Pre-Market IV Report November 15, 2019

Pre-Market IV Report November 15, 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: JCP S CLDR LOW LULU MDR I ACB CHK M AUPH CIEN AZO FIT AZO EWH NRZ

Options expected to have increasing volume: AMRN ACB JD FTCH AMAT RH NVDA KLIC I TLRY TGT

Amarin Corp. (AMRN) November call option implied volatility is at 168, December is at 71; compared to its 52-week range of 55 to 137 into FDA committee votes 16-0 to recommend approval of Vascepa.

RH (RH) November call option implied volatility is at 36, December is at 53; compared to its 52-week range of 37 to 94 into Warren Buffett’s Berkshire Hathaway disclosed new stake in company.

Bill Ackman’s Pershing Square’s top holdings as of September 30, in order of size

Chipotle (CMG) 30 day option implied volatility is at 24; compared to its 52-week range of 22 to 49 into listed as one of Pershing Square’s top holdings as of September 30.

Restaurant Brands (QSR) 30 day option implied volatility is at 20; compared to its 52-week range of 20 to 39 into listed as one of Pershing Square’s top holdings as of September 30.

Hilton (HLT) 30 day option implied volatility is at 20; compared to its 52-week range of 19 to 39 into listed as one of Pershing Square’s top holdings as of September 30.

Lowes (LOW) 30 day option implied volatility is at 36; compared to its 52-week range of 19 to 41 into listed as one of Pershing Square’s top holdings as of September 30. Quarter results are expected on November 20.

Berkshire Hathaway (BRK.B) 30 day option implied volatility is at 13; compared to its 52-week range of 12 to 36 into listed as one of Pershing Square’s top holdings as of September 30.

Straddle prices for stocks expected to report quarterly results next week

Analog Devices (ADI) November weekly 114 straddle priced for a move of 3% into the expected release of quarter results after the bell on November 18

Ashland (ASH) December 80 straddle priced for a move of 8% into the expected release of quarter results after the bell on November 18

58.com (WUBA) December 50 straddle priced for a move of 11.50% into the expected release of quarter results before the bell on November 19.

Aramark (ARMK) December 43 straddle priced for a move of 8% into the expected release of quarter results before the bell on November 19.

Home Depot (HD) November weekly 237.50 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on November 19.

Kohls (KSS) November weekly 57.50 straddle priced for a move of 8% into the expected release of quarter results before the bell on November 19.

Medtronic (MDT) November weekly 110 straddle priced for a move of 3% into the expected release of quarter results before the bell on November 19.

TJX (TJX) December 60 straddle priced for a move of 6% into the expected release of quarter results before the bell on November 19.

Urban Outfitters (URBN) November weekly 31 straddle priced for a move of 9.5% into the expected release of quarter results after the bell on November 19.

Jack in the Box (JACK) December 85 straddle priced for a move of 8% into the expected release of quarter results after the bell on November 20.

Lowes (LOW) November weekly 115 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on November 20.

L Brands (LB) November weekly 17.50 straddle priced for a move of 12% into the expected release of quarter results after the bell on November 20.

Netease (NTES) November weekly 290 straddle priced for a move of 8% into the expected release of quarter results after the bell on November 20.

Nuance (NUAN) December 16 straddle priced for a move of 10% into the expected release of quarter results after the bell on November 20.

Pinduoduo (PDD) December 40 straddle priced for a move of 14% into the expected release of quarter results before the bell on November 20.

Sonos (SONO) December 15 straddle priced for a move of 14% into the expected release of quarter results after the bell on November 20.

Target (TGT) November weekly 111 straddle priced for a move of 6% into the expected release of quarter results before the bell on November 20.

BrightView Holding (BV) December 20 straddle priced for a move of 18% into the expected release of quarter results before the bell on November 21.

Gap (GPS) November 17 straddle priced for a move of 8% into the expected release of quarter results on November 21.

Intuit (INTU) November 265 straddle priced for a move of 4.5% into the expected release of quarter results after the bell on November 21.

Macys (M) November weekly 16 straddle priced for a move of 12% into the expected release of quarter results before the bell on November 21.

Nordstrom (JWN) November weekly 38 straddle priced for a move of 13% into the expected release of quarter results after the bell on November 21.

Ross Stores (ROST) December 110 straddle priced for a move of 6% into the expected release of quarter results after the bell on November 21.

Splunk (SPLK) November weekly 117 straddle priced for a move of 8% into the expected release of quarter results after the bell on November 21.

Buckle (BKE) December 22.50 straddle priced for a move of 12% into the expected release of quarter results before the bell on November 22.

Foot Locker (FL) November weekly 45 straddle priced for a move of 10.50% into the expected release of quarter results before the bell on November 22.

JM Smucker (SJM) December 105 straddle priced for a move of 7% into the expected release of quarter results before the bell on November 22.

Disney (DIS) November call option implied volatility is at 31, December is at 21; compared to its 52-week range of 15 to 33 after Disney+ recent launch. Call put ratio 3.3 calls to 1 put.

Options with decreasing option implied volatility: TIF BBBY TWTR EXPE GRUB FIT BE FGEN RVLV KEM YELP
Increasing unusual option volume: GNTX PSX SO HII ACWI PRFT AAN UPS
Increasing unusual call option volume: SE BBBY GNTX PSX SO AAN CVX UPS I EXTR VRRM SMPL FCEL
Increasing unusual put option volume: UBS FTCH ACWI CLNY MNST I SINA DDS
Popular stocks with increasing unusual: JD I UPS CGC WBA CVX
Active options: DIS AAPL AMD CSCO WMT ROKU CVX NVDA TSLA UPS SO JD BAC MSFT CGC BABA FB I WBA NFLX

Global S&P Futures are recently up 7.00 from previous day. Nikkei 225 up 0.7%, DAX up 0.3%, WTI Crude oil is recently at $57.05, natural gas down 1.17%, gold at $1466 an ounce