Pre-Market IV Report November 12, 2019

Pre-Market IV Report November 12, 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 LK TGT I ACB FTCH M NIAP JWN GOOS LK CGC TLRY EZPH RH AM AZO S FIT BKLN CVET AXDX OMI HPQ

Options expected to have increasing volume: DIS CSCO TSN AAP AMAT NVDA WMT DXC PCG

S&P Dep Receipts (SPY) November call option implied volatility is at 10, December is at 12; compared to its 52-week range of 10 to 32 into Trump economics speech in New York. Call put ratio 1 call to 1.95 puts.

PowerShares QQQ Trust (QQQ) November call option implied volatility is at 14, December is at 15; compared to its 52-week range of 14 to 37. Call put ratio 1 call to 1.9 puts.

Farfetch Limited (FTCH) November call option implied volatility is at 186, puts at 202, December is at 80; compared to its 52-week range of 46 to 118 into the expected release of quarter results on November 14. Call put ratio 2.9 calls to 1 put with a focus on November 10 calls.

Amarin Corp. (AMRN) November call option implied volatility is at 300, December is at 119; compared to its 52-week range of 54 to 137 into FDA panel meeting on November 14. Call put ratio 2.1 calls to 1 put with focus on November 20 calls.

Market Vectors Retail ETF (RTH) November call option implied volatility is at 11, December is at 13; compared to its 52-week range of 12 to 38 into holiday shopping season.

SPDR S&P Retail ETF (XRT) November call option implied volatility is at 16, December is at 15; compared to its 52-week range of 17 to 38 into holiday shopping season.

Market Vectors Semiconductor ETF (SMH) November and December call option implied volatility is at 23; compared to its 52-week range of 22 to 40 as ETF near record high.

Disney (DIS) November call option implied volatility is at 28, December is at 21; compared to its 52-week range of 15 to 33 into Disney+ launch. Call put ratio 2 calls to 1 put.

Straddle prices for stocks expected to report quarterly results this week

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

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

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

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

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

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

Rockwell (ROK) November 180 straddle priced for a move of 5% into the expected release of quarter results today before the bell

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

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

Applied Material (AMAT) November 56.50 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 8% into the expected release of quarter results on after the bell on November 13

Canadian Goose (GOOS) November 39 straddle priced for a move of 13% into the expected release of quarter results on November 13

Cisco (CSCO) November 48 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 13% into the expected release of quarter results on November 13

NetApp (NTAP) November 60 straddle priced for a move of 9% into the expected release of quarter results after the bell on November 13.

Nordstrom (JWN) November 37.50 straddle priced for a move of 4% into the expected release of quarter results on November 13

Vipshop (VIPS) November 12 straddle priced for a move of 12.5% 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 20.50 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 6.5% into the expected release of quarter results after the bell on November 14

Sina (SINA) November 42.50 straddle priced for a move of 8.5% into the expected release of quarter results on after the bell on November 14

Viacom (VIAB) November 23.50 straddle priced for a move of 8% into the expected release of quarter results before the bell on November 14

Farfetch Limited (FTCH) November 8 straddle priced for a move of 18% into the expected release of quarter results before the bell on November 14

Walmart (WMT) November 119 straddle priced for a move of 3.5% 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.

Farfetch Limited (FTCH) November 8 straddle priced for a move of 18% into the expected release of quarter results before the bell on November 14.

JD.com (JD) November 33.50 straddle priced for a move of 7% 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 22 straddle priced for a move of 14.5% into the expected release of quarter results on November 15.

Options with decreasing option implied volatility: TWTR TIF GRUB EXPE FIT EVH REAL BE CARB
Increasing unusual option volume: AGN RAMP CATM CORT CVET AAP FGEN
Increasing unusual call option volume: AGN CARB IOVA BAC CVET
Increasing unusual put option volume: CATM NBL NEPT CORT FGEN AAP CVET ENB
Popular stocks with increasing unusual volume: FIT S MS BA AGN UBER DIS
Active options: AAPL BA BABA GE AMD SBUX ROKU MSFT DIS AGN SQ BAC FB AMZN BYND UBER NIO T NFLX

Global S&P Futures are recently up 1.70 from previous day. Nikkei 225 up 0.8%, DAX up 0.3%, WTI Crude oil is recently at $57.11, natural gas up 0.4%, gold at $1455 an ounce