Pre-Market IV Report March 26, 2019

Pre-Market IV Report March 26, 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: CMG HYG EBAY TWTR IBM LULU CELG WDC S AMD GRUB

Options expected to have increasing volume: AAPL ROKU NFLX AMZN DIS

iShares 20+ Year Treasury Bond ETF (TLT) March weekly call option implied volatility is at 13, April is at 11; compared to its 52-week range of 8 to 13. Interest rate futures continued to point towards anxious market conditions as the increased inversion of the yield curve continued. An inversion in the yield curve, short-term rates rise faster than longer-term rates, which is atypical. On Monday, the 2 and 5-year notes prices rose considerably more (+.20625 and +1.04000 respectively) than the 10-year note rates (+.16), continuing the inversion of the curve during the overall move lower in rates that began last Wednesday at the FOMC meeting conclusion and driven by the analysis of Fed comments. Call put ratio 3.8 calls to 1 put.

Straddle prices for stocks expected to report results this week

Cronus (CRON) March weekly 20.50 straddle priced for move of 9.5% into the expected release of EPS today

KB Home (KBH) April 24 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 15% into the expected release of EPS today

At Home Group (HOME) April 23 straddle priced for move of 15% into the expected release of EPS today

Five Below (FIVE) March weekly 119 straddle priced for move of 8% into the expected release of EPS after the bell on March 27

HB Fuller (FUL) April 47.50 straddle priced for move of 7.5% into the expected release of EPS after the bell on March 27

Lennar (LEN) April 50 straddle priced for move of 8.5% into the expected release of EPS before the bell on March 27

Lululemon (LULU) March weekly 147 straddle priced for move of 11.5% 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 110 straddle priced for move of 8% into the expected release of EPS after the bell on March 27

S&P Dep Receipts (SPY) March weekly call option implied volatility is at 17, April is at 15; compared to its 52-week range of 9 to 32. According to FactSet, of the 105 members of the S&P 500 Index to have issued earnings guidance for this quarter: Seventy-seven have issued negative EPS guidance and 28 companies have issued positive EPS guidance. The number of companies issuing negative EPS for Q1 is above the five-year average (74), while the number of companies issuing positive EPS guidance for Q1 is below the five-year average (32).

Increasing unusual option volume: NWSA DK INFO GEL HIBB GEO MITK XEO BTG NMRK SVMK CONN TUR
Increasing unusual call option volume: DK SVMK BTG DSW TDC PAGS UUUU CONN RSX INFN VIAB
Increasing unusual put option volume: NWSA TUR GEO VBK CHTR XEO BWA ALRM WAB CNTY INVA
Popular stocks with increasing unusual: COTY ROKU DIS NKE F TAP HIG
Options with decreasing option implied volatility: KHC KO CTL NTNX BIIB KHC WGO DERM TLRY
Active options: AAPL BAC TSLA AMD NVDA FB MSFT PCG AMZN COTY MU NFLX BA GE DIS NKE F ROKU JPM BABA