Pre-Market IV Report November 26, 2019

Pre-Market IV Report November 26, 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: S CLDR ITCI PANW LULU WORK CLVS APA ULTA ITCI AXSM CRC CARA EAF SPCE S KEM BXC SPPI BPT SGMO FOE S KL RSX IRM

Options expected to have increasing volume: PANW PVH AMBA HPE A BURL BBY DLTR DE NTNX CVS

Important date: December 15 is the day President Trump set in the autumn for the next round of China Tariff hikes

Market Vectors Semiconductor ETF (SMH) November weekly call option implied volatility is at 17, December is at 22; compared to its 52-week range of 22 to 40 as ETF near record high amid China and U.S.A. trade talks.

AMD (AMD) November weekly call option implied volatility is at 31, December and January is at 39; compared to its 52-week range of 36 to 94 into expectations of new CPU product introductions in 2020.

NVIDIA (NVDA) November weekly call option implied volatility is at 28, December is at 32; compared to its 52-week range of 32 to 64 after shares moved up 4%.

Market Vectors Retail ETF (RTH) November call option implied volatility is at 11, December is at 12; compared to its 52-week range of 12 to 38 into holiday shopping season. Call put ratio 5 calls to 1 put.

SPDR S&P Retail ETF (XRT) November call option implied volatility is at 13, December is at 14; compared to its 52-week range of 17 to 38 into holiday shopping season. Call put ratio 1 call to 1.5 puts.

United States Oil Fund (USO) November weekly call option implied volatility is at 26, December is at 28; compared to its 52-week range of 22 to 62 as WTI Crude oil at upper end of 2-month range into OPEC meeting on December 4.

ExxonMobil (XOM) November weekly call option implied volatility is at 15, December is at 17; compared to its 52-week range of 15 to 39 as WTI Crude oil at upper end of 2-month range into OPEC meeting on December 4.

United States Natural Gas (UNG) November weekly call option implied volatility is at 48, November is at 53; compared to its 52-week range of 21 to 112 as natural gas at low end of price range. Call put ratio 1.6 calls to 1 put.

CVS Health (CVS) November weekly call option implied volatility is at 25, December is at 19; compared to its 52-week range of 20 to 41 amid activist Starboard takes stake, WSJ reports. Call put ratio 3.4 calls to 1 put with focus on January 90 calls.

Alibaba (BABA) November weekly call option implied volatility is at 28, December is at 27; compared to its 52-week range of 24 to 48 into Hong Kong trading debut.

Straddle prices for stocks expected to report quarterly results this week

Abercrombie & Fitch (ANF) November weekly 16.5 straddle priced for a move of 15% into the expected release of quarterly results today before the bell.

Autodesk (ADSK) November weekly 167.5 straddle priced for a move of 8% into the expected release of quarterly results today before the bell.

Best Buy (BBY) November weekly 74 straddle priced for a move of 7.5% into the expected release of quarterly results today before the bell.

Box (BOX) December 16 straddle priced for a move of 12% into the expected release of quarterly results today before the bell.

Burlington Stores (BURL) November weekly 207.5 straddle priced for a move of 7.5% into the expected release of quarterly results today before the bell.

Dell Technologies (DELL) December 55 straddle priced for a move of 9% 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 9% into the expected release of quarterly results today before the bell.

Dollar Tree (DLTR) November weekly 112 straddle priced for a move of 6% into the expected release of quarterly results today before the open

HP (HPQ) November weekly 20 straddle priced for a move of 5.5% into the expected release of quarterly results today before the bell.

VMWare (VMW) November weekly 167.5 straddle priced for a move of 6% into the expected release of quarterly results today.

Deere (DE) November weekly 175 straddle priced for a move of 5% into the expected release of quarterly results before the open on November 27.

Options with decreasing option implied volatility: TIF MDCO EXPE FIT MDCO I M PDD TIF PLAN FL
Increasing unusual option volume: SRNE PFF EPAY NWL AXE FOE CODI APH DKS FLR CPRI BIG NVDA LULU PDD ICPT
Increasing unusual call option volume: SRNE JNK NWL EPAY AXE GGB APH FOE MDCO EDIT CGNX DKS BURL
Increasing unusual put option volume: PFF FLR ITCI CVE DKS JEC BURL BBY CCXI APO
b: M NVDA MDCO NWL TEVA
Active options: AAPL TSLA AMD TEVA DIS FB BABA BAC NVDA AMZN NWL T NFLX MSFT ROKU M MU MDCO UBER
Global S&P Futures are recently down 3.00 from previous day. Nikkei 225 up 0.3%, DAX down 0.3%, WTI Crude oil is recently at $58.08, natural gas down 2.2%, gold at $1457 an ounce