Pre-Market IV Report November 14, 2018

Pre-Market IV Report November 14, 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: EBAY NFX UCO UNG USO EWW MO JCP KSS COP XOP FOXA

Options expected to have increasing volume: USO UCO UNG XLE TLRY SNAP GM F CSCO WMT M
Option implied volatility elevated after sharp oil sell off

United States Oil Fund (USO) November call option implied volatility is at 71, December is at 52; compared to its 52-week range of 17 to 52.

Proshares Ultra Dj-ubs Crude Oil (UCO) November call option implied volatility is at 138, December is at 90; compared to its 52-week range of 33 to 94. Call put ratio 2.2 calls to 1 put.

Energy Select Sector SPDR ETF (XLE) October weekly call option implied volatility is at 35, December is at 27; compared to its 52-week range of 12 to 30.

United States Natural Gas (UNG) November call option implied volatility is at 69, December is at 67; compared to its 52-week range of 21 to 69 after sharp natural gas rally.

S&P Dep Receipts (SPY) option implied volatility into Robert S. Kaplan and Jerome H. Powell discussion

S&P Dep Receipts (SPY) November call option implied volatility is at 23, December is at 18; compared to its 52-week range of 8 to 34 into Robert S. Kaplan, president and CEO of the Dallas Fed, will discuss national and global economic issues with Jerome H. Powell, chairman of the Board of Governors of the Federal Reserve System this afternoon.

Liberty Global (LBTYK) November call option implied volatility is at 55, December is at 45; compared to its 52-week range of 13 to 33 into today’s investor meeting and John Malone commentary.

Canada Goose Holdings (GOOS) November call option implied volatility is at 204, December is at 78; compared to its 52-week range of 36 to 84 into the expected release of EPS after the bell on November 14.

Straddle prices for stocks expected to report results this week

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 58.50 straddle priced for move of 14% into the expected release of EPS on November 14
Cisco (CSCO) November 45 straddle priced for move of 5.5% into the expected release of EPS after the bell on November 14
Macys (M) November 36 straddle priced for move of 11% into the expected release of EPS before the open on November 14
Progressive (PGR) November 72.50 straddle priced for move of 4% into the expected release of EPS before the open on November 14
Canadian Solar (CSIQ) November 13.50 straddle priced for move of 12% into the expected release of EPS before the open on November 15
NVIDIA (NVDA) November 200 straddle priced for move of 11% into the expected release of EPS after the bell on November 15
Nordstrom (JWN) November 64 straddle priced for move of 10% into the expected release of EPS after the bell on November 15
Applied Material (AMAT) November 33.50 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 14% into the expected release of EPS on November 15
Walmart (WMT) November 103 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 8% 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 130 straddle priced for move of 4% into the expected release of EPS before the open on November 16

Increasing unusual option volume: DISCA APTI ACHC ECA CDAY
Increasing unusual call option volume: ACHC DISCA THC BZH SRE KODK
Increasing unusual put option volume: DISCA VIAB ECA MEET ERF ESV GNW
Popular stocks with increasing volume: AMRN M HD PBR
Options with decreasing option implied volatility: VOD VKTX EPC AAP TSN HUYA YY HD AAP
Active options: GE AAPL PBR BABA FB AMD AMZN NFLX MSFT DISCA BAC NVDA SBUX ECA TSLA AMRN M HD MU SQ
Cboe Bitcoin November futures down 37 to 6235