Pre-Market IV Report November 19, 2018

Pre-Market IV Report November 19, 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: TSRO UNG TROX XLNX GOGO DVMT ZAYO SHPG HIIQ JD TGT HRL LOW L TJX

Options expected to have increasing volume: TSRO CPB GPS INTU ROST TJX JD ADSK TGT LOW KSS BBY DE

Apple (AAPL) option implied volatility flat, into WSJ report Cuts Production on All 3 New iPhone Models

Apple (AAPL) November weekly call option implied volatility is at 24, December and January is at 29; compared to its 52-week range of 16 to 42. Apple shares are recently down 1.5% in the premarket on a Wall Street Journal report that the company slashed production orders for all three iPhone models that it unveiled in September.

Apple suppliers option implied volatility into WSJ report Apple (AAPL) cuts production on all 3 New iPhone models

Analog Devices (ADI) 30-day option implied volatility index mean is at 33, compared to its 52-week range of 18 to 42

Amphenol (APH) 30-day option implied volatility index mean is at 21, compared to its 52-week range of 14 to 29
Broadcom (AVGO) 30-day option implied volatility index mean is at 44, compared to its 52-week range of 22 to 48
Cirrus Logic, Inc. (CRUS) 30-day option implied volatility index mean is at 44, compared to its 52-week range of 27 to 55
Cypress Semiconductor (CY) 30-day option implied volatility index mean is at 39, compared to its 52-week range of 28 to 59
Intel (INTC) 30-day option implied volatility index mean is at 29, compared to its 52-week range of 17 to 44
Jabil Circuit (JBL) 30-day option implied volatility index mean is at 34, compared to its 52-week range of 20 to 42
Lumentum Holdings (LITE) 30-day option implied volatility index mean is at 57, compared to its 52-week range of 38 to 77
Micron (MU) 30-day option implied volatility index mean is at 49, compared to its 52-week range of 34 to 63
NXP Semiconductors (NXPI) 30-day option implied volatility index mean is at 37, compared to its 52-week range of 15 to 74
ON Semiconductor (ON) 30-day option implied volatility index mean is at 44, compared to its 52-week range of 26 to 61
Qualcomm (QCOM) 30-day option implied volatility index mean is at 32, compared to its 52-week range of 19 to 52
Skyworks Solutions (SWKS) 30-day option implied volatility index mean is at 33, compared to its 52-week range of 22 to 47
Sensata Technologies (ST) 30-day option implied volatility index mean is at 30, compared to its 52-week range of 20 to 38
TE Connectivity (TEL) 30-day option implied volatility index mean is at 26, compared to its 52-week range of 16 to 37
Texas Instruments (TXN) 30-day option implied volatility index mean is at 29, compared to its 52-week range of 16 to 40

Facebook (FB) November weekly call option implied volatility is at 30, December is at 33; compared to its 52-week range of 16 to 53 as shares near 18-month low.

PG&E Corp. (PCG) November weekly call option implied volatility is at 128, December is at 123, January is at 107; compared to its 52-week range of 18 to 201. Call put ratio 1 call to 1 put after wide price movement on California wild fires.

Edison International (EIX) December call option implied volatility is at 53, January is at 50; compared to its 52-week range of 14 to 75. Call put ratio 2.3 calls to 1 put on California wild fires.

Straddle prices for stocks expected to report results this week
Agilent Technologies (A) December 65 straddle priced for move of 7.8% into the expected release of EPS after the bell on November 19
Intuit (INTU) December 210 straddle priced for move of 7% into the expected release of EPS after the bell on November 19

Jack in the Box (JACK) December 80 straddle priced for move of 9% into the expected release of EPS after the bell on November 19
L3 Technologies (LLL) December 190 straddle priced for move of 8% into the expected release of EPS on November 19
L Brands (LB) November weekly 35 straddle priced for move of 12% into the expected release of EPS on November 19
Pure Storage (PSTG) December 20 straddle priced for move of 15% into the expected release of EPS after the bell on November 19
Nuance Communications (NUAN) December 17 straddle priced for move of 12% into the expected release of EPS after the bell on November 19
Urban Outfitters (URBN) November weekly 37 straddle priced for move of 10% into the expected release of EPS after the bell on November 19
Analog Devices (ADI) December 90 straddle priced for move of 6% into the expected release of EPS on November 20
Autodesk (ADKS) November weekly 134 straddle priced for move of 8% into the expected release of EPS after the bell on November 20
Barnes & Noble (BKS) December 7 straddle priced for move of 15% into the expected release of EPS before the bell on November 20
Best Buy (BBY) November weekly 66.50 straddle priced for move of 12% into the expected release of EPS before the bell on November 20
Campbell Soup (CPB) November weekly 39 straddle priced for move of 7% into the expected release of EPS before the bell on November 20
Foot Locker (FL) December 50 straddle priced for move of 14% into the expected release of EPS after the bell on November 20
Gap (GPS) November weekly 26 straddle priced for move of 10% into the expected release of EPS on November 20
Hormel (HRL) November weekly 45.50 straddle priced for move of 5% into the expected release of EPS before the bell on November 20
Kohls (KSS) November weekly 73 straddle priced for move of 8% into the expected release of EPS before the bell on November 20

Lowes (LOW) November weekly 93.50 straddle priced for move of 7% into the expected release of EPS before the bell on November 20
Medtronic (MDT) November weekly 93 straddle priced for move of 4% into the expected release of EPS before the bell on November 20
Ross Stores (ROST) December 95 straddle priced for move of 9.5% into the expected release of EPS before the bell on November 20
Target (TGT) November weekly 79.50 straddle priced for move of 6% into the expected release of EPS before the bell on November 20
TJX (TJX) December 52.50 straddle priced for move of 7% into the expected release of EPS before the bell on November 20
Deere (DE) November weekly 148 straddle priced for move of 6% into the expected release of EPS before the bell on November 21

Increasing unusual option volume: BTG VNTR LPLA TRHC FDS LZB CBRE ADP NUAN
Increasing unusual call option volume: BTG LPLA NUAN ZAYO ADP HZNP
Increasing unusual put option volume: BJ TROX TRGP ADP BWA EWW
Popular stocks with increasing volume: WMT JD AMAT
Options with decreasing option implied volatility: JWN AMAT NVDA CTSH PCG ESRX WB
Cboe Bitcoin December futures down 182 to 5235