Pre-Market IV Report November 13, 2018

Pre-Market IV Report November 13, 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: EIX PCG GE HD M WMT CL UNG TGT KSS JCP USO EWW GS V UPRO

Options expected to have increasing volume: CSCO WMT M EIX GE BA K HD PCG

Apple (AAPL) November call option implied volatility is at 42, December is at 31, January is at 28; compared to its 52-week range of 16 to 42. Call put ratio 1.2 calls to 1 put as shares close below $195.

General Electric (GE) November call option implied volatility is at 94, December is at 71; compared to its 52-week range of 20 to 59 as shares trade below $8.

Tilray (TLRY) November call option implied volatility is at 217, December is at 136; compared to its 52-week range of 69 to 314 into the expected release of EPS after the close on November 13. Call put ratio 1.2 calls to 1 put.

Goldman Sachs (GS) November call option implied volatility is at 48, December is at 30; compared to its 52-week range of 15 to 34 after shares traded lower on Malaysian Prime Minister Mahathir Mohamad said Goldman Sachs bankers “cheated” Malaysia in dealings with state fund 1MDB amid growing calls for more aggressive steps to recover fees earned by the bank, Reuters reports, citing Mohamad.

Straddle prices for stocks expected to report results this week
Tilray (TLRY) November 113 straddle priced for move of 18% into the expected release of EPS after the bell on November 13
Netapp (NTAP) November 79 straddle priced for move of 9% into the expected release of EPS after the bell on November 14
Asur Software (ASUR) November 7.5 straddle priced for move of 14% into the expected release of EPS on November 14
Canada Goose Holdings (GOOS) November 57 straddle priced for move of 14% into the expected release of EPS on November 14
Cisco (CSCO) November 45.50 straddle priced for move of 5.5% 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 37 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 straddle priced for move of 12% into the expected release of EPS before the open on November 15
NVIDIA (NVDA) November 190 straddle priced for move of 12% into the expected release of EPS after the bell on November 15
Nordstrom (JWN) November 64.50 straddle priced for move of 10% into the expected release of EPS after the bell on November 15
Applied Material (AMAT) November 32.50 straddle priced for move of 7% 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 15
Walmart (WMT) November 104 straddle priced for move of 4.5% 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 140 straddle priced for move of 4% into the expected release of EPS before the open on November 16

Increasing unusual option volume: MYGN EIX NYT POST DDS KSS USO AMRN
Increasing unusual call option volume: DF ARMK EIX YELP NYT PCG
Increasing unusual put option volume: EIX KSS EWG HD JNPR CIEN
Popular stocks with increasing volume: WMT CZR GS V F
Options with decreasing option implied volatility: CTRP TWLO PG Z YELP ATHN AMRN
Cboe Bitcoin November futures down 45 to 6275