Pre-Market IV Report January 6, 2020

Pre-Market IV Report January 6, 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 XLP NOK IBM MSFT UVXY IEF NOK ALGN UCO AMD BILI YELP MDR INSM AMAG

Options expected to have increasing volume: UTX BA RTN SLV GDX GLD USO XOP BP XOM CVX COP DAL UAL

Gold calls active

Market Vectors Gold Miners ETF (GDX) 30-day call option implied volatility is at 28; compared to its 52-week range of 21 to 36 as gold near three month high. Call put ratio 6.9 calls to 1 put with focus on March calls.

SPDR Gold Trust (GLD) January weekly call option implied volatility is at 14, January is at 13, February is at 12, October is at 15; compared to its 52-week range of 8 to 17 as oil, gold and Yen rise. Call put ratio 3.2 calls to 1 put.

Airliners and oil option implied volatility flat as oil, gold and Yen rise on international tensions

Delta (DAL) 30-day call option implied volatility is at 24; compared to its 52-week range of 20 to 38

Southwest Airlines (LUV) 30-day call option implied volatility is at 26; compared to its 52-week range of 18 to 39

American Airlines (AAL) 30-day call option implied volatility is at 42; compared to its 52-week range of 29 to 54

United Airlines (UAL) 30-day call option implied volatility is at 29; compared to its 52-week range of 20 to 42

ExxonMobil (XOM) 30-day call option implied volatility is at 21; compared to its 52-week range of 15 to 29. Call put ratio 2.9 calls to 1 put.

BP plc (BP) 30-day call option implied volatility is at 18; compared to its 52-week range of 15 to 26. Call put ratio 7.9 calls to 1 put.

Whiting Petroleum (WLL) 30-day call option implied volatility is at 92; compared to its 52-week range of 50 to 116.

AMD (AMD) January weekly call option implied volatility is at 46, January is at 45, February is at 55; compared to its 52-week range of 36 to 93 into CES 2020 and Dr. Lisa Su, CEO press conference.

Tesla (TSLA) January weekly call option implied volatility is at 41, January is at 42, February is at 50; compared to its 52-week range of 37 to 75 as market cap is above $80B.

Straddle prices for stocks expected to report quarterly results next week

Cal Maine Foods (CALM) January weekly 42.50 straddle priced for a move of 7.5% into the expected release of quarter results before the bell

Commercial Metals (CMC) January 22 straddle priced for a move of 9% into the expected release of quarter results today before the bell

Constellation Brands (STZ) January 190 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on January 8

Lennar (LEN) January straddle priced for a move of 8% into the expected release of quarter results before the bell on January 8

Bed Bath & Beyond (BBBY) January weekly 16.50 straddle priced for a move of 12.5% 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 4.5% into the expected release of quarter results on January 8

KB Home (KBH) January 35 straddle priced for a move of 6.2% into the expected release of quarter results after the bell on January 9

Infosys (INFY) January 10 straddle priced for a move 7% of into the expected release of quarter results before the bell on January 10

Options with decreasing option implied volatility: PDD ITCI MIK APA FDX WVE
Increasing unusual option volume: PAGP TRGP LW EWC WTI DRI FCEL AEO DRRX CLW DVN
Increasing unusual call option volume: EWC PAGP TRGP KTOS DRI JPM IEF FCEL DRRX EXPR
Increasing unusual put option volume: TRGP CBB INCY 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 20.75 from previous day. Nikkei 225 down 1.9%, DAX down 1.9%, WTI Crude oil is recently at $64.02, natural gas up 0.7%, gold at $1578 an ounce