Pre-Market IV Report November 25, 2019

Pre-Market IV Report November 25, 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: CLDR ITCI UVXY CLDR LULU ITCI VHS CRC CCL CHWY APA QD NVST ULTA SPCE WORK

Options expected to have increasing volume: TIF TPR CPRI MDCO PANW ADI ANF DKS VMW DE

Virgin Galactic Holdings (SPCE) December call option implied volatility is at 80, January is at 71; compared to its 8-week range of 39 to 80 as shares trend lower after recent IPO. Call put ratio 1.7 calls to 1 put with focus on February 8 calls, December 7.5 and December 10 puts.

The RealReal Inc. (REAL) December call option implied volatility is at 70, January is at 71; compared to its 52-week range of 39 to 81. Call put ratio 1 call to 2.6 puts with focus on December 10 puts.

Chewy (CHWY) November weekly call option implied volatility is at 38, December is at 75; compared to its 52-week range of 46 to 84 into the expected release of quarter results on December 9.

WW (WW) November weekly call option implied volatility is at 47, December is at 48; compared to its 52-week range of 47 to 94 a shares trend higher.

Tesla (TSLA) November weekly call option implied volatility is at 31, December is at 38; compared to its 52-week range of 37 to 75 after the company introduced “Cybertruck.” Call put ratio 1.2 calls to 1 put.

Medicines Co. (MDCO) December call option implied volatility is at 61, January is at 65; compared to its 52-week range of 42 to 190 into Novartis (NVS) will acquire the company for $85 per share in an all-cash transaction, implying a fully diluted equity value of $9.7B. Call put ratio 5.9 calls to 1 put with focus on December 75 and 85 calls.

Tiffany (TIF) November weekly call option implied volatility is at 30, November is at 22; compared to its 52-week range of 21 to 49 into reports LVMH to buy Tiffany for $16B. Call put ratio 1.1 calls to 1 put.

Luxury retailers option implied volatility into reports LVMH to buy Tiffany for $16B

Capri Holdings Limited (CPRI) November weekly call option implied volatility is at 26, December is at 35; compared to its 52-week range of 31 to 69.

Tapestry (TPR) November weekly call option implied volatility is at 22, December is at 29; compared to its 52-week range of 26 to 60.

RH (RH) November weekly call option implied volatility is at 39, December is at 69; compared to its 52-week range of 38 to 94.Quarterly results are expected on December 2.

Ralph Lauren (RL) November weekly call option implied volatility is at 22, December is at 28; compared to its 52-week range of 24 to 51.

Canada Goose (GOOS) November weekly call option implied volatility is at 33, December is at 39; compared to its 52-week range of 42 to 82.

Straddle prices for stocks expected to report quarterly results this week

Agilent (A) December 80 straddle priced for a move of 6.5% into the expected release of quarterly results before the bell on November 25.

Ambarella (AMBA) November weekly 55 straddle priced for a move of 11% into the expected release of quarterly results before the bell on November 25.

Hewlett Packard (HPE) November weekly 17 straddle priced for a move of 5% into the expected release of quarterly results before the bell on November 25.

PVH Corp (PVH) December 100 straddle priced for a move of 10% into the expected release of quarterly results before the bell on November 25.

Palo Alto Networks (PANW) November weekly 247.50 straddle priced for a move of 6% into the expected release of quarterly results before the bell on November 25.

Abercrombie & Fitch (ANF) November weekly 16 straddle priced for a move of 14% into the expected release of quarterly results before the open on November 26.

Autodesk (ADSK) November weekly 167.5 straddle priced for a move of 7% into the expected release of quarterly results before the bell on November 26.

Best Buy (BBY) November weekly 72 straddle priced for a move of 7% into the expected release of quarterly results before the bell on November 26.

Box (BOX) December 16 straddle priced for a move of 12.50% into the expected release of quarterly results before the bell on November 26.

Burlington Stores (BURL) November weekly 205 straddle priced for a move of 8% into the expected release of quarterly results before the bell on November 26.

Dell Technologies (DELL) December 52.50 straddle priced for a move of 10% into the expected release of quarterly results before the bell on November 26.

Dicks Sporting Goods (DKS) November weekly 39.50 straddle priced for a move of 10% into the expected release of quarterly results before the open on November 26.

Dollar Tree (DLTR) November weekly 109 straddle priced for a move of 6.5% into the expected release of quarterly results before the open on November 26.

HP (HPQ) November weekly 20 straddle priced for a move of 6% into the expected release of quarterly results before the bell on November 26.

VMWare (VMW) November weekly 165 straddle priced for a move of 6.5% into the expected release of quarterly results before the bell on November 26.

Deere (DE) November weekly 175 straddle priced for a move of 5.5% into the expected release of quarterly results before the open on November 27.

Option Implied Volatility for Electronic-Brokers after recent reports Schwab (SCHW) in talks to buy TD Ameritrade (AMTD)

TD Ameritrade (AMTD) 30 day option implied volatility is at 33; compared to its 52-week range of 22 to 53
Charles Schwab (SCHW) 30 day option implied volatility is at 26; compared to its 52-week range of 22 to 44
E*TRADE Financial (ETFC) 30 day option implied volatility is at 37; compared to its 52-week range of 24 to 46
Interactive Brokers (IBKR) 30 day option implied volatility is at 31; compared to its 52-week range of 26 to 49
Axsome Therapeutics (AXSM) December call option implied volatility is at 190, January is at 178; compared to its 52-week range of 66 to 298. Call put ratio 3.7 calls to 1 put.

Ultra-low interest rates in Europe has not spurred economic growth

Options with decreasing option implied volatility: TWTR TIF SPPI TGT JWN PLAN PDD M JWN FL GRUB EXPE FIT ATVI CVS MCD GS JD
Increasing unusual option volume: UPWK AMCX IWO SSI GSX CC EUFN USAC CY ALLY CCXI FL LB
Increasing unusual call option volume: ALNY SPGI IBKR PSTG EUFN DLPH SNPS ALLY LB
Increasing unusual put option volume: UPWK IWO PSTG CC ZTO SPCE VHC INTU ALLY
Popular stocks with increasing unusual: SNAP CGC M X JNJ
Active options: AAPL DIS AMD SNAP JNJ FB ROKU UBER NFLX AMZN CGC BAC GE BABA MSFT TWTR NVDA M X
Global S&P Futures are recently up 8.00 from previous day. Nikkei 225 up 0.7%, DAX up 0.7%, WTI Crude oil is recently at $58.06, natural gas down 1.8%, gold at $1457 an ounce