Pre-Market IV Report May 30, 2019

Pre-Market IV Report May 30, 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: GPS NLSN PCG LULU ARQL VHC BBBY DVA STMP TEVA BB NKE WBA NLY MYL CI CY SFM NTNX

Options expected to have increasing volume: PANW PVH VEEV TWLO TEVA KHC

Option implied volatility stays bid

S&P Dep Receipts (SPY) May weekly call option implied volatility is at 21, June weekly is at 18, June is at 17; compared to its 52-week range of 9 to 32. Call put ratio 1 call to 2 puts.

PowerShares QQQ Trust (QQQ) May weekly call option implied volatility is at 24, June weekly is at 23, June is at 22; compared to its 52-week range of 13 to 36. Call put ratio 1 call to 2.27 puts.

Ishares Russell 2000 Etf (IWM) May weekly call option implied volatility is at 25, June weekly is at 22, June is at 20; compared to its 52-week range of 12 to 34. Call put ratio 1 call to 2.1 puts.

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) May weekly call option implied volatility is at 21, June is at 19; compared to its 52-week range of 16 to 26 as US Treasury Futures prices continued to rise. Call put ratio 2.8 calls to 1 put.

iShares 20+ Year Treasury Bond ETF (TLT) May weekly call option implied volatility is at 11, June is at 11; compared to its 52-week range of 8 to 13 as US Treasury Futures prices continued to rise.

Market Vectors Rare Earth/strategic Metals Etf (REMX) June call option implied volatility is at 55, July is at 54; compared to its 52-week range of 21 to 121. Call put ratio 6.9 calls to 1 put with focus on June 15 and 16 calls as shares rally 3.7% as Beijing, China considers cutting off rare earth minerals.

Sprouts Farmers Market (SFM) June call option implied volatility is at 30, July is at 29; compared to its 52-week range of 26 to 47 after renewed M&A reports. Call put ratio 31 calls to 1 put with focus June 20 and 22.50 calls.

Cypress Semiconductor (CY) June and July call option implied volatility is at 45; compared to its 52-week range of 26 to 59 after renewed M&A reports. Call put ratio 3.1 calls to 1 put with focus on June 18 and 19 calls.

Option implied volatility stays bid on opioid litigation

Teva (TEVA) May weekly call option implied volatility is at 74, June is at 55; compared to its 52-week range of 28 to 66.

Mallinckrodt (MNK) May weekly call option implied volatility is at 70, June is at 75; compared to its 52-week range of 42 to 92. Call put ratio 1 call to 7.6 puts.

Johnson & Johnson (JNJ) May weekly call option implied volatility is at 27, June is at 20; compared to its 52-week range of 13 to 34.

Mylan (MYL) May weekly call option implied volatility is at 56, June is at 49; compared to its 52-week range of 27 to 51.

Bausch Health Co. Inc. (BHC) May weekly call option implied volatility is at 45, June and July is at 40; compared to its 52-week range of 32 to 73.

Perrigo (PRGO) May weekly call option implied volatility is at 39, June is at 38; compared to its 52-week range of 24 to 67.

Allergan (AGN) May weekly call option implied volatility is at 39, June is at 30; compared to its 52-week range of 24 to 66.

Amgen (AMGN) May weekly call option implied volatility is at 35, June weekly is at 29, June is at 26; compared to its 52-week range of 15 to 39 into members of Amgen’s clinical development team and clinical investigators, discuss Amgen’s data presented at ASCO 2019 at an Investor Meeting being held in Chicago on June 3.

Gilead (GILD) 30-day option implied volatility is at 25; compared to its 52-week range of 19 to 43 into ASCO.

AstraZeneca (AZN) 30-day option implied volatility is at 22; compared to its 52-week range of 17 to 31 into ASCO.

Straddle prices for stocks expected to report quarterly results this week

Burlington Stores (BURL) May weekly 146 straddle priced for move of 7.5% into expected release of quarterly results today before the bell

Canadian Solar (CSIQ) May weekly 17.50 straddle priced for move of 11% into expected release of quarterly results today before the bell

Costco (COST) May weekly 20 straddle priced for move of 3% into expected release of quarterly results today after the bell

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

Dollar Tree (DLTR) May weekly 95.50 straddle priced for move of 7% into expected release of quarterly results today before the bell

Dollar General (DG) May weekly 119 straddle priced for move of 6.5% into expected release of quarterly results today before the bell

Express (EXPR) June 3 straddle priced for move of 22% into expected release of quarterly results today before the bell

Gap (GPS) May weekly 21 straddle priced for move of 10.5% into expected release of quarterly results today after the bell

Marvell Technology (MRVL) May weekly 22 straddle priced for move of 7% into expected release of quarterly results today after the bell

VMware (VMW) May weekly 192.50 straddle priced for move of 6.5% into expected release of quarterly results today after the bell

Ulta Beauty (ULTA) May weekly 322.5 straddle priced for move of 11% into expected release of quarterly results today before the bell

Zuora (ZUO) June 20 straddle priced for move of 13% into expected release of quarterly results today after the bell

Big Lots (BIG) June 27.50 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 20% into expected release of quarterly results before the bell on May 31

Increasing unusual option volume: MAC NGG JCI CY ACAD EVH AMBC TJX GOOS TVPT CYOU
Increasing unusual call option volume: YPF GPOR BGC TJX SIG EVH JCI AMBC PRU CY SFM PAM GNW CORN DKS CY REMX SFM
Increasing unusual put option volume: ACAD MAC CY GOOS JCI GREK GNW AOS DVA DLTR STAY CRZO
Popular stocks with increasing unusual volume: TEVA JNJ ROKU
Options with decreasing option implied volatility: CARA CPRI TGTX SE BMRN ANF CTRP MOMO FL JWN ADSK DKS TGT ANF GOOS QCOM
Active options: AAPL AMD BAC TSLA BABA AMZN FB JCI ROKU MSFT NFLX NVDA GE MU INTC T TEVA AMR