 71; compared to its 52-week range of 47 to 141 as shares rally 19%. Call put ratio 1.5 calls to 1 put.

Jumia Technologies (JMIA) February call option implied volatility is at 99, May is at 101; compared to its 52-week range of 69 to 169. Call put ratio 7.5 calls to 1 put.

Straddle prices for stocks expected to report quarterly results this week

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

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

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

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

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

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

TD Ameritrade (AMTD) January weekly 50.50 straddle priced for a move of 5% into the expected release of quarter results today

United Airlines (UAL) January weekly 89.50 straddle priced for a move of 4.5% into the expected release of quarter results today after the bell

Zions Bancorporation (ZION) February 50 straddle priced for a move of 6% into the expected release of quarter results today after the bell

Abbott Laboratories (ABT) January weekly 89 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on January 22

Adtran (ADTN) February 10 straddle priced for a move of 11% into the expected release of quarter results after the bell on January 22

Netflix (NFLX) January weekly 340 straddle priced for a move of 7.5% into the expected release of quarter results after the bell on January 22

Northern Trust (NTRS) February 110 straddle priced for a move of 5% into the expected release of quarter results before the bell on January 22

Steel Dynamics (STLD) February 33 straddle priced for a move of 7.5% into the expected release of quarter results after the bell on January 22

Texas Instruments (TXN) January weekly 132 straddle priced for a move of 5% into the expected release of quarter results after the bell on January 22

American Airlines (AAL) January weekly 28.50 straddle priced for a move of 5% into the expected release of quarter results before the bell on January 23

Colgate (CL) January weekly 71 straddle priced for a move of 2% into the expected release of quarter results before the bell on January 23

Comcast (CMCSA) January weekly 47.50 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on January 23

E*Trade (ETFC) January weekly 46.50 straddle priced for a move of 4% into the expected release of quarter results after the bell on January 23

Freeport-McMoRan (FCX) January weekly 13 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on January 23

Intel (INTC) January weekly 59.50 straddle priced for a move of 5% into the expected release of quarter results after the bell on January 23

Intuitive Surgical (ISRG) January weekly 600 straddle priced for a move of 3.5% into the expected release of quarter results after the bell on January 23

JetBlue (JBLU) February 19 straddle priced for a move of 6.5% into the expected release of quarter results on January 23

KeyCorp (KEY) January weekly 19.50 straddle priced for a move 4.5% of into the expected release of quarter results before the bell on January 23

Kimberly Clark (KMB) January weekly 144 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on January 23

Proctor & Gamble (PG) January weekly 126 straddle priced for a move of 3% into the expected release of quarter results before the bell on January 23

Skyworks (SWKS) January weekly 124 straddle priced for a move of 6.5% into the expected release of quarter results after the bell on January 23

Southwest Airlines (LUV) January weekly 55 straddle priced for a move of 5% into the expected release of quarter results before the bell on January 23

STMicroelectronics (STM) February 25 straddle priced for a move of 12% into the expected release of quarter results on January 23

Travelers (TRV) February 140 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on January 23

Union Pacific (UNP) January weekly 185 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on January 23

V.F. Corp (VFC) January weekly 95 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on January 23

American Express (AXP) January weekly 131 straddle priced for a move of 3% into the expected release of quarter results before the bell on January 24

Options with decreasing option implied volatility: SIG FIVE BBBY GME RAD APA TGTX EXAS SIG AEO ANF CLF TGT EXAS
Increasing unusual option volume: FHN SFL TUFN SPIKE JMIA SNA XPO
Increasing unusual call option volume: FHN JMIA MTSI SNA DISCK IFF CHL CCC
Increasing unusual put option volume: R EGO DRRX NOG SHY UBS ALLT IGT XPO
Popular stocks with increasing unusual: BYND S GE NIO
Active options: AAPL TSLA NIO MSFT AMZN BA SNAP QCOM TWTR FB T BAC BABA GE ROKU BYND S NFLX MU

Global S&P Futures are recently down 13.75 from previous day. Nikkei 225 up 0.9%, DAX down 0.5%, WTI Crude oil is recently at $57.81, natural gas down 4.6%, gold at $1556 an ounce