Pre-Market IV Report March 22, 2019

​Pre-Market IV Report March 22, 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: BB BKLN TIF NKE STNE BIIB VIAB

Options expected to have increasing volume: NKE TIF SMH BA GME BIIB

Apple (AAPL) option implied volatility low into hosting event on March 25

Apple (AAPL) March weekly call option implied volatility is at 32, March weekly is at 28, April is at 24; compared to its 52-week range of 16 to 46 into hosting a “special event” live from the Steve Jobs Theater in Cupertino, California on March 25, 2019.

Nike (NKE) 30-day option implied volatility is at 30; compared to its 52-week range 17 to 46 into EPS and NCAA Basketball

Skechers USA (SKX) 30-day option implied volatility is at 49; compared to its 52-week range 28 to 78 into NCCA Basket Ball

Under Armour (UA) 30-day option implied volatility is at 34; compared to its 52-week range 33 to 73 into NCCA Basket Ball

Biogen (BIIB) March weekly call option implied volatility is at 38, April is at 34; compared to its 52-week range of 21 to 45 after shares sold off 28% after discontinues Alzheimer’s drug trials.

iShares Nasdaq Biotechnology (IBB) March weekly call option implied volatility is at 22, April is at 19; compared to its 52-week range of 15 to 40 after Biogen (BIIB) discontinues two Alzheimer’s trials. Call put ratio 1 call to 1.6 puts.

Market Vectors Semiconductor ETF (SMH) puts more active than calls, shares close near high

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 2.7 puts.
Intel (INTC) 30-day option implied volatility is at 22; compared to its 52-week range of 19 to 45
Marvell (MRVL) 30-day option implied volatility is at 36; compared to its 52-week range of 29 to 58

Bank of America (BAC) 30-day option implied volatility is at 25; compared to its 52-week range 15 to 46 as U.S. and Euro rates trend lower after FOMC decision

Citi (C) 30-day option implied volatility is at 25; compared to its 52-week range 16 to 55

Straddle prices for stocks expected to report results next week

Winnebago (WGO) April 30 straddle priced for move of 13% into the expected release of EPS before the bell on March 25
Carnival (CCL) March 57.50 straddle priced for move of 5.5% into the expected release of EPS before the bell on March 26
Conns (CONN) April 24 straddle priced for move of 18 % into the expected release of EPS before the bell on March 26
KB Home (KBH) April 23 straddle priced for move of 9% into the expected release of EPS after the bell on March 26
Shoe Carnival (SCVL) April 40 straddle priced for move of 14% into the expected release of EPS after the bell on March 26
At Home Group (HOME) April 23 straddle priced for move of 13% into the expected release of EPS on March 26
Five Below (FIVE) March weekly straddle priced for move of 11% into the expected release of EPS after the bell on March 27
HB Fuller (FUL) April 50 straddle priced for move of 6.5% into the expected release of EPS after the bell on March 27
Lennar (LEN) April 47.50 straddle priced for move of 8% into the expected release of EPS before the bell on March 27
Lululemon (LULU) March weekly 149 straddle priced for move of 9% into the expected release of EPS after the bell on March 27
Paychex (PAYX) April 80 straddle 80 priced for move of 4.5% into the expected release of EPS before the bell on March 27
PVH Corp (PVH) April 110 straddle priced for move of 8% into the expected release of EPS after the bell on March 27
RH (RH) March weekly 135 straddle priced for move of 12% into the expected release of EPS after the bell on March 27
Titan Machinery (TITN) April 20 straddle priced for move of 7.5% into the expected release of EPS before the bell on March 27
Vale (VALE) March 13.50 straddle priced for move of 5% into the expected release of EPS after the bell on March 27
BlackBerry (BB) March weekly straddle 9.50 priced for move of 8% into the expected release of EPS before the bell on March 29
CarMax (KMX) March weekly 62.50 straddle priced for move of 7% into the expected release of EPS before the bell on March 29

Increasing unusual option volume: AWI LYG SRNE MRVL BPY BIIB GPOR HMY MLCO CTAS VIAB
Increasing unusual call option volume: EWU SRNE BPY BIIB HMY STAY GPOR SNBR MO KAR WSM STNE
Increasing unusual put option volume: MLCO GPOR HSIC SGEN BPY BIIB GES ERI NUS
Popular stocks with increasing unusual: COTY DIS JPM VIAB WSM
Options with decreasing option implied volatility: KO COTY NTNX KHC
Active options: AAPL AMD MU BAC NVDA AMZN FB COTY MSFT NFLX MO DIS TSLA BA NKE T SQ GE JPM