Pre-Market IV Report January 29, 2020

Pre-Market IV Report January 29, 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: I S KHC TWOU ETSY LB TWTR SWN EBAY SWN TECK SHAK PTON AAPL BA SBUX MSFT AMD XOM HON MUR

Options expected to have increasing volume: BA MSFT MCD EBAY SBUX NVS AAPL TSLA MCD AMD

Johnson & Johnson (JNJ) 30-day option implied volatility is at 15; compared to its 52-week range of 13 to 33 into J&J says at work on potential preventive coronavirus vaccine.

Apple (AAPL) January weekly call option implied volatility is at 65, February is at 34; compared to its 52-week range of 18 to 35 into share price mixed to up in premarket after reporting Q1 earnings, giving Q2 guidance and monitoring coronavirus. Raymond James raised the price target on Apple to $360 (from $280) while maintaining a Outperform rating.

Tesla (TSLA) January weekly call option implied volatility is at 148, February is at 72; compared to its 52-week range of 34 to 75 into the expected release of quarter results today after the bell.

Qualcomm (QCOM) January weekly and February option implied volatility is at 37, March is at 34; compared to its 52-week range of 25 to 43 into 5G 2020. Call put ratio 3 calls to 1 put quarter results are expected February 5.

Twitter (TWTR) January weekly option implied volatility is at 36, February is at 54; compared to its 52-week range of 27 to 67 into the expected release of quarterly results on February 6. Over the last five years, TWTR has gained or lost more than 7% in response to financial results 85% of the time. TWTR has moved by double digit percentages 60% of the time.

Option Implied Volatility on coronavirus anxiety, into FOMC policy meeting, Iowa Democratic caucuses, quarter results and into Johnson & Johnson (JNJ) says at work on potential preventive coronavirus vaccine.

S&P Dep Receipts (SPY) January weekly call option implied volatility is at 18, February is at 15, March is at 15; compared to its 52-week range of 10 to 23.

Novavax (NVAX) February call option implied volatility is at 177, March is at 173; compared to its 52-week range of 85 to 350 as coronavirus death toll climbs to 132.

Lakeland Industries (LAKE) February call option implied volatility is at 108, March is at 86; compared to its 52-week range of 34 to 133 as coronavirus death toll climbs to 132. Call put ratio 3.3 calls to 1 put with focus on February and March ATM calls.

Alpha Pro Tech Ltd. (APT) February call option implied volatility is at 170, March is at 140; compared to its 52-week range of 40 to 149 as coronavirus death toll climbs to 132. Call put ratio 2.9 calls to 1 put with focus on February calls.

United States Oil Fund (USO) January weekly call option implied volatility is at 43, February is at 33; compared to its 52-week range of 22 to 47 as WTI Crude trades $54. Call put ratio 1 call to 1.4 puts into Wednesday inventory report.

United States Natural Gas (UNG) January weekly call option implied volatility is at 38, February is at 35, March is at 35; compared to its 52-week range of 21 to 60 as Natural Gas is near multi-year lows. Call put ratio 4.4 calls to 1 put with focus on April 16 and 18 calls into Thursday inventory report.

Ishares S&p Software Index Fund (IGV) February and March call option implied volatility is at 23; compared to its 52-week range of 15 to 34.

Straddle prices for stocks expected to report quarterly results this week

Cirrus Logic (CRUS) January weekly 83.50 straddle priced for a move of 10% into the expected release of quarter results today after the bell
Cree (CREE) January weekly 52.50 straddle priced for a move of 9.5% into the expected release of quarter results today after the bell
Las Vegas Sands (LVS) January weekly 64.50 straddle priced for a move of 5% into the expected release of quarter results today after the bell
Microsoft (MSFT) January weekly 165 straddle priced for a move of 4% into the expected release of quarter results today after the bell
Tesla (TSLA) January weekly 567.50 straddle priced for a move of 11.5% into the expected release of quarter results today after the bell
Altria Group (MO) January weekly 50 straddle priced for a move of 3% into the expected release of quarter results on January 30
Amgen (AMGN) January weekly 225 straddle priced for a move of 3% into the expected release of quarter results after the bell on January 30
Amazon (AMZN) January weekly 1850 straddle priced for a move of 4% into the expected release of quarter results after the bell on January 30
Biogen (BIIB) January weekly 280 straddle priced for a move of 5% into the expected release of quarter results before the bell on January 30
Blackstone (BX) January weekly 62 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on January 30
CNX Resources (CNX) January weekly 7 straddle priced for a move of 13% into the expected release of quarter results on January 30
Coca-Cola (KO) January weekly 57 straddle priced for a move of 3% into the expected release of quarter results before the bell on January 30
Decker Outdoor (DECK) February 175 straddle priced for a move of 11% into the expected release of quarter results on after the bell on January 30
DuPont (DD) January weekly 57.50 straddle priced for a move of 5% into the expected release of quarter results on before the bell on January 30
Electronic Arts (EA) January weekly 112 straddle priced for a move of 5.5% into the expected release of quarter results after the bell on January 30
Hershey (HSY) January weekly 152.50 straddle priced for a move of 4% into the expected release of quarter results on January 30
Murphy Oil (MUR) February 22.50 straddle priced for a move of 8% into the expected release of quarter results on before the bell on January 30
Northrup Grumman (NOC) January weekly 380 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on January 30
Raytheon (RTN) January weekly 227 straddle priced for a move of 4% into the expected release of quarter results on January 30
Spirit Aerosystems (SPR) February 70 straddle priced for a move of 12% into the expected release of quarter results on January 30
United Parcel (UPS) January weekly 115 straddle priced for a move of 4% into the expected release of quarter results before the bell on January 30
United States Steel (X) January weekly 9 straddle priced for a move of 9% into the expected release of quarter results on January 30
Verizon (VZ) January weekly 61 straddle priced for a move of 2.5% into the expected release of quarter results before the bell on January 30
Visa (V) January weekly 202.50 straddle priced for a move of 3% into the expected release of quarter results on January 30
Aon (AON) February 220 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on January 31
Caterpillar (CAT) January weekly 137 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on January 31
Chevron (CVX) January weekly 111 straddle priced for a move of 2.5% into the expected release of quarter results before the bell on January 31
Colgate (CL) January weekly 70 straddle priced for a move of 3% into the expected release of quarter results before the bell on January 31
Exxon Mobil (XOM) January weekly 64.50 straddle priced for a move of 3% into the expected release of quarter results before the bell on January 31
KKR (KKR) January weekly straddle priced for a move of 4% into the expected release of quarter results before the bell on January 31
Honeywell (HON) January weekly 175 straddle priced for a move of 3% into the expected release of quarter results before the bell on January 31
Phillips 66 (PSX) January weekly 97 straddle priced for a move of 3% into the expected release of quarter results before the bell on January 31

Options with decreasing option implied volatility: INTC NIO CCL INTC FDX BBBY KPTI DLPH NFLX IBM TXN PG
Increasing unusual option volume: XLRN CVLT BWA LOPE EPC DT SAVA MMC APT
Increasing unusual call option volume: BWA EPC SAVA DT FSCT CIT
Increasing unusual put option volume: LOPE BWA FFIV R LQD ARCC MTZ PII
Popular stocks with increasing unusual: LK DAL SBUX SAP WYNN F NIO TSLA SQ BYND PFE
Active options: AAPL AMD GE TSLA SQ NFLX T MSFT BABA INTC ROKU DIS FB BYND PFE LK BAC NVDA F NIO
Global S&P Futures are recently up 7.50 from previous day. Nikkei 225 down 0.7%, DAX mixed, WTI Crude oil is recently at $54.06, natural gas down 0.5%, gold at $1566 an ounce