Pre-Market IV Report May 24, 2019

Pre-Market IV Report May 24, 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: FL ORCL KHC LULU KR MNK NTNX LULU ARQL TSLA BB ADBE QCOM HES AABA LVS

Options expected to have increasing volume: DECK HPQ INTU CTL ADSK LGF ROST SPLK HPE DVAX FL

IV ticks up after wide share price movement into holiday weekend

S&P Dep Receipts (SPY) May weekly call option implied volatility is at 20, June is at 17; compared to its 52-week range of 9 to 32. Call put ratio 1 call to 1.5 puts.

PowerShares QQQ Trust (QQQ) May weekly call option implied volatility is at 21, June is at 20; compared to its 52-week range of 13 to 36 as Trust down nearly 1.5% on Thursday. Call put ratio 1 call to 1.6 puts.

Ishares Russell 2000 Etf (IWM) May weekly call option implied volatility is at 24, June is at 21; compared to its 52-week range of 12 to 34. Call put ratio 1 call to 3.2 puts.

Straddle prices for stocks expected to report quarterly results next week

Booz Allen (BAH) June 60 straddle priced for move of 8% into expected release of quarterly results before the bell on May 28

NIO Inc. (NIO) May weekly 4 straddle priced for move of 15% into expected release of quarterly results before the bell on May 28

Workday (WDAY) May weekly straddle priced for move of 8% into expected release of quarterly results after the bell on May 28

Kraft Heinz (KHC) May weekly 31.50 straddle priced for move of 4% into expected release of quarterly results on May 28

58.com (WUBA) June straddle priced for move of 13% into expected release of quarterly results before the bell on May 29

Abercrombie & Fitch (ANF) May weekly 24.50 straddle priced for move of 11.5% into expected release of quarterly results before the bell on May 29

Canadian Goose (GOOS) May weekly 47 straddle priced for move of 15% into expected release of quarterly results before the bell on May 29

Dicks Sporting Goods (DKS) May weekly 37 straddle priced for move of 10% into expected release of quarterly results before the bell on May 29

Palo Alto Networks (PANW) May weekly 215 straddle priced for move of 9% into expected release of quarterly results after the bell on May 29

Williams-Sonoma (WSM) June 50 straddle priced for move of 12% into expected release of quarterly results before the bell on May 29

Burlington Stores (BURL) May weekly 155 straddle priced for move of 7.5% into expected release of quarterly results before the bell on May 30

Canadian Solar (CSIQ) May weekly 17.50 straddle priced for move of 10% into expected release of quarterly results before the bell on May 30

Costco (COST) May weekly 250 straddle priced for move of 3 % into expected release of quarterly results after the bell on May 30

Dell Technologies (DELL) June 65 straddle priced for move of 9% into expected release of quarterly results after the bell on May 30

Dollar Tree (DLTR) May weekly 97.50 straddle priced for move of 7% into expected release of quarterly results before the bell on May 30

Dollar General (DG) May weekly 120 straddle priced for move of 5.5% into expected release of quarterly results before the bell on May 30

Express (EXPR) June 3 straddle priced for move of 25% into expected release of quarterly results before the bell on May 30

Gap (GPS) May weekly 21 straddle priced for move of 9% into expected release of quarterly results after the bell on May 30

Marvell Technology (MRVL) May weekly 22 straddle priced for move of 7.5% into expected release of quarterly results after the bell on May 30

VMware (VMW) May weekly 197.50 straddle priced for move of 6.5% into expected release of quarterly results after the bell on May 30

Ulta Beauty (ULTA) May weekly 337.50 straddle priced for move of 9% into expected release of quarterly results before the bell on May 30

Zuora (ZUO) June 20 straddle priced for move of 14% into expected release of quarterly results after the bell on May 30

Big Lots (BIG) June 30 straddle priced for move of 13% into expected release of quarterly results before the bell on May 31

Build A Bear Workshop (BBW) June 5 straddle priced for move of 22% into expected release of quarterly results before the bell on May 31

Option implied volatility into Annual Meeting of the American Society of Clinical Oncology, or ASCO

Novartis (NVS) 30-day option implied volatility is at 18; compared to its 52-week range of 13 to 23
Carvana (CVNA) 30-day option implied volatility is at 60; compared to its 52-week range of 49 to 111
Akcea Therapeutics (AKCA) 30-day option implied volatility is at 70; compared to its 52-week range 56 to 160
Ligand Pharmaceuticals (LGND) 30-day option implied volatility is at 42; compared to its 52-week range of 29 to 69
Mylan (MYL) 30-day option implied volatility is at 47; compared to its 52-week range 27 to 49
Incyte (INCY) 30-day option implied volatility is at 41; compared to its 52-week range of 31 to 53
Iovance Biotherapeutics (IOVA) 30-day option implied volatility is at 70; compared to its 52-week range of 30 to 169
Alexion Pharmaceuticals (ALXN) 30-day option implied volatility is at 34; compared to its 52-week range of 26 to 60
Vertex Pharmaceuticals (VRTX) 30-day option implied volatility is at 31; compared to its 52-week 23 to 48

Increasing unusual option volume: SEE NOV XES TECD CNX IWO KTOS NXST GDI CAL NTRS NTAP
Increasing unusual call option volume: SEE NOV DXC KTOS CAL QEP PODD ES AVP NXST TTOO
Increasing unusual put option volume: NOV CNX DXC VNE MAC CPRT TSM CP SHOO HPE ROST NTAP
Popular stocks with increasing unusual volume: AAL HAL ROKU AVP
Options with decreasing option implied volatility: XLNX QCOM PINS IGT URBN JWN AAP BBY HRL TGT
Active options: TSLA AAPL BABA BAC AMZN AMD GE FB MSFT QCOM HAL NVDA MU NFLX NOV AAL INTC BA ROKU TWTR