Pre-Market IV Report January 7, 2019

Pre-Market IV Report January 7, 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: RCII MAT ZAYO SHPG ARNC TEAM NWSA ATHN

Options expected to have increasing volume: NVDA EXAS XLF PCG XLC AMRN GME DLTR GE HSY BMY WTW ARNC CMC NVDA

PG&E Corp. (PCG) January weekly call option implied volatility is at 51, January is at 50, February is at 65; compared to its 52-week range of 23 to 202 into Reuters reports PG&E considers filing bankruptcy protection, Reuters reports. Call put ratio 5.8 calls to 1 put.

General Electric (GE) January weekly call option implied volatility is at 53, January is at 52, February is at 55; compared to its 52-week range of 22 to 72 into Bloomberg reports Apollo mulling bid for jet-leasing unit.

Straddle prices for stocks expected to report EPS results this week

Commercial Metals (CMC) January 16 straddle priced for move of 11.5% before the open on January 7
Bed Bath & Beyond (BBBY) January weekly 12 straddle priced for move of 17% before the open on January 9
Delta Air Lines (DAL) January weekly 47.50 straddle priced for move of 7.5% before the open on January 9
KB Home (KBH) January 20 straddle priced for move of 10% before the open on January 9
Lennar (LEN) January 40 straddle priced for move of 9% before the open on January 9
Infosys (INFY) January weekly 9.50 straddle priced for move of 8.5% before the open on January 10

Option implied volatility flat into 37th Annual J.P. Morgan Healthcare Conference

Health Care Select Sect Fd (XLV) 30-day option implied volatility is at 22, compared to its 52-week range of 10 to 33
Spdr S&p Pharmaceuticals Etf (XPH) January call option implied volatility is at 9, February is at 14, April is at 16; compared to its 52-week range of 10 to 35

iShares Nasdaq Biotechnology (IBB) January weekly call option implied volatility is at 29, January is at 30, February is at 28; compared to its 52-week range of 15 to 40

Option Implied Volatility into Consumer Electronics Show 2019

Communication Services Select Sector SPDR (XLC) 30-day implied volatility is at 45, compared to its 52-week range of 17 to 41
Technology Select Sector Spdr Fund (XLK) 30-day option implied volatility is at 28, compared to its 52-week range of 13 to 37.
Synaptics (SYNA) 30-day option implied volatility is at 62, compared to its 52-week range of 31 to 75
ExOne (XONE) 30-day option implied volatility is at 63, compared to its 52-week range of 46 to 116
3D Systems (DDD) 30-day option implied volatility is at 89, compared to its 52-week range of 48 to 122
Voxeljet (VJET) 30-day option implied volatility is at 60, compared to its 52-week range of 48 to 82
Proto Labs (PRLB) 30-day option implied volatility is at 50, compared to its 52-week range of 26 to 58
Stratasys Ltd. (SSYS) 30-day option implied volatility is at 47, compared to its 52-week range of 36 to 81
Aptiv (APTV) 30-day option implied volatility is at 47, compared to its 52-week range of 20 to 55

Increasing unusual option volume: EUO CHTR NXST SIRI BMY BRFS HSY BMY WTW ARNC
Increasing unusual call option volume: NXST CHTR R BMY MLNX PAGP AFL SIRI NWSA SGMS
Increasing unusual put option volume: FCAU CHTR SE FXY ERJ IMMR SAGE SIRI BKS
Popular stocks with increasing volume: FCAU HAL BMY CHTR X GME
Options with decreasing option implied volatility: PTLA RESI DRIP TSRO RHT CELG GOOGL BMY P AAPL DAL AMGN V FCX CRM