Pre-Market IV Report November 27, 2019

Pre-Market IV Report November 27, 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: ITCI S CLDR LULU APA QD ULTA WORK ITCI SPPI AXSM RSX LTM DE

Options expected to have increasing volume: DE DELL BOX HPQ TEVA VMW ADSK GES DB GS

Alibaba (BABA) November weekly option implied volatility is at 19, December is at 24; compared to its 52-week range of 24 to 49 as shares trend higher after listing in Hong Kong. Call put ratio 1.9 calls to 1 put.

Fortinet (FTNT) December and January call option implied volatility is at 26 compared to its 52-week range of 26 to 58 put as shares near record high.

Teva Pharma (TEVA) November weekly option implied volatility is at 56, December is at 55; compared to its 52-week range of 29 to 106 after sharp selloff.

Straddle prices for stocks expected to report quarterly results this week

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.

Option implied volatility for retailers into Holiday shopping season

Target (TGT) 30-day option implied volatility is at 19; compared to its 52-week range of 19 to 44.

Macys (M) 30-day option implied volatility is at 39; compared to its 52-week range of 31 to 76.

Nordstrom (JWN) 30-day option implied volatility is at 36; compared to its 52-week range of 29 to 75

Ross Stores (ROST) 30-day option implied volatility is at 18; compared to its 52-week range of 19 to 40.

Gap (GPS) 30-day option implied volatility is at 36; compared to its 52-week range of 28 to 71

TJX (TJX) 30-day option implied volatility is at 18; compared to its 52-week range of 16 to 34

Urban Outfitters (URBN) 30-day option implied volatility is at 37; compared to its 52-week range of 31 to 64

Kohls (KSS) 30-day option implied volatility is at 31; compared to its 52-week range of 27 to 64

Abercrombie & Fitch (ANF) 30-day option implied volatility is at 48; compared to its 52-week range of 37 to 90

L Brands (LB) 30-day option implied volatility is at 45; compared to its 52-week range of 32 to 82

Lowes (LOW) 30-day option implied volatility is at 19; compared to its 52-week range of 19 to 41

Home Depot (HD) 30-day option implied volatility is at 17; compared to its 52-week range of 15 to 38.

Shopify (SHOP) 30-day option implied volatility is at 41; compared to its 52-week range of 36 to 72.

At Home Group (HOME) 30-day option implied volatility is at 90; compared to its 52-week range of 44 to 161.

Dillards (DDS) 30-day option implied volatility is at 46; compared to its 52-week range of 34 to 80

Amazon (AMZN) 30-day option implied volatility is at 18; compared to its 52-week range of 17 to 55.

Dicks Sporting Goods (DKS) 30-day option implied volatility is at 32; compared to its 52-week range of 27 to 59.

Kroger (KR) 30-day option implied volatility is at 30; compared to its 52-week range of 22 to 47

Walmart (WMT) 30-day option implied volatility is at 14; compared to its 52-week range of 14 to 30
Dollar General (DLTR) 30-day option implied volatility is at 27; compared to its 52-week range of 19 to 44

Dollar Store (DLR) 30-day option implied volatility is at 32; compared to its 52-week range of 15 to 38

Advanced Auto Parts (AAP) 30-day option implied volatility is at 25; compared to its 52-week range of 24 to 52

AutoZone (AZO) 30-day option implied volatility is at 27; compared to its 52-week range of 19 to 36
Best Buy (BBY) 30-day option implied volatility is at 28; compared to its 52-week range of 23 to 54

Market Vectors Retail ETF (RTH) November weekly call option implied volatility is at 12, December is at 12; compared to its 52-week range of 12 to 38.

SPDR S&P Retail ETF (XRT) November weekly call option implied volatility is at 15, December is at 16; compared to its 52-week range of 17 to 38.

Options with decreasing option implied volatility: TIF MDCO EXPE FIT GRUB CCXI I ANF PDD FL
Increasing unusual option volume: VOD NGG PTI DLTR RDWR NYT DOW
Increasing unusual call option volume: VOD PTI DKS NEE DLTR ALL DOW
Increasing unusual put option volume: CCXI TGE DLTR DKS RCL REZI CHS
Popular stocks with increasing unusual: TEVA NIO BBY HD ADI QCOM LB UNG LOW KHC
Active options: DIS AAPL TSLA AMD BABA VOD ROKU MSFT AMZN GE FB T BAC NVDA HD TEVA NIO QCOM BBY
Global S&P Futures are recently up 5.25 from previous day. Nikkei 225 up 0.2%, DAX up 0.4%, WTI Crude oil is recently at $58.45, natural gas down 0.1%, gold at $1465 an ounce