Pre-Market IV Report November 27, 2018

Pre-Market IV Report November 27, 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: SCO UCO MNK USO RHT AKRX ECYT NLY AMBA COL IMMU

Options expected to have increasing volume: TSLA GM LOXO AAPL BKE FRAN UTX BMY AMRN CRM DKS UNH

Apple (AAPL) November weekly call option implied volatility is at 37, December 34; compared to its 52-week range of 16 to 41 into WSJ reports that iPhone from China may be hit with tariff.

United Technologies (UTX) November weekly and December call option implied volatility is at 25; compared to its 52-week range of 13 to 30 prior to announcing split into 3 companies and updating guidance following Rockwell Collins (COL) deal.

Cold weather gear-clothing retailer’s option implied volatility

Columbia Sportswear (COLM) December call option implied volatility is at 23, January 24; compared to its 52-week range of 20 to 45 as shares near record high.

PVH Corp. (PVH) December call option implied volatility is at 43, January 38; compared to its 52-week range of 19 to 47 as shares trend to 16-month low.

Canada Goose (GOOS) November weekly call option implied volatility is at 67, December 53; compared to its 52-week range of 36 to 84 as shares near record high.

V.F. Corp. (VFC) November weekly call option implied volatility is at 27, December 26; compared to its 52-week range of 17 to 38.

Under Armour (UA) November weekly call option implied volatility is at 44, December 46; compared to its 52-week range of 35 to 89.

Nike (NKE) November weekly call option implied volatility is at 26, December 34; compared to its 52-week range of 17 to 35.

Halliburton (HAL) and Schlumberger Ltd. (SLB) option implied volatility as shares at low end of range on depressed oil prices

Halliburton (HAL) November weekly call option implied volatility is at 37, December 38; compared to its 52-week range of 21 to 42.

Schlumberger Ltd. (SLB) November weekly call option implied volatility is at 35, December 34; compared to its 52-week range of 19 to 37 as shares near nine-year low

Straddle prices for stocks expected to report results this week

Hibbett Sports (HIBB) December 17.50 straddle priced for move of 17% into the expected release of EPS before the open on November 27
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 149 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 36 straddle priced for move of 12% into the expected release of EPS before the open on November 28
J.M. Smucker (SJM) December 109 straddle priced for move of 9% into the expected release of EPS before the open on November 28
J Jill (JILL) December 5 straddle priced for move of 14% into the expected release of EPS before the open on November 28
Tiffany (TIF) November weekly 106 straddle priced for move of 8% into the expected release of EPS before the open on November 28
Abercrombie & Fitch (ANF) November weekly 16 straddle priced for move of 15% into the expected release of EPS before the open on November 29
Ambarrella (AMBA) November weekly 34 straddle priced for move of 13% into the expected release of EPS after the market close on November 29
Big Lots (BIG) December 42.50 straddle priced for move of 13% into the expected release of EPS before the open on November 29
Build-A-Bear Workshop (BBW) December 7.5 straddle priced for move of 14% into the expected release of EPS before the open on November 29
Dollar Tree (DLTR) November weekly 83 straddle priced for move of 9% into the expected release of EPS before the open on November 29
Express (EXPR) December 8 straddle priced for move of 18% into the expected release of EPS before the open on November 29
GameStop (GME) November weekly 14.50 straddle priced for move of 14% into the expected release of EPS before the open on November 29
HP (HPQ) November weekly 23 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 170 straddle priced for move of 7% into the expected release of EPS after the market close on November 29
Titan Machinery (TITN) December 15 straddle priced for move of 15% 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 140 straddle priced for move of 7% into the expected release of EPS after the market close on November 29

Increasing unusual option volume: STKL DDM EWG MXEF VLY PAA KMT AER
Increasing unusual call option volume: MXEF PAA KMT AJRD BEN CPRX ADI RIGL LQD
Increasing unusual put option volume: EWG AER MXEF VLY STLD MNK THS
Popular stocks with increasing volume: GOOS AMTD AET DLTR FCAU
Options with decreasing option implied volatility: AET UPS MOMO MCD FDX GOOGL GOOG FIT JPM MU
Cboe Bitcoin December futures down 67 to 3580