Pre-Market IV Report November 14, 2019

Pre-Market IV Report November 14, 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: I MDR S LOW PANW CLDR CHK NTAP M AM AMAT RH CELG S COST BSX
Options expected to have increasing volume: CSCO JD WMT NVDA ACB NTAP HPQ XRX PTON HPE PANW TMO SGEN

Walmart (WMT) November call option implied volatility is at 65, December is at 20; compared to its 52-week range of 13 to 30 into the expected release of quarter financial results today before the bell. Call put ratio 1.6 calls to 1 put with focus on November calls.

Disney (DIS) November call option implied volatility is at 40, December is at 24; compared to its 52-week range of 15 to 33 after Disney+ launch. Call put ratio 4.1 calls to 1 put.

Farfetch Limited (FTCH) November call option implied volatility is at 286, December is at 86; compared to its 52-week range of 46 to 118 into the expected release of quarter results on November 14. Call put ratio 1 call to 1 put.

Intelsat S. A. (I) November call option implied volatility is at 159, December is at 103; compared to its 52-week range of 57 to 154 after a JPMorgan downgrade. Call put ratio 1 call to 1.3 puts.

Market Vectors Semiconductor ETF (SMH) November call option implied volatility is at 24, December is at 22; compared to its 52-week range of 22 to 39 amid headline U.S., China trade talks hit snag over farm purchases, WSJ reports.

Option implied volatility flat to low into OPEC meeting on December 4

ExxonMobil (XOM) November call option implied volatility is at 20, December is at 16; compared to its 52-week range of 15 to 39 into OPEC meeting on December 4.

BP plc (BP) November call option implied volatility is at 16, December is at 15; compared to its 52-week range of 15 to 35 into OPEC meeting on December 4.

Chevron (CVX) November call option implied volatility is at 15, December is at 14; compared to its 52-week range of 15 to 39 into OPEC meeting on December 4.

Continental Resources (CLR) November call option implied volatility is at 37, December is at 43; compared to its 52-week range of 35 to 69 into OPEC meeting on December 4.

EOG Resources (EOG) November call option implied volatility is at 37, December is at 34; compared to its 52-week range of 26 to 56 into OPEC meeting on December 4.

Petrobras (PBR) November call option implied volatility is at 36, December is at 34; compared to its 52-week range of 32 to 55 into OPEC meeting on December 4.

United States Oil Fund (USO) November call option implied volatility is at 35, December is at 29; compared to its 52-week range of 22to 62 into OPEC meeting on December 4.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) November call option implied volatility is at 36, December is at 34; compared to its 52-week range of 28 to 58 into OPEC meeting on December 4.

Straddle prices for stocks expected to report quarterly results this week

Viacom (VIAB) November 22 straddle priced for a move of 5% into the expected release of quarter results today before the bell
Walmart (WMT) November 121 straddle priced for a move of 3.5% into the expected release of quarter results today before the bell.
Aurora Cannabis (ACB) November 3.5 straddle priced for a move of 14% into the expected release of quarter results today
NVIDIA (NVDA) November 210 straddle priced for a move of 6.5% into the expected release of quarter today results after the bell
Canopy Growth (CGC) November 18.5 straddle priced for a move of 10.5% into the expected release of quarter results today
New Age Beverage (NBEV) November 2.5 straddle priced for a move of 17% into the expected release of quarter results today
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 20% 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 6% into the expected release of quarter results before the bell on November 15.

The latest edition of Bank of America Merrill Lynch’s global fund manager shows that cash levels are their lowest in six years.

Options with decreasing option implied volatility: TWTR NOK EXPE GRUB FIT BE ANGI
Options with increasing option implied volatility: I MDR S LOW CLDR CHK NTAP M AM AMAT RH CELG S COST BSX
Options expected to have increasing volume: CSCO JD WMT NVDA ACB NTAP HPQ XRX PTON HPE
Increasing unusual option volume: GSK WMT AMRN KHC GSK DPLO NGL EMR WIX UTX CLVS I
Increasing unusual call option volume: GSK DPLO KHC EMR AMGN FCEL I UTX DIS
Increasing unusual put option volume: GOOS WIX CVET I AVTR
Popular stocks with increasing unusual volume: ROKU KHC DIS
Active options: DIS AAPL KHC AMD TSLA TEVA GE AMRN ROKU NFLX CSCO FB BABA AMZN BAC AMGN WMT MSFT GSK I

Global S&P Futures are recently down 5.25 from previous day. Nikkei 225 down 0.7%, DAX down 0.1%, WTI Crude oil is recently at $57.59, natural gas up 1.7%, gold at $1470 an ounce