Pre-Market IV Report March 6, 2019

Pre-Market IV Report March 6, 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: NIO NKE ORCL CARS ADBE BMY NIO KR SIG VHC BPT CELG ANTM
Options expected to have increasing volume: DLTR BJ ANF URBN AMBA EXAS NIO ROST UNFI KR COST JNJ LUV PM MO

S&P Dep Receipts (SPY) March weekly call option implied volatility is at 12, March is at 11, April is at 12; compared to its 52-week range of 9 to 32 into the release of February jobs report.

iShares Nasdaq Biotechnology (IBB) March weekly call option implied volatility is at 22, March is at 19, April is at 20; compared to its 52-week range of 15 to 40 into FDA Commissioner Scott Gottlieb resigning.

Philip Morris International (PM) March weekly call option implied volatility is at 21, March is at 20, April is at 20; compared to its 52-week range of 16 to 37 into FDA Commissioner Scott Gottlieb resigning. ​

Altria Group (MO) March weekly call option implied volatility is at 22, March is at 20, April is at 19; compared to its 52-week range of 17 to 39 into FDA Commissioner Scott Gottlieb resigning. Call put ratio 3 calls to 1

Exxon Mobil (XOM) March weekly call option implied volatility is at 26, March is at 22, April is at 19; compared to its 52-week range of 13 to 38 into the company hosting an investor day today.

Trade Desk (TTD) March weekly call option implied volatility is at 54, March is at 47, April is at 44; compared to its 52-week range of 41 to 97 into the company hosting an investor day today.

Anthem (ANTM) March weekly call option implied volatility is at 44, March is at 33, April is at 24; compared to its 52-week range of 15 to 37 into the company hosting an investor day on March 7. Call put ratio 3 calls to 1 put.

Straddle prices for stocks expected to report results this week

Costco (COST) March weekly 220 straddle priced for move of 3.5% into the expected release of EPS on March 8
El Pollo Loco (LOCO) March 15 straddle priced for move of 11% into the expected release of EPS after the bell on March 7
GNC Holdings (GNC) March 2.5 straddle priced for move of 18% into the expected release of EPS before the bell on March 7
Kroger (KR) March weekly 28.50 straddle priced for move of 7.5% into the expected release of EPS before the bell on March 7
Stratasys (SSYS) March weekly 27 straddle priced for move of 12% into the expected release of EPS before the bell on March 7
Big Lots (BIG) March 32.50 straddle priced for move of 12.5% into the expected release of EPS before the bell on March 8
Navistar (NAV) March weekly 37.50 straddle priced for move of 8.5% into the expected release of EPS before the bell on March 8
Vail Resorts (MTN) March 210 straddle priced for move of 7% into the expected release of EPS before the bell on March 8

For decades, the overarching macro drivers of markets has centered on Federal Reserve monetary policy related to concerns about financial stability.
Recently, trade policy and risks to globalization have come on the radar.
In the future rising taxes might be a major source of market concern.

Increasing unusual option volume: STAY IFF GPRE WCG DPLO GSKY OSPN OMI CTRP
Increasing unusual call option volume: STAY GPRE DPLO GSKY YNDX CTRP HUM ROST DOMO
Increasing unusual put option volume: ARLO TSG CHS CARS ROST PFF CTRP
Popular stocks with increasing unusual: CRM F TGT ACB NIO
Options with decreasing option implied volatility: ENPH WTW CVNA FIT CRC SRPT ACAD FL KO HPQ COTY PCG