Pre-Market IV Report January 3, 2020

Pre-Market IV Report January 3, 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: ACB BBBY MDR S XLP NOK IBM MSFT MDR GME ALGN MIK CRUS FLEX AMD CHTR EA FB JNPR TGTX

Options expected to have increasing volume: SPY QQQ RUT IWM RUT GDX GLD USO XOP UTX BA RTN SLV after top Iranian commander killed in U.S. Airstrike.

Black Swan. Tail Risk.

S&P Dep Receipts (SPY) 30-day call option implied volatility is at 11; compared to its 52-week range of 9 to 24 into top Iranian commander killed in U.S. Airstrike.

PowerShares QQQ Trust (QQQ) 30-day call option implied volatility is at 14; compared to its 52-week range of 12 to 31 into top Iranian commander killed in U.S. Airstrike.

Ishares Russell 2000 Etf (IWM) 30-day call option implied volatility is at 14; compared to its 52-week range of 12 to 27

United States Oil Fund (USO) 30-day call option implied volatility is at 26; compared to its 52-week range of 23 to 53

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day call option implied volatility is at 31; compared to its 52-week range of 27 to 54

Market Vectors Gold Miners ETF ( GDX) 30-day call option implied volatility is at 27; compared to its 52-week range of 21 to 36 as gold near three month high into top Iranian commander killed in U.S. Airstrike.

Military IV flat into top Iranian commander killed in U.S. Airstrike

Raytheon (RTN) 30-day call option implied volatility is at 22; compared to its 52-week range of 16 to 34
United Technologies (UTX) 30-day call option implied volatility is at 20; compared to its 52-week range of 15 to 34
Northrop Grumman (NOC) 30-day call option implied volatility is at 23; compared to its 52-week range of 17 to 35
Lockheed Martin (LMT) 30-day call option implied volatility is at 23; compared to its 52-week range of 17 to 36
General Dynamics (GD) 30-day call option implied volatility is at 21; compared to its 52-week range of 14 to 35
Boeing (BA) 30-day call option implied volatility is at 31; compared to its 52-week range of 23 to 42

Honeywell (HON) 30-day call option implied volatility is at 20; compared to its 52-week range of 14 to 30
Spirit AeroSystems (SPR) 30-day call option implied volatility is at 34; compared to its 52-week range of 21 to 41

Option implied volatility for travel stocks into WTI Crude Oil up 3% after top Iranian commander killed in U.S. Airstrike.

Delta (DAL) 30 day option implied volatility is at 23; compared to its 52-week range of 20 to 42

Southwest Airlines (LUV) 30 day option implied volatility is at 25; compared to its 52-week range of 17 to 41
American Airlines (AAL) 30 day option implied volatility is at 30; compared to its 52-week range of 29 to 58

United Airlines (UAL) 30 day option implied volatility is at 28; compared to its 52-week range of 20 to 44

Alaska Air Group (ALK) 30 day option implied volatility is at 23; compared to its 52-week range of 21 to 44

United Airlines (UAL) 30 day option implied volatility is at 28; compared to its 52-week range of 20 to 44

Expedia (EXPE) 30 day option implied volatility is at 25; compared to its 52-week range of 20 to 43
Booking Holdings (BKNG) 30 day option implied volatility is at 18; compared to its 52-week range of 15 to 40

TripAdvisor (TRIP) 30 day option implied volatility is at 33; compared to its 52-week range of 29 to 62

trivago (TRVG) 30 day option implied volatility is at 74; compared to its 52-week range of 50 to 91

Tech stock at record highs into CES 2020. Benchmark, Morgan Stanley, Piper Jaffray, Jefferies, Needham, Mizuho…. hosting company meetings at Consumer Electronic Show CES 2020 Las Vegas January 6 to January 10

Apple (AAPL) January weekly call option implied volatility is at 28, January is at 24, February is at 28; compared to its 52-week range of 15 to 46 after shares close at record high. Quarter results are expected on January 27.
Microsoft (MSFT) January call option implied volatility is at 15, February is at 19; compared to its 52-week range of 15 to 42 after closes at record high. Call put ratio 2 calls to 1 put as shares close at record high.
Alphabet (GOOGL) January call option implied volatility is at 16, February is at 20; compared to its 52-week range of 14 to 39 after closes at record high.

Market Vectors Semiconductor ETF (SMH) January weekly call option implied volatility is at 19, January 21, February is at 22; compared to its 52-week range of 20 to 36 as shares near record high into CES 2020 Las Vegas January 6 to January 10.

KLA-Tencor (KLAC) January weekly call option implied volatility is at 26, January is at 26, February is at 31; compared to its 52-week range of 27 to 48 as shares near record high

Lam Research (LRCX) January weekly call option implied volatility is at 27, January and February is at 26; compared to its 52-week range of 26 to 52 as shares near record high

Analog Devices (ADI) 30-day option implied volatility is at 23; compared to its 52-week range of 22 to 43.

Marvell Technology (MRVL) 30-day option implied volatility is at 31; compared to its 52-week range of 26 to 47. Call put ratio 5.7 calls to 1 put with focus on January 35 calls.

Qualcomm (QCOM) 30-day option implied volatility is at 27; compared to its 52-week range of 25 to 43. Call put ratio 2.4 calls to 1 put.

Skyworks Solutions (SWKS) 30-day option implied volatility is at 34; compared to its 52-week range of 25 to 50

Applied Materials (AMAT) 30-day option implied volatility is at 28; compared to its 52-week range of 25 to 47

Nvidia (NVDA) 30-day option implied volatility is at 30; compared to its 52-week range of 28 to 60

Intel (INTC) 30-day option implied volatility is at 27; compared to its 52-week range of 19 to 43

Maxim Integrated Devices (MXIM) 30-day option implied volatility is at 24; compared to its 52-week range of 22 to 42. Call put ratio 6.6 calls to 1 put.

Xilinx (XLNX) 30-day option implied volatility is at 37; compared to its 52-week range of 24 to 53

Microchip (MCHP) 30-day option implied volatility is at 32; compared to its 52-week range of 25 to 48

AMD (AMD) January weekly call option implied volatility is at 48, January is at 44, February is at 51; compared to its 52-week range of 36 to 93 as shares at first record high since 2000 into CES 2020 Las Vegas January 7 to January 10. Quarter results are expected to be released on January 27. Call put ratio 2.3 calls to 1 put.

JPMorgan 38th Healthcare Conference January 13 to January 16

Health Care Select Sect Fd (XLV) 30 day option implied volatility is at 12; compared to its 52-week range of 11 to 26 into JPMorgan 38th Healthcare Conference January 13 to January 16.

Regeneron (RGEN) 30-day option implied volatility is at 26; compared to its 52-week range of 25 to 47 into JPMorgan 38th Healthcare Conference.

Ziopharm Oncology (ZIOP) 30-day option implied volatility is at 86; compared to its 52-week range of 55 to 125 into JPMorgan 38th Healthcare Conference. Call put ratio 9.8 calls to 1 put with focus on January and July 5 calls.

Sanofi (SNY) 30-day option implied volatility is at 17; compared to its 52-week range of 16 to 29. Call put ratio 11.6 calls to 1 put with focus on January 48 calls.

Straddle prices for stocks expected to report quarter results next week

Cal Maine Foods (CALM) January weekly 42 straddle priced for a move of 7.5% into the expected release of quarter results before the bell on January 6

Commercial Metals (CMC) January 22 straddle priced for a move of 10% into the expected release of quarter results before the bell on January 6

Bed Bath & Beyond (BBBY) January weekly 16.50 straddle priced for a move of 15% into the expected release of quarter results after the bell on January 8

Walgreens Boots (WBA) January weekly 59 straddle priced for a move of 5.5 %into the expected release of quarter results on January 8

VIX Futures Premium: 20.49

Options with decreasing option implied volatility: TGT FDX CLVS PDD WVE ITCI ARQL
Increasing unusual option volume: DRI FCEL AEO DRRX CLW DVN
Increasing unusual call option volume: GPRO DRI JPM IEF FCEL DRRX EXPR
Increasing unusual put option volume: ERIC AEO FCEL TGTX VWO
Popular stocks with increasing unusual: JD SNAP NIO LK
Active options: AAPL AMD JPM AMZN TSLA NIO MSFT FB BABA GE BIDU MU BAC DIS ROKU JD SNAP LK NFLX BA

Global S&P Futures are recently down 43.50 from previous day. Nikkei 225 down 0.7%, DAX down 1.4%, WTI Crude oil is recently at $63.82, natural gas up 0.1%, gold at $1547 an ounce