Pre-Market IV Report January 23, 2020

Pre-Market IV Report January 23, 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: SPCE TSLA LK PTON EBAY S KHC OLED MNK DPZ DE WMT TWTR S XLV KALA AAL CMCSA INTC SWKS OLED

Options expected to have increasing volume: PG UNP VFC PCG VER TXN LUV AAL FUL PAYC SPCE TSLA INTC SLB

Tesla (TSLA) option implied volatility and share price movement increases

Tesla (TSLA) January weekly call option implied volatility is at 67, February is at 64, March is at 61, compared to its 52-week range of 34 to 75. Call put ratio 1.5 calls to 1 put with focus on January weekly calls.

Virgin Galactic Holdings (SPCE) January call option implied volatility is at 126, February is at 120; compared to its 26-week range of 39 to 127 as Richard Branson’s spaceship company trends higher. Call put ratio 5.7 calls to 1 put with focus on February calls.

Market Vectors Semiconductor ETF (SMH) January weekly call option implied volatility is at 28, February is at 22; compared to its 52-week range of 20 to 36 as shares near record high. Call put ratio 1 call to 2.7 puts with focus on January weekly 147 puts.

Beyond Meat (BYND) weekly options active on wide price movement

Beyond Meat (BYND) January weekly call option implied volatility is at 115, February is at 88, March is at 88; compared to its 52-week range of 47 to 141. Call put ratio 1.9 calls to 1 put with focus on January weekly 125 and 135 calls.

Russell 2000 Index (RUT) January weekly call option implied volatility is at 14, February is at 14, March is at 14, April is at 14; compared to its 52-week range of 12 to 25 into Democratic National Convention begins on July 13.

Epizyme (EPZM) February call option implied volatility is at 102, March is at 88; compared to its 52-week range of 52 to 111 after recently submits NDA to FDA for accelerated approval of tazemetosta.

Biogen (BIIB) January weekly call option implied volatility is at 24, February is at 41; 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 1.1 calls to 1 put into the expected release of quarterly results on January 30.

Trillium Therapeutics (TRIL) 30-day option implied volatility is at 195; compared to its 52-week range of 145 to 250. Call put ratio 4.5 calls to 1 put with focus on February 2.5 and 5 calls.

PG&E (PCG) January weekly call option implied volatility is at 80, February and March is at 85; compared to its 52-week range of 59 to 254. Call put ratio 1 call to 1.5 puts.

Twilio (TWLO) January weekly call option implied volatility is at 41, February is at 50; compared to its 52-week range of 33 to 83. Call put ratio 2.6 calls to 1 put with focus on January weekly 121 calls.

CAE, Inc. (CAE) February and March call option implied volatility is at 20; compared to its 52-week range 15 to 58. CAE is an experienced, global leader in pilot training programs.

China confirms 571 coronavirus cases into China New Year

Novavax (NVAX) February call option implied volatility is at 168, March is at 160; compared to its 52-week range of 85 to 350 as China confirms 571 coronavirus cases into China New Year.

Lakeland Industries (LAKE) 30 day call option implied volatility is at 120; compared to its 52-week range of 34 to 133 as China confirms 571 coronavirus cases into China New Year.

Alibaba (BABA) 30-day call option implied volatility is at 29; compared to its 52-week range of 22 to 43 as China confirms 571 coronavirus cases into China New Year.

NIO (NIO) 30-day call option implied volatility is at 127; compared to its 52-week range of 60 to 223

JD.com (JD) 30-day call option implied volatility is at 31; compared to its 52-week range of 28 to 59. Call put ratio 3.4 calls to 1 put.

Luckin Coffee Inc. (LK) 30-day call option implied volatility is at 140; compared to its 52-week range of 53 to 140 as China locks down Wuhan city to prevent spread of coronavirus into China New Year.

Yum China (YUMC) January weekly call option implied volatility is at 36, February is at 35; compared to its 52-week range of 22 to 50

Straddle prices for stocks expected to report quarterly results this week

American Airlines (AAL) January weekly 27.50 straddle priced for a move of 5% into the expected release of quarter results today before the bell
Colgate (CL) January weekly 71 straddle priced for a move of 1.5% into the expected release of quarter results today before the bell
Comcast (CMCSA) January weekly 47.50 straddle priced for a move of 3% into the expected release of quarter results today before the bell
E*Trade (ETFC) January weekly 46.50 straddle priced for a move of 4% into the expected release of quarter results today after the bell
Freeport-McMoRan (FCX) January weekly 12.50 straddle priced for a move of 5.5% into the expected release of quarter results today before the bell
Intel (INTC) January weekly 62.50 straddle priced for a move of 5% into the expected release of quarter results today after the bell
Intuitive Surgical (ISRG) January weekly 610 straddle priced for a move of 3% into the expected release of quarter results today after the bell
JetBlue (JBLU) February 19 straddle priced for a move of 7% into the expected release of quarter results on today
KeyCorp (KEY) January weekly 19.50 straddle priced for a move 2.5% of into the expected release of quarter results today before the bell
Kimberly Clark (KMB) January weekly 144 straddle priced for a move of 3.5% into the expected release of quarter results today before the bell
Proctor & Gamble (PG) January weekly 126 straddle priced for a move of 3% into the expected release of quarter results today before the bell
Skyworks (SWKS) January weekly 125 straddle priced for a move of 6.5% into the expected release of quarter results today after the bell
Southwest Airlines (LUV) January weekly 53.5 straddle priced for a move of 4% into the expected release of quarter results before the bell
STMicroelectronics (STM) February 30 straddle priced for a move of 10% into the expected release of quarter results today
Travelers (TRV) February 140 straddle priced for a move of 4% into the expected release of quarter results today before the bell
Union Pacific (UNP) January weekly 180 straddle priced for a move of 3.5% into the expected release of quarter results today before the bell
V.F. Corp (VFC) January weekly 95 straddle priced for a move of 6% into the expected release of quarter results today before the bell
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
NextEra Energy (NEE) February 260 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on January 24

Options with decreasing option implied volatility: SIG FIVE BBBY GME RAD FDX APA TGTX TLRY CLVS IOVA
Increasing unusual option volume: APT DERM CX INVA CHNG CRK NVAX TPIC LX XPO CTXS
Increasing unusual call option volume: APT DERM CX ELAN CRK SPR LX TECK XPO SPCE
Increasing unusual put option volume: CHNG INVA BRFS MRNA WUBA SPCE TRV
Popular stocks with increasing unusual: TEVA IBM TWTR BYND
Active options: TSLA NIO AAPL NFLX BA GE TEVA AMD BYND INTC MSFT AMZN MU IBM T FB ROKU SNAP TWTR UBER
Global S&P Futures are recently up 0.25 from previous day. Nikkei 225 down 0.9%, DAX down 0.6%, WTI Crude oil is recently at $55.92, natural gas up 0.03%, gold at $1555 an ounce