Pre-Market IV Report March 20, 2019

Pre-Market IV Report March 20, 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 over looked information.​

Options with increasing option implied volatility: DIS AMD UPS FDX GRUB HYG​ NKE BBBY BKLN JNK NFLX BMY CELG
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Options expected to have increasing volume: MU FDX DLTH NKE HDS SCS MIK SAGE TME​
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Options implied volatility into U.S. central bank meeting decision​

Ishares Russell 2000 Etf (IWM) March weekly call option implied volatility is at 18, April is at 16; compared to its 52-week range of 12 to 34 into The U.S. central bank meeting on March 19-20. The central bank is expected to again signal its intention to be patient before deciding whether to hike rates again. The Fed has been reducing the size of a bond portfolio it built up to stimulate the economy in the aftermath of the financial crisis. Call put ratio 1 call to 1.4 puts. ​
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Russell 2000 Index (RUT) March weekly call option implied volatility is at 17, April is at 16; compared to its 52-week range of 11 to 34 into The U.S. central bank meeting on March 19-20. Call put ratio 1 call to 1.6 puts.​

PowerShares QQQ Trust (QQQ) March weekly call option implied volatility is at 17, April is at 16; compared to its 52-week range of 13 to 37 into FOMC meeting. Call put ratio 1 call to 1.9 puts.​
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S&P Dep Receipts ( SPY) March weekly call option implied volatility is at 13, April is at 12; compared to its 52-week range of 9 to 32 into The U.S. central bank meeting.​
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Ishares S&p Software Index Fund (IGV) April call option implied volatility is at 18, May is at 19; compared to its 52-week range of 16 to 44. Call put ratio 1.4 calls to 1 put.​
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Market Vectors Semiconductor ETF (SMH) March weekly call option implied volatility is at 24, April is at 23; compared to its 52-week range of 18 to 40. Call put ratio 1 call to 3.4 puts.​
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Technology Select Sector Spdr Fund (XLK) March weekly call option implied volatility is at 17, April is at 15; compared to its 52-week range of 13 to 37 after sharp rally. Call put ratio 1 call to 1.1 puts. ​
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Utilities Sel Sect Spdr Fd (XLU) March call option implied volatility is at 13, April is at 12; compared to its 52-week range of 12 to 23 as shares near record high. Call put ratio 1 call to 2.1 puts. ​
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Vanguard Ftse Europe Etf (VGK) March call option implied volatility is at 10, April is at 12; compared to its 52-week range of 11 to 25. Call put ratio 29 calls to 1 put.​
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Ishares Msci Emerging Markets Etf (EEM) Ishares Msci Emerging Markets Etf (EEM) option implied volatility at low end of range​
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Micron (MU) March weekly call option implied volatility is at 99, April is at 48; compared to its 52-week range of 34 to 64 into the expected release of EPS today after the bell.​

Altria Group (MO) March call option implied volatility is at 31, April is at 21; compared to its 52-week range of 17 to 39.​

British American Tobacco (BTI) April call option implied volatility is at 26, May is at 25; compared to its 52-week range of 19 to 52.​

Philip Morris (PM) March weekly call option implied volatility is at 18, April is at 22; compared to its 52-week range of 16 to 38.​
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Straddle prices for stocks expected to report results this week​

Micron (MU) March weekly 40.50 straddle priced for move of 7% into the expected release of EPS today after the bell
Williams Sonoma (WSM) April 55 straddle priced for move of 11% into the expected release of EPS today after the bell
Carnival (CCL) March weekly 57.50 straddle priced for move of 3.5% into the expected release of EPS before the bell on March 21​
ConAgra (CAG) April 23 straddle priced for move of 8% into the expected release of EPS before the bell on March 21​
Lands End (LE) March weekly 17.50 straddle priced for move of 13% into the expected release of EPS before the bell on March 21​
Nike (NKE) March weekly straddle 87.50 priced for move of 6.5% into the expected release of EPS after the bell on March 21​​
Tiffany (TIF) March weekly 97 straddle priced for move of 6.5% into the expected release of EPS after the bell on March 22​
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Increasing unusual option volume: SRNE INDA IDTI DSW ANDX RDC​
Increasing unusual call option volume: IDTI DSW AVGO LSTR LXRX RCII JCI HRTX​
Increasing unusual put option volume: INDA NOG DSW STNE MIK​
Popular stocks with increasing unusual volume: NIO ACB COTY FDX DIS​
Options with decreasing option implied volatility: TLRY DSW CELG HUM OSTK​
Active options: AMD AAPL NVDA FB BAC AMZN TSLA COTY AVGO MU BA MSFT F DIS NFLX ACB BABA PBR FDX NIO​
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