Pre-Market IV Report November 18, 2019

Pre-Market IV Report November 18, 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: S WMGI CLDR SPIKE MDR TGT BIIB MDR I M CHK QQQ

Options expected to have increasing volume: LOW TGT M HD COP TMO QGEN CNP TSLA QCOM COP HP XRX FDX

Tesla (TSLA) November weekly call option implied volatility is at 37, December is at 38; compared to its 52-week range of 37 to 75 into the company’s “Cybertruck,” expected to be unveiling on November 21.

Qualcomm (QCOM) November weekly call option implied volatility is at 31, December is at 28; compared to its 52-week range of 25 to 43 into a company hosted analyst meeting on November 19. Call put ratio 2.5 calls to 1 put.

ConocoPhillips (COP) November weekly call option implied volatility is at 28, December is at 26; compared to its 52-week range of 23 to 48 into a company hosted analyst meeting on November 19.

CenterPoint Energy (CNP) December call option implied volatility is at 21, February is at 22; compared to its 52-week range of 13 to 26 after Houston electric rate case. Call put ratio 1 call to 3.2 puts with focus December 25 puts as share near 18-month low.

Qiagen (QGEN) option implied volatility elevated into announcing exploring alternatives after receiving ‘several’ indications of interest

Qiagen (QGEN) 30-day option implied volatility is at 53; compared to its 52-week range of 19 to 54 after recently receiving ‘several’ indications of interest. Call put ratio 1.4 calls to 1 put with focus on December 36 calls.

Thermo Fisher (TMO) December call option implied volatility is at 18, January is at 18; compared to its 52-week range of 17 to 35. Call put ratio 3.2 calls to 1 put with focus on January 310 calls. Bloomberg reported on Wednesday that Thermo Fisher (TMO) has approached Qiagen about a potential deal.

Peloton (PTON) November weekly call option implied volatility is at 56, December is at 55; compared to its 15-week range of 74 to 90. Call put ratio 4.68 calls to 1 put.

Beyond Meat (BYND) November weekly call option implied volatility is at 54, December is at 55; compared to its 24-week range of 50 to 141 as shares trade near $80.

Option implied volatility low for Health Insurers into election year

UnitedHealth Group (UNH) November weekly call option implied volatility is at 21, December is at 20; compared to its 52-week range of 18 to 40.

Centene (CNC) December call option implied volatility is at 34, January is at 32; compared to its 52-week range of 25 to 56. Call put ratio 5.3 calls to 1 put.

Cigna Corp. (CI) November weekly call option implied volatility is at 26, December is at 24; compared to its 52-week range of 20 to 42. Call put ratio 3.6 calls to 1 put.

Humana (HUM) November weekly call option implied volatility is at 23, December is at 21; compared to its 52-week range of 20 to 37.

Anthem (ANTM) November weekly call option implied volatility is at 24, December is at 21; compared to its 52-week range of 19 to 43. Call put ratio 5.8 calls to 1 put.

Straddle prices for stocks expected to report quarterly results this week

Analog Devices (ADI) November weekly 113 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 6.5% 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 44 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% into the expected release of quarter results before the bell on November 19.

Kohls (KSS) November weekly 59 straddle priced for a move of 8% into the expected release of quarter results before the bell on November 19.

Target (TGT) November weekly 113 straddle priced for a move of 6% into the expected release of quarter results before the bell on November 20.

Medtronic (MDT) November weekly 112 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 8.5% into the expected release of quarter results after the bell on November 20.

Lowes (LOW) November weekly 115 straddle priced for a move of 6.6% into the expected release of quarter results before the bell on November 20.

L Brands (LB) November weekly 18 straddle priced for a move of 9% into the expected release of quarter results after the bell on November 20.

Netease (NTES) November weekly 290 straddle priced for a move of 7.5% into the expected release of quarter results after the bell on November 20.

Nuance (NUAN) December 17 straddle priced for a move of 9% into the expected release of quarter results after the bell on November 20.

Pinduoduo (PDD) December 42 straddle priced for a move of 15% into the expected release of quarter results before the bell on November 20.

Sonos (SONO) December 15 straddle priced for a move of 14.5% into the expected release of quarter results after the bell on November 20.

Target (TGT) November weekly 113 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 15% into the expected release of quarter results before the bell on November 21.

Gap (GPS) November 17.50 straddle priced for a move of 8.5% into the expected release of quarter results on November 21.

Intuit (INTU) November 265 straddle priced for a move of 4% into the expected release of quarter results after the bell on November 21.

Macys (M) November weekly 17 straddle priced for a move of 13% into the expected release of quarter results before the bell on November 21.

Nordstrom (JWN) November weekly 38 straddle priced for a move of 11% into the expected release of quarter results after the bell on November 21.

Ross Stores (ROST) December 113 straddle priced for a move of 6% into the expected release of quarter results after the bell on November 21.

Splunk (SPLK) November weekly 119 straddle priced for a move of 10% into the expected release of quarter results after the bell on November 21.

Buckle (BKE) December 22.50 straddle priced for a move of 12.5% 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 11% into the expected release of quarter results before the bell on November 22.

JM Smucker (SJM) December 105 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on November 22.

Options with decreasing option implied volatility: AMRN KEM PCG GOOS FTCH DDS TLRY TIF TWTR GRUB EXPE FIT
Increasing unusual option volume: DHR SPIKE CNP LOGM VG SPPI CCXI AMJ
Increasing unusual call option volume: DHR SPIKE SPPI LOGM CCXI XENT VRSN XENT GDDY
Increasing unusual put option volume: DHR CNP VG CLDR JCP
Popular stocks with increasing unusual: ACB JD AMRN DHR
Active options: AAPL AMD NVDA ROKU DIS MSFT AMZN JD TSLA AMRN ACB CSCO NFLX DHR FB AMAT MU T BABA BA

Global S&P Futures are recently up 4.50 from previous day. Nikkei 225 up 0.1%, DAX down 0.1%, WTI Crude oil is recently at $57.80, natural gas down 2.9%, gold at $1460 an ounce