Pre-Market IV Report November 28, 2018

Pre-Market IV Report November 28, 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: DLTR X NLY T ANF BMY CTL ACHC W PCG GM BMY WB BKLN LQD EMB HYG ORCL EWW SLV

Options expected to have increasing volume: CRM TSLA NTNX TIF SJM BURL DKS CHS

S&P Dep Receipts (SPY) November weekly call option implied volatility is at 21, December is at 19; compared to its 52-week range of 7 to 35 into auctions, Fed Chairman Jerome Powell address at the Economic Club of New York today, FOMC minutes on November 29, G20 meeting on December 1 and OPEC meeting on December 6.

Abercrombie & Fitch (ANF) November weekly call option implied volatility is at 200, December is at 91; compared to its 52-week range of 42 to 89 into the expected release of EPS before the open on November 29. Call put ratio 2.1 calls to 1 put.

Ambarrella (AMBA) November weekly call option implied volatility is at 170, December is at 77; compared to its 52-week range of 33 to 78 into the expected release of EPS after the market close on November 29.

Palo Alto Network (PANW) November weekly call option implied volatility is at 98, December is at 50; compared to its 52-week range of 22 to 56 into the expected release of EPS on November 29.

Workday (WDAY) November weekly call option implied volatility is at 87, December is at 51; compared to its 52-week range of 27 to 60 into the expected release of EPS after the market close on November 29. Call put ratio 1 call to 2.9 puts.

Noble Energy (NBL) November weekly call option implied volatility is at 41, December 40; compared to its 52-week range of 28 to 68 on wide price movement of oil and natural gas.

Straddle prices for stocks expected to report results this week

Ambarrella (AMBA) November weekly 33 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 82 straddle priced for move of 10% into the expected release of EPS before the open on November 29
Express (EXPR) December 8 straddle priced for move of 15% into the expected release of EPS before the open on November 29
GameStop (GME) November weekly 15 straddle priced for move of 16% into the expected release of EPS before the open on November 29
HP (HPQ) November weekly 23 straddle priced for move of 7% into the expected release of EPS after the market close on November 29
Palo Alto Network (PANW) November weekly 165 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 6.5% into the expected release of EPS after the market close on November 29
Workday (WDAY) November 139 straddle priced for move of 6% into the expected release of EPS after the market close on November 29

Increasing unusual option volume: SABR NVRO R JKS CPRX BAK CMCM THS RBS
Increasing unusual call option volume: R CPRX JKS ING BAK WES CVE FRO CMCM NPLX
Increasing unusual put option volume: NOG FE WTI PGR THS JKS XME WWW PRTA AKS LQD
Popular stocks with increasing volume: CRM AMRN AKS X
Options with decreasing option implied volatility: UNH FOXA DVMT SPWR VRTX CGC ALK UNG UNH NVDA LNG
Cboe Bitcoin December futures up 265 to 3950