Pre-Market IV Report November 12, 2018

Pre-Market IV Report November 12, 2018

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: UCO PCG EIX JNPR WSM UUP WP GE MO AMLP BBY IMMU JCP

Options expected to have increasing volume: ATHN SAP HD SYMC MO PM BTI PCG EIX APTI

PG&E Corp. (PCG) and Edison International (EIX) option implied volatility elevated on California wild fires

PG&E Corp. (PCG) November call option implied volatility is at 62, December is at 48, January is at 42; compared to its 52-week range of 18 to 65. Call put ratio 1 call to 1.1 puts.

Edison International (EIX) November call option implied volatility is at 55, December is at 35, January is at 34; compared to its 52-week range of 14 to 39. Call put ratio 1 call to 1.2 puts.

British American Tobacco (BTI) November call option implied volatility is at 58, December is at 32; compared to its 52-week range of 18 to 33. Call put ratio 1 call to 6.1 puts on reports the FDA will propose ban on menthol cigarettes.

Philip Morris (PM) November call option implied volatility is at 25, December is at 20; compared to its 52-week range of 15 to 31. Call put ratio 1 call to 1.5 puts.

Altria Group (MO) November call option implied volatility is at 28, December is at 24; compared to its 52-week range of 17 to 33. Call put ratio 1.3 calls to 1 put.

SAP (SAP) November call option implied volatility is at 22, December is at 25; compared to its 52-week range of 15 to 34. Call put ratio 1 call to 7.6 puts into acquires survey company Qualtrics for $8B in cash.

Canadian Pacific Railway (CP) December calls active on CSX Corp. (CSX) chatter

Canadian Pacific Railway (CP) November call option implied volatility is at 29, December is at 27; compared to its 52-week range of 16 to 34. Call put ratio 4.7 calls to 1 put with focus on December 220 calls.

CSX Corp. (CSX) November call option implied volatility is at 27, December is at 26; compared to its 52-week range of 17 to 39. Call put ratio 1.7 calls to 1 put.

Colgate-Palmolive (CL) November call option implied volatility is at 27, December is at 23; compared to its 52-week range of 15 to 26. Call put ratio 12 calls to 1 put with focus on February 62.50 calls.

United States Oil Fund (USO) November call option implied volatility is at 35, November is at 34, December is at 33; compared to its 52-week range of 17 to 34 as WTI crude oil trades $60.70. Call put ratio 1.07 calls to 1 put.

J.C. Penney (JCP) November call option implied volatility is at 160, December is at 90; compared to its 52-week range of 59 to 110 as shares trend lower.

Straddle prices for stocks expected to report results this week

Advanced Auto Parts (AAP) November 170 straddle priced for move of 9% into the expected release of EPS before the open on November 13
Home Depot (HD) November 185 straddle priced for move of 3% into the expected release of EPS before the open on November 13
Tilray (TLRY) November 109 straddle priced for move of 17% into the expected release of EPS after the bell on November 13
Asur Software (ASUR) November 7.5 straddle priced for move of 12% into the expected release of EPS on November 14
Canada Goose Holdings (GOOS) November 60 straddle priced for move of 14% into the expected release of EPS on November 14
Cisco (CSCO) November 47 straddle priced for move of 4.5% into the expected release of EPS after the bell on November 14
Blue Apron (APRN) November 1.50 straddle priced for move of 20% into the expected release of EPS after the bell on November 14
Macys (M) November 38 straddle priced for move of 10% into the expected release of EPS before the open on November 14
Progressive (PGR) November 72.50 straddle priced for move of 3% into the expected release of EPS before the open on November 14
Canadian Solar (CSIQ) November 14.50 straddle priced for move of 11% into the expected release of EPS before the open on November 15
NVIDIA (NVDA) November 205 straddle priced for move of 10% into the expected release of EPS after the bell on November 15
Nordstrom (JWN) November 65.50 straddle priced for move of 9% into the expected release of EPS after the bell on November 15
Switch (SWCH) November 9 straddle priced for move of 13% into the expected release of EPS on November 16
Walmart (WMT) November 106 straddle priced for move of 4% into the expected release of EPS before the open on November 15
Williams-Sonoma (WSM) November 65 straddle priced for move of 9% into the expected release of EPS after the bell on November 15
Viacom (VIAB) November 32 straddle priced for move of 8% into the expected release of EPS before the open on November 16
Rockwell Collins (COL) November 135 straddle priced for move of 3.5% into the expected release of EPS before the open on November 16

Increasing unusual option volume: ENT SN CLNY ECA EIX CB DATA UEPS FOX HGV YELP
Increasing unusual call option volume: ENT CLNY RRR FNSR ECA ADNT EIX HTZ UEPS
Increasing unusual put option volume: ECA SN CB USAT CLNY OSTK XLC WP
Popular stocks with increasing volume: VALE AMRN ECA DIS
Options with decreasing option implied volatility: RDFN XRAY FNSR TTD YELP HTZ DIS DBX
Options with increasing option implied volatility: UCO PCG JNPR WSM UUP WP GE MO AMLP BBY IMMU
Cboe Bitcoin November futures up 35 to 6350