Pre-Market IV Report January 7, 2020

Pre-Market IV Report January 7, 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: TWTR WBA XLV S NOK WBA TWTR XLV MDR PGR MDR

Options expected to have increasing volume: BBBY XERS CNXN ZNGA WBA COST WORK BYND UBS MCHP SMH TSLA MCHP

Tesla (TSLA) IV low as share price near record high on Model 3 China outlook

Tesla (TSLA) January weekly call option implied volatility is at 43, January is at 43, February is at 52; compared to its 52-week range of 37 to 75 as shares at record high on China Model 3 manufacturing growth outlook.

Google (GOOGL) January weekly call option implied volatility is at 19, January 18, February is at 22; compared to its 52-week range of 13 to 33 as shares near record high. Call put ratio 2 calls to 1 put with focus on January weekly calls.

Boeing (BA) January weekly call option implied volatility is at 25, January is at 25, February is at 27; compared to its 52-week range of 23 to 41. Call put ratio 1.2 calls to 1 put with focus on January weekly 335 calls.

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 7-year highs. Call put ratio 1.8 calls to 1 put.

SPDR Gold Trust (GLD) January weekly call option implied volatility is at 16, January is at 14, February is at 13, September is at 14; compared to its 52-week range of 8 to 17 as gold near 7-year highs. Call put ratio 2.3 calls to 1 put.

Looking back to 2013, interest rate real yields and the price of gold have tended to track each other

Market Vectors Semiconductor ETF (SMH) January weekly call option implied volatility is at 24, January 23, February is at 23; compared to its 52-week range of 20 to 36 as shares near record high into CES 2020 Las Vegas January 7 to January 10.

Microchip Technology (MCHP) January weekly call option implied volatility is at 35, January 31, February is at 34; compared to its 52-week range of 27 to 48 into guidance outlook.

Signet Jewelers (SIG) January weekly call option implied volatility is at 70, January is at 90, February is at 70; compared to its 52-week range of 47 to 109.

CrowdStrike Holdings Inc. (CRWD) January weekly call option implied volatility is at 62, January is at 60, February is at 56; compared to its 52-week range of 55 to 90. Call put ratio 3 calls to 1 put with focus on January week and January 55 calls as shares rally.

RH (RH) January weekly call option implied volatility is at 42, January is at 37, February is at 38; compared to its 52-week range of 32 to 93. Call put ratio 3.3 calls to 1 put with focus on January weekly 220 calls.

SmileDirectClub (SDC) January call option implied volatility is at 108, February is at 89; compared to its 52-week range of 33 to 94. Call put ratio 2.6 calls to 1 put with focus on January 10, 11 and 12.50 calls as shares rally.

Peloton (PTON) January weekly call option implied volatility is at 67, January is at 69, February is at 72; compared to its 52-week range of 58 to 98.

Virtusa (VRTU) January call option implied volatility is at 37, February is at 42; compared to its 52-week range of 24 to 81. Call put ratio 1 call to 2.2 puts with focus on January 40 and 45 puts.

Straddle prices for stocks expected to report quarterly results this week

Bed Bath & Beyond (BBBY) January weekly 16.50 straddle priced for a move of 13% into the expected release of quarter results after the bell on January 8.

Walgreens Boots (WBA) January weekly 59.50 straddle priced for a move of 4.5% into the expected release of quarter results on January 8

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 weekly 58 straddle priced for a move of 6% into the expected release of quarter results before the bell on January 8

KB Home (KBH) January 35 straddle priced for a move of 6.5% 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: FDX TTD RH APA FDX RAD
Increasing unusual option volume: PGR CMC CNX ALLT RTN PRO EVRG CDRW SDC
Increasing unusual call option volume: PGR CMC CPB RTN EVRG
Increasing unusual put option volume: GLNG CNX MIC LC
Popular stocks with increasing unusual: ROKU OXY F LK BP CMCSA NIO CRM
Active options: AAPL TSLA AMD FB GE AMZN NIO T BAC NFLX ROKU BP CMCSA MSFT DIS OXY F UBER BABA LK

Global S&P Futures are recently up 5.00 from previous day. Nikkei 225 up 1.6%, DAX up 0.9%, WTI Crude oil is recently at $63.05, natural gas down 0.5%, gold at $1566 an ounce