Pre-Market IV Report November 30, 2018

Pre-Market IV Report November 30, 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: PACB PTI BBD ARNC DB LVS KKR SWK RIG NLSN HPQ IQ JNPR NLY DVMT FOXA ATHN AKRX

Options expected to have increasing volume: MAR HLT PVH DLTR DG WDAY AMBA SPLK PANW T GME VMW DVMT

S&P Dep Receipts (SPY) option implied volatility flat into G20 and OPEC

S&P Dep Receipts (SPY) November weekly call option implied volatility is at 16, December and January is at 17; compared to its 52-week range of 7 to 35 into G20 meeting and OPEC meeting on December 6.

Marriott (MAR) November weekly call option implied volatility is at 24, December is at 25; compared to its 52-week range of 18 to 40 into says Starwood database was breached.

Amgen (AMGN) December weekly call option implied volatility is at 23, December is at 22; compared to its 26-week range of 16 to 37 into host an investor meeting to discuss the data presented at the American Society of Hematology (ASH) Annual Meeting on December 3.

Twitter (TWTR) November weekly call option implied volatility is at 58, December is at 51; compared to its 52-week range of 33 to 92. Call put ratio 3.4 calls to 1 put with focus on January 70 calls.

Straddle prices for stocks expected to report results next week
Ascena Retail Group (ASNA) December 3 straddle priced for move of 20% into the expected release of EPS on December 3
Lands End (LE) December 20 straddle priced for move of 14% into the expected release of EPS before the open on December 3
AutoZone (AZO) December weekly 825 straddle priced for move of 12% into the expected release of EPS before the open on December 4
Block H&R (HRB) December 28 straddle priced for move of 9% into the expected release of EPS on December 4
Dollar General (DG) December 111 straddle priced for move of 7% into the expected release of EPS on December 4
HD Supply (HDS) December 40 straddle priced for move of 8% into the expected release of EPS on December 4
Hewlett Packard Enterprises (HPE) December 15 straddle priced for move of 8% into the expected release of EPS on December 4
Marvell Technology (MRVL) December weekly 16 straddle priced for move of 8% into the expected release of EPS after the close on December 4
RH (RH) December weekly 115 straddle priced for move of 12% into the expected release of EPS on December 4
Toll Brothers (TOL) December weekly 34 straddle priced for move of 7% into the expected release of EPS on after the close on December 4
American Eagle (AEO) December weekly 20.50 straddle priced for move of 11% into the expected release of EPS before the open on December 5
Ciena (CIEN) December weekly 32.50 straddle priced for move of 6% into the expected release of EPS before the open on December 5
Conns (CONN) December 27 straddle priced for move of 16% into the expected release of EPS on December 5
Dave & Busters (PLAY) December straddle priced for move of % into the expected release of EPS on December 5
Five Below (FIVE) December straddle priced for move of % into the expected release of EPS after the close on December 5
Luluemon Athletica (LULU) December weekly 129 straddle priced for move of 10% into the expected release of EPS on December 5
National Beverage (FIZZ) December 87 straddle priced for move of 10% into the expected release of EPS on December 5
Increasing unusual option volume: CLNY UHS TRCO PRTA IQV CQP VNTR RIGL JACK
Increasing unusual call option volume: UHS CLNY IQV RES VNTR RIGL FRO TRCO AGIO SHPG JACK BKLN MCD
Increasing unusual put option volume: CLNY PACB PRTA EXPR ERIC DG ANF DECK MXIM AEO LMT LL UNFI
Popular stocks with increasing volume: MCD TWTR ROKU QCOM
Options with decreasing option implied volatility: DLTR ANF BOX RSX ANF EXPR VEEV CHS
Cboe Bitcoin December futures up 45 to 4095