Pre-Market IV Report November 11, 2019

Pre-Market IV Report November 11, 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: AMRN S MDR TGT LK M ACB CGC KSS CLDR RH ULTA DG

Options expected to have increasing volume: GS AAPL PBR EWZ AAP CBS VIAB ROK TSN ACB TLRY CGC CRON NVDA

Apple (AAPL) and Goldman Sachs (GS) option implied volatility into Regulator probes Apple Card

Apple (AAPL) November call option implied volatility is at 18, November is at 19; compared to its 52-week range of 19 to 46 into New York Department of Financial Services is opening a probe into Goldman Sachs’ (GS) credit card practices after a tech entrepreneur’s alleged gender discrimination in the new Apple Card’s algorithms when determining credit limits, according to Bloomberg. Call put ratio 1.4 calls to 1 put.

Goldman Sachs (GS) November call option implied volatility is at 18, December is at 19; compared to its 52-week range of 19 to 50. Call put ratio 2 calls to 1 put.

Amarin Corp. (AMRN) November call option implied volatility is at 220, December is at 105; compared to its 52-week range of 54 to 171 into FDA panel meeting on November 14. Call put ratio 5.6 calls to 1 put with focus on January 25 calls.

iShares MSCI Brazil (EWZ) November call option implied volatility is at 31, December is at 27; compared to its 52-week range of 25 to 39 after shares sell off on Brazil’s Lulu released. Call put ratio 2.1 calls to 1 put.

Petrobras (PBR) November call option implied volatility is at 36, December is at 34 ; compared to its 52-week range of 34 to 52 after Brazil’s politic events. Call put ratio 1 call to 1.5 puts.

Farfetch Limited (FTCH) November call option implied volatility is at 133, December is at 74; compared to its 52-week range of 46 to 118. Call put ratio 1 call to 7.9 puts with a focus on November 9 puts.

Straddle prices for stocks expected to report quarterly results next week

ADT (ADT) November 7.5 straddle priced for a move of 13% into the expected release of quarter results after the bell on November 12.

Advanced Auto Parts (AAP) November 167.50 straddle priced for a move of 7% into the expected release of quarter results before the bell on November 12.

Canadian Solar (CSIQ) November 17 straddle priced for a move of 11% into the expected release of quarter results before the bell on November 12.

CBS (CBS) November 38 straddle priced for a move of 5% into the expected release of quarter results before the bell on November 12.

Dillards (DDS) November 69 straddle priced for a move of 12% into the expected release of quarter results on November 12.

Overstocks (OSTK) November 10 straddle priced for a move of 14% into the expected release of quarter results before the bell on November 12.

Rockwell (ROK) November 180 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on November 12.

Skyworks (SWKS) November 100 straddle priced for a move of 6% into the expected release of quarter results after the bell on November 12.

Tyson (TSN) November 82.50 straddle priced for a move of 6% into the expected release of quarter results before the bell on November 12.

Applied Material (AMAT) November 56 straddle priced for a move of 5% into the expected release of quarter results on November 13.

Beazer Homes (BZH) November 14 straddle priced for a move of 7.5% into the expected release of quarter results on after the bell on November 13.

Canadian Goose (GOOS) November 38 straddle priced for a move of 13% into the expected release of quarter results on November 13.

Cisco (CSCO) November 49 straddle priced for a move of 4.5% into the expected release of quarter results after the bell on November 13.

Luckin Coffee (LK) November 18.50 straddle priced for a move of 14.50% into the expected release of quarter results on November 13.

NetApp (NTAP) November 59.50 straddle priced for a move of 9.5% into the expected release of quarter results after the bell on November 13.

Nordstrom (JWN) November 36.50 straddle priced for a move of 4.5% into the expected release of quarter results on November 13.

Vipshop (VIPS) November 12 straddle priced for a move of 13% into the expected release of quarter results before the bell on November 13.

Williams Sonoma (WSM) November 70 straddle priced for a move of 4% into the expected release of quarter results on November 13.

Canopy Growth (CGC) November 21.50 straddle priced for a move of 12% into the expected release of quarter results on November 14.

NVIDIA (NVDA) November 207.50 straddle priced for a move of 7% into the expected release of quarter results after the bell on November 14.

Sina (SINA) November 42.50 straddle priced for a move of 8% into the expected release of quarter results on after the bell on November 14.

Viacom (VIAB) November 22.50 straddle priced for a move of 8% into the expected release of quarter results before the bell on November 14.

Walmart (WMT) November 119 straddle priced for a move of 4% into the expected release of quarter results before the bell on November 14.

J.C. Penny (JCP) November 1 straddle priced for a move of 20% into the expected release of quarter results before the bell on November 15.

JD.com (JD) November 33.50 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on November 15.

New Age Beverage (NBEV) November 2.5 straddle priced for a move of 16% into the expected release of quarter results before the bell on November 15.

Tilray (TLRY) November 23.50 straddle priced for a move of 15% into the expected release of quarter results on November 15.

Options with decreasing option implied volatility: TIF FIT GRUB EXPE WMGI OMI BE
Options with increasing option implied volatility: AMRN S MDR TGT LK M ACB CGC KSS CLDR RH ULTA DG
Options expected to have increasing volume: GS AAPL PBR EWZ AAP CBS VIAB ROK TSN ACB TLRY CGC CRON NVDA
Increasing unusual option volume: CP EB RUBI NLOK
Increasing unusual call option volume: RES MNST CP QRTEA GTN EB RUBI
Increasing unusual put option volume: KTB CORT TDC CP RVLV NLOK
Popular stocks with increasing unusual volume: CGC UBER TEVA CRON
Active options: AAPL DIS BABA TSLA MSFT ROKU GE AMZN AMD BAC QCOM SQ BIDU CGC UBER NFLX MU TEVA CRON

Global S&P Futures are recently down 11.25 from previous day. Nikkei 225 down 0.2%, DAX down 0.2%, WTI Crude oil is recently at $56.62, natural gas down 3.7%, gold at $1466 an ounce