Pre-Market IV Report November 20, 2019

Pre-Market IV Report November 20, 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 CRC CHWY URBN S SFIX BB CHK LOW CLDR LULU TGT APA LB ACB

Options expected to have increasing volume: TGT URBN LB M JWN AMRN CRSP RIG ALC BCRX ENDP

Salesforce (CRM) November weekly call option implied volatility is at 44, December is at 30; compared to its 52-week range of 22 to 57 into Dreamforce 2019.

Honeywell (HON) November weekly call option implied volatility is at 16, December is at 15; compared to its 52-week range of 14 to 34 into hosting a two day investor webcast on November 20-21.

Alibaba (BABA) November weekly call option implied volatility is at 30, December is at 27; compared to its 52-week range of 24 to 48 into announcing pricing and details for Hong Kong IPO.

Apple (AAPL) November weekly call option implied volatility is at 18, December is at 19; compared to its 52-week range of 18 to 46 into President Trump visiting Apple manufacturing plant in Texas.

Lam Research (LRCX) November weekly call option implied volatility is at 30, December is at 29; compared to its 52-week 27 to 54 as shares near upper end of range.

AMD (AMD) November weekly call option implied volatility is at 51, December is at 43; compared to its 52-week of 36 to 94 as shares near upper end of range.

Broadcom (AVGO) November weekly call option implied volatility is at 28, December is at 29; compared to its 52-week range of 21 to 47 as shares near upper end of range

Market Vectors Russia ETF Trust (RSX) November weekly call option implied volatility is at 15, December is at 16; compared to its 52-week range of 16 to 33 into OPEC on December 4, 2019.

California Resources (CRC) December call option implied volatility is at 155, January is at 143; compared to its 52-week range of 65 to 204.

Long duration option implied volatility bid above short duration Option Implied Volatility

S&P Dep Receipts (SPY) December call option implied volatility is at 11, January 2020 is at 12, January 2021 is at 17, January 2022 is at 17; compared to its 52-week range of 10 to 32 into upcoming Democratic Presidential polls, 2020 Iowa Democratic caucuses, China Trade talks.

PowerShares QQQ Trust (QQQ) December call option implied volatility is at 14, January 2020 is at 14, January 2021 is at 19, January 2022 is at 20; compared to its 52-week range of 14 to 37 into upcoming Democratic Presidential polls, 2020 Iowa Democratic caucuses, China Trade talks.

iShares Russell 2000 ETF (IWM) December call option implied volatility is at 28, January is at 29, April is at 32, July is at 33; compared to its 52-week range of 14 to 34 into upcoming Democratic Presidential polls, 2020 Iowa Democratic caucuses, China Trade talks.

RUT IV Index
30 days
13.75 calls 14.14 puts
60 days
14.91 calls 15.02 puts
90 days
15.80 calls 15.80 puts
120 days
16.42 calls 16.55 puts
150 days
16.77 calls 16.95 puts
180 days
17.04 calls 17.17 puts

Straddle prices for stocks expected to report quarterly results this week
Lowes (LOW) November weekly 114 straddle priced for a move of 7% into the expected release of quarter results today before the bell.
L Brands (LB) November weekly 17 straddle priced for a move of 13% into the expected release of quarter results today after the bell.
Netease (NTES) November weekly 290 straddle priced for a move of 8% into the expected release of quarter results today after the bell.
Jack in the Box (JACK) December 85 straddle priced for a move of 8.5% into the expected release of quarter results today after the bell.
Nuance (NUAN) December 17 straddle priced for a move of 10% into the expected release of quarter results today after the bell.
Pinduoduo (PDD) December 40 straddle priced for a move of 15% into the expected release of quarter results today before the bell.
Sonos (SONO) December 15 straddle priced for a move of 15% into the expected release of quarter results today after the bell.
Target (TGT) November weekly 111 straddle priced for a move of 6% into the expected release of quarter results today before the bell.
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 272.5 straddle priced for a move of 3.5% into the expected release of quarter results after the bell on November 21.
Macys (M) November weekly 15 straddle priced for a move of 13% into the expected release of quarter results before the bell on November 21.
Nordstrom (JWN) November weekly 35.50 straddle priced for a move of 12.5% 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 124 straddle priced for a move of 7.5% 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 44 straddle priced for a move of 11.5% 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: TWTR TIF GRUB EXPE FIT FTCH GOOS VIPS TLRY
Increasing unusual option volume: ATNX FNV CCXI DHR DO ASH URBN KDP CLVS PDD PEG CDK CRSP MDCO
Increasing unusual call option volume: EWG DO CCXI KDP DHR AMLP PDD PEG ALNY SGEN CRSP CLVS
Increasing unusual put option volume: FNV URBN IWD DHR DLR NTR CLVS BTU OAS KSS VAL
Popular stocks with increasing unusual: KSS AMD TGT M PDD ROKU
Active options: AMD MSFT AAPL ROKU FB T TSLA M DIS PDD HD GE NVDA BA TGT AMZN BABA KSS SNAP NFLX

Global S&P Futures are recently down 9.00 from previous day. Nikkei 225 down 0.6%, DAX down 0.9%, WTI Crude oil is recently at $55.04, natural gas up 1.9%, gold at $1476 an ounce