Pre-Market IV Report November 26, 2018

Pre-Market IV Report November 26, 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 SCO OSTK UCO ET XLE

Options expected to have increasing volume: CPB GM LOGI PLT

Apple (AAPL) November weekly call option implied volatility is at 39, December 37; compared to its 52-week range of 16 to 41. Apple is down 25.8% from all-time closing high.

Amazon (AMZN) November weekly call option implied volatility is at 43, December 41; compared to its 52-week range of 18 to 51. AMZN is down 19.9% from all-time closing high.

Facebook (FB) November weekly call option implied volatility is at 40, December 39; compared to its 52-week range of 16 to 53. FB is down 39.4% from all-time closing high.

Alphabet (GOOGL) November weekly call option implied volatility is at 32, December 31; compared to its 52-week range of 14 to 41. GOOGL is down 19.9% from all-time closing high.

Netflix (NFLX) November weekly call option implied volatility is at 55, December 54; compared to its 52-week range of 23 to 66. NFLX is down 38.2% from all-time closing high.

UnitedHealth Group (UNH) November weekly call option implied volatility is at 24, December is at 23; compared to its 52-week range of 14 to 33 into a company hosted analyst day on November 27.
AT&T (T) November weekly call option implied volatility is at 24, December is at 23; compared to its 52-week range of 14 to 31 into a company hosted analyst day on November 29.
Quest Diagnostics (DGX) 30 day option implied volatility is at 24; compared to its 52-week range of 15 to 29 into a company hosted investor day on November 29.
Campbell Soup (CPB) November weekly call option implied volatility is at 43, December at 39; compared to its 52-week range of 20 to 52 Reuters reporting near a deal with Third Point to end board challenge. Campbell Soup is hosting a shareholder meeting on November 29.

Logitech International (LOGI) 30 day option implied volatility is at 35; compared to its 52-week range of 20 to 45 into says no longer in acquisition discussions with Plantronics (PLT).
Plantronics (PLT) 30 day option implied volatility is at 35; compared to its 52-week range of 20 to 45 into Logitech International (LOGI) says no longer in acquisition discussions with Plantronics.

Straddle prices for stocks expected to report results this week
Salesforce (CRM) November weekly 122 straddle priced for move of 7% into the expected release of EPS after the market close on November 27
Box (BOX) December 17 straddle priced for move of 17% into the expected release of EPS after the market close on November 28
Burlington (BURL) November weekly 148 straddle priced for move of 7% into the expected release of EPS before the open on November 28
Chicos (CHS) December 7 straddle priced for move of 15% into the expected release of EPS before the open on November 28
Dicks Sporting Goods (DKS) November weekly 35 straddle priced for move of 12% into the expected release of EPS before the open on November 28
J.M. Smucker (SJM) straddle priced for move of % into the expected release of EPS before the open on November 28
J Jill (JILL) straddle priced for move of % into the expected release of EPS before the open on November 28
Tiffany (TIF) November weekly 102 straddle priced for move of 7% into the expected release of EPS before the open on November 28
Abercrombie & Fitch (ANF) November weekly 16 straddle priced for move of 13% into the expected release of EPS before the open on November 29
HP (HPQ) November weekly 22.50 straddle priced for move of 6% into the expected release of EPS after the market close on November 29
Palo Alto Network (PANW) November weekly 167.50 straddle priced for move of 9% into the expected release of EPS after the market close on November 29
Titan Machinery (TITN) December 15 straddle priced for move of 13% into the expected release of EPS before the open on November 29
VMare (VMW) November weekly 152.50 straddle priced for move of 7% into the expected release of EPS after the market close on November 29
Workday (WDAY) November 135 straddle priced for move of 8% into the expected release of EPS after the market close on November 29

Option implied volatility into RSNA Scientific Assembly & Annual Meeting

Varian Medical (VAR) 30-day implied volatility is at 16, compared to its 52-week range of 35.
General Electric (GE) 30-day implied volatility is at 62, compared to its 52-week range of 20 to 68.
Hologic (HOLX) 30-day implied volatility is at 28, compared to its 52-week range of 19 to 45.
Philips (PHG) 30-day implied volatility is at 28, compared to its 52-week range of 13 to 49.
Agilent (A) 30-day implied volatility is at 27, compared to its 52-week range of 17 to 37.
Thermo Fisher Scientific (TMO) 30-day implied volatility is at 24, compared to its 52-week range of 15 to 31.
PerkinElmer (PKI) 30-day implied volatility is at 32, compared to its 52-week range of 24 to 46.

Increasing unusual option volume: SCCO VLY RG SCG BBL ATH
Increasing unusual call option volume: COL CVE TIS RF SCCO OSTK
Increasing unusual put option volume: SCCO PVH VLY RF HRL
Popular stocks with increasing volume: XOM TLRY BP PBR
Options with decreasing option implied volatility: COL PDD DVMT FOXA TLT QCOM PCG ACB
Cboe Bitcoin December futures down 305 to 3885