Pre-Market IV Report March 25, 2019

Pre-Market IV Report March 25, 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: LULU IBM HYG BBBY VIAB EBAY STNE CELG WGO

Options expected to have increasing volume: SPY QQQ MO CRON TSLA WGO

S&P Dep Receipts (SPY) March weekly call option implied volatility is at 16, April is at 15; compared to its 52-week range of 8 to 32 after the yield curve inverts, German rates decline. Investors are talking about the Nikkei 225 down 3%, upcoming Treasury auctions and Fed speakers.

Apple (AAPL) option implied volatility bid into live special event

Apple (AAPL) March weekly call option implied volatility is at 33, April is at 25; compared to its 52-week range of 16 to 46 into hosting a “special event” live from the Steve Jobs Theater in Cupertino, California.

Netflix (NFLX), Spotify (SPOT) and Roku (ROKU) option implied volatility into Apple (AAPL) event

Netflix (NFLX) March weekly call option implied volatility is at 44, April is at 53; compared to its 52-week range of 26 to 76.
Spotify (SPOT) March weekly and April call option implied volatility is at 35; compared to its 52-week range of 31 to 62.
Roku (ROKU) March weekly call option implied volatility is at 69, April is at 62; compared to its 52-week range of 45 to 102

Cronus Corporation (CRON) March weekly call option implied volatility is at 97, April is at 75; compared to its 52-week range of 70 to 165 into the expected release of EPS on March 26.

Dominion Energy (D) April and May call option implied volatility is at 15; compared to its 52-week range of 14 to 28 into investor day meeting today.

Straddle prices for stocks expected to report results this week

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 23 straddle priced for move of 17% into the expected release of EPS before the bell on March 26
KB Home (KBH) April 22 straddle priced for move of 10% into the expected release of EPS after the bell on March 26
Shoe Carnival (SCVL) April 30 straddle priced for move of 14% into the expected release of EPS after the bell on March 26
At Home Group (HOME) April 22 straddle priced for move of 13% into the expected release of EPS on March 26
Five Below (FIVE) March weekly 116 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 7% 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 143 straddle priced for move of 11% into the expected release of EPS after the bell on March 27
Paychex (PAYX) April 80 straddle 77.50 priced for move of 5.5% into the expected release of EPS before the bell on March 27
PVH Corp (PVH) April 105 straddle priced for move of 8% into the expected release of EPS after the bell on March 27
RH (RH) March weekly 130 straddle priced for move of 15% into the expected release of EPS after the bell on March 27
Titan Machinery (TITN) April 20 straddle priced for move of 10% into the expected release of EPS before the bell on March 27
Vale (VALE) March 13 straddle priced for move of 5.5% into the expected release of EPS after the bell on March 27
BlackBerry (BB) March weekly straddle 9 priced for move of 8.5% into the expected release of EPS before the bell on March 29
CarMax (KMX) March weekly 61.50 straddle priced for move of 7.5% into the expected release of EPS before the bell on March 29

Increasing unusual option volume: BAK SRNE VSI PRTY CMCM IGV CHGG ETH BIIB SMAR AMG
Increasing unusual call option volume: BAK SRNE PRTY PM DBA MLM CMCM ZBH BIIB EVRI SNBR TIF NKE
Increasing unusual put option volume: CHGG VSI SMAR XLC ZION DLR IGV ECL BIIB PRTY
Popular stocks with increasing unusual: DIS BIIB TIF NKE COTY
Options with decreasing option implied volatility: KO COTY KHC BIIB