Pre-Market IV Report January 9, 2019

Pre-Market IV Report January 9, 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: TLRY UAL RCII EXPR CHS NLY GM M TOL CVS T PCG BHP GT TGT

Options expected to have increasing volume: HLF MET USO CLVS VIRT SWKS BP DAL KDP CL

Apple (AAPL) January weekly call option implied volatility is at 34, January is at 34, February is at 33; compared to its 52-week range of 16 to 45. Call put ratio 1.3 calls to 1 put.

Citigroup (C) January weekly call option implied volatility is at 34, January is at 39, February is at 31; compared to its 52-week range of 16 to 56 into the expected release of EPS before the open on January 14.

Delta (DAL) January weekly call option implied volatility is at 37, January is at 43, February is at 35; compared to its 52-week range of 20 to 46 into the expected release of EPS before the open on January 15. Call put ratio 2.6 calls to 1 put.

Clovis Oncology (CLVS) January call option implied volatility is at 100, February is at 101; compared to its 52-week range of 53 to 135 into CEO says company open to sale, Bloomberg reports. Call put ratio 4.3 calls to 1 put.

Herbalife (HLF) January weekly call option implied volatility is at 24, January is at 23, February is at 25; compared to its 52-week range of 21 to 55 into Michael O. Johnson, the company’s Executive Chairman, who led Herbalife as its Chief Executive Officer from 2003 to 2017, will reassume the role of CEO on an interim basis following the resignation of current CEO Richard Goudis.

Virtu Financial (VIRT) January call option implied volatility is at 33, February is at 44; compared to its 52-week range of 30 to 74 into sees Q4 revenue $424M-$447M.

iShares 20+ Year Treasury Bond Fund (TLT) January weekly call option implied volatility is at 11, January is at 10, February is at 10; compared to its 52-week range of 8 to 16 into auctions into release of FOMC minutes.

Option implied volatility into CES 2019 events

Energous (WATT) 30-day option implied volatility is at 123, compared to its 52-week range of to 57 to 152
Roku (ROKU) 30-day option implied volatility is at 76, compared to its 52-week range of to 45 to 123
Western Digital (WDC) 30-day option implied volatility is at 53, compared to its 52-week range of 25 to 73
Logitech (LOGI) 30-day option implied volatility is at 46, compared to its 52-week range of 20 to 52
Facebook (FB) 30-day option implied volatility is at 45, compared to its 52-week range of 20 to 53
Alibaba (BABA) 30-day option implied volatility is at 44, compared to its 52-week range of 26 to 58
Tesla (TSLA) 30-day option implied volatility is at 66, compared to its 52-week range of 34 to 87
GoPro (GPRO) 30-day option implied volatility is at 96, compared to its 52-week range of 43 to 100
Garmin (GRMN) 30-day option implied volatility is at 24, compared to its 52-week range of 15 to 40

Straddle prices for stocks expected to report results this week

Bed Bath & Beyond (BBBY) January weekly 12 straddle priced for move of 16% before the open on January 9
Lennar (LEN) January 42.50 straddle priced for move of 7.5% before the open on January 9
KB Home (KBH) January 21 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

Increasing unusual option volume: AXSM LAD TLYS WMGI VHC NAK XIM
Increasing unusual call option volume: CIM VHC GRA PAGP VZ MAXR PLUG NAK EWG
Increasing unusual put option volume: CHS RCII TRGP CTP PLUG
b: TLRY ROKU BBBY T VZ
Active options: AAPL T VZ FB AMD GE AMZN NFLX BAC BABA NVDA TSLA MSFT SQ ROKU MU TWTR TLRY PBR JD