Pre-Market IV Report November 2, 2018

Pre-Market IV Report November 2, 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: MDR DKS TIF WMB VMW MRNS VST SNAP GPRO GE ATHN

Options expected to have increasing volume: SBUX XOM CBS AIG AAPL CZR WTW GPRO KHC SHAK ALKS X CZR WTW CRUS

Option implied volatility comes in after sharp rally into China trade talks, U.S. mid-term elections, EPS, growth outlooks, U.S. interest rates, Euro markets, Middle-East oil, G-20 & FOMC meeting.

S&P Dep Receipts (SPY) November weekly call option implied volatility is at 15, November is at 19; compared to its 52-week range of 8 to 35. Call put ratio 1 call to 1.5 puts.

PowerShares QQQ Trust (QQQ) October weekly call option implied volatility is at 29, November is at 28; compared to its 52-week range of 11 to 31. Call put ratio 1 calls to 1.93 puts with focus on December 150 puts.

Straddle prices for stocks expected to report results the week of November 5

Avis Budget (CAR) November 30 straddle priced for move of 14% into the expected release of EPS after the bell on November 5.
Ferrari (RACE) November weekly 120 straddle priced for move of 6% into the expected release of EPS before the open on November 5.
Marriott (MAR) November weekly 121 straddle priced for move of 4% into the expected release of EPS after the bell on November 5.
Mosaic (MOS) November weekly 32 straddle priced for move of 6% into the expected release of EPS after the bell on November 5.
Mylan (MYL) November weekly 32.50 straddle priced for move of 7% into the expected release of EPS after the bell on November 5.
PG&E (PCG) November weekly 47 straddle priced for move of 5.5% into the expected release of EPS before the open on November 5.
Sina (SINA) November 67.50 straddle priced for move of 11% into the expected release of EPS before the open on November 5.
Sohu (SOHU) November 20 straddle priced for move of 17% into the expected release of EPS before the open on November 5.
Sysco (SYY) November weekly 71.50 straddle priced for move of 4.5% into the expected release of EPS before the open on November 5.
Tenet Healthcare (THC) November weekly 26.50 straddle priced for move of 13% into the expected release of EPS after the bell on November 5.
Bausch Health (BHC) November weekly 25 straddle priced for move of 12% into the expected release of EPS before the open on November 6.
CVS Health (CVS) November weekly 74.50 straddle priced for move of 5.5% into the expected release of EPS before the open on November 6.
Devon Energy (DVN) November weekly 33 straddle priced for move of 7.8% into the expected release of EPS after the bell on November 6.
EchoStar (SATS) November 40 straddle priced for move of 15% into the expected release of EPS on November 6.
Eli Lily (LLY) November weekly 108 straddle priced for move of 4% into the expected release of EPS before the open on November 6.
Expeditors (EXBD) November 70 straddle priced for move of 9% into the expected release of EPS before the open on November 6.
Tidewater (TDW) November 25 straddle priced for move of 11% into the expected release of EPS on November 6.
Wendy’s (WEN) November 17 straddle priced for move of 8% into the expected release of EPS after the bell on November 6.
Zillow Group (ZG) November 40 straddle priced for move of 13% into the expected release of EPS after the bell on November 6.
Albemarle (ALB) November 105 straddle priced for move of 7% into the expected release of EPS on November 7.
Dean Foods (DF) November 8 straddle priced for move of 10% into the expected release of EPS before the open on November 7.
Fossil (FOSL) November weekly 23 straddle priced for move of 20% into the expected release of EPS after the bell on November 7.
Murphy Oil (MUR) November 30 straddle priced for move of 7% into the expected release of EPS after the bell on November 7.
News Corp (NWS) November 12.50 straddle priced for move of 9% into the expected release of EPS after the bell on November 7.
Qualcomm (QCOM) November weekly 64 straddle priced for move of 6.5% into the expected release of EPS after the bell on November 7.
Wynn Resorts (WYNN) November weekly 113 straddle priced for move of 9% into the expected release of EPS after the bell on November 7.
Wright Medical Group (WMGI) November 27.50 straddle priced for move of 11% into the expected release of EPS after the bell on November 7.

Increasing unusual option volume: ETM AMAG HRS ENLK EXPD ITT R NYT NXST
Increasing unusual call option volume: ETM HRS WU LIN ENLK DHT OAS SRCI DJX
Increasing unusual put option volume: MYGN THS ITT AR NYT GEL NRZ MTZ ECA WM YELP
Popular stocks with increasing unusual: FIT TEVA SNAP KHC SPOT
Options with decreasing option implied volatility: ESPR XOG HBI TEVA PBI W FIT AIG
Cboe Bitcoin November futures up 17 to 6375