Pre-Market IV Report January 24, 2019

Pre-Market IV Report January 24, 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: ARNC PG BIDU WB T COF AMZN WB AMRN LOW AAOI ARNC OSTK OLED

Options expected to have increasing volume: PCG LRCX URI BGG CTXS LBS FFIV INTC F SBUX TXN NLSN

PG&E Corp. (PCG) January weekly call option implied volatility is at 169, February is at 160, March is at 148; compared to its 52-week range of 26 to 202 into PG&E Corp estimates cost of compliance could be $75B-$150B – Bloomberg, citing court filing. Call put ratio 1.4 calls to 1 put.

Starbucks (SBUX) January weekly call option implied volatility is at 74, February is at 27; compared to its 52-week range of 15 to 35 into the expected release of EPS today after the close.

European Central Bank’s first meeting of year

JPMorgan (JPM) January weekly call option implied volatility is at 22, February is at 21; compared to its 52-week range of 15 to 41 into European Central Bank’s first meeting of year. Call put ratio 1.7 calls to 1 put.

Goldman Sachs (GS) January weekly call option implied volatility is at 28, February is at 26; compared to its 52-week range of 15 to 50 into European Central Bank’s first policy decision of year.

Bank of America (BAC) January weekly call option implied volatility is at 29, February is at 24; compared to its 52-week range of 15 to 47 into European Central Bank’s first policy decision of year.

Financial Select Sector SPDR ETF (XLF) January weekly call option implied volatility is at 22, February is at 20; compared to its 52-week range of 13 to 35. Call put ratio 1 call to 1.6 puts with focus on April 25 puts.

Alibaba (BABA) January weekly call option implied volatility is at 39, February is at 44; compared to its 52-week range of 25 to 58 into EPS expected to be released on January 30.

Nielsen Holdings (NLSN) February call option implied volatility is at 43, March is at 40; compared to its 52-week range of 21 to 58 into the expected release of EPS on February 6 and renewed M&A reports. Call put ratio 3 calls to 1 put with focus on February 25 calls.

Straddle prices for stocks expected to report results this week

Alaska Air (ALK) February 62.50 straddle priced for move of 8% into the expected release of EPS after the bell on January 24
American Airlines (AAL) January weekly 31.50 straddle priced for move of 7% into the expected release of EPS before the open on January 24
E*Trade (ETFC) January weekly 49 straddle priced for move of 4.5% into the expected release of EPS after the bell on January 24
Freeport-McMoRan (FCX) January weekly 12.50 straddle priced for move of 6.5% into the expected release of EPS before the open on January 24
Intel (INTC) January weekly 48 straddle priced for move of 5% into the expected release of EPS after the bell on January 24
Intuitive Surgical (ISRG) January weekly 530 straddle priced for move of 4.5% into the expected release of EPS before the open on January 24
Norfolk Southern (NSC) January weekly 165 straddle priced for move of 4% into the expected release of EPS after the bell on January 24
Southwest Airlines (LUV) January weekly 51 straddle priced for move of 5.5% into the expected release of EPS on January 24
Textron (TXT) January weekly 50 straddle priced for move of 9.5% into the expected release of EPS before the open on January 24
Western Digital (WDC) January weekly 37.50 straddle priced for move of 9% into the expected release of EPS after the bell on January 24
Starbucks (SBUX) January weekly 66.50 straddle priced for move of 4.5% into the expected release of EPS after the bell on January 24
AbbVie (ABBV) January weekly 88.50 straddle priced for move of 5% into the expected release of EPS before the open on January 25
Air Products (APD) February 155 straddle priced for move of 4% into the expected release of EPS before the open on January 25
Colgate-Palmolive (CL) January weekly 62.50 straddle priced for move of 5% into the expected release of EPS before the open on January 25
Lear (LEA) February 145 straddle priced for move of 7% into the expected release of EPS before the open on January 25

This information helps investors and traders incorporate into their trading decisions.

Increasing unusual option volume: ARAY DOX WEC FOLD RES TV VAR TELL QSR
Increasing unusual call option volume: ARAY TV HIMX QSR FOLD MCHP TELL VAR THS PEG DOX SRE
Increasing unusual put option volume: DOX VXXB ARRY LOXO TV SYMC CTXS JACK FISV
Popular stocks with increasing volume: BMY PG CSCO INTC QCOM
Options with decreasing option implied volatility: SYF IBM PG CMCSA SYF IBM KMB PG COF AMTD CMCSA ABT SYF WYNN UTX BIDU EBAY