Pre-Market IV Report November 5, 2019

Pre-Market IV Report November 5, 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: AMRN MDR I TGT S SPCE UBER M APA MDR AXSM UNIT COMM KRE AXSM WMGI MAR SHAK DIS YELP KR TEVA CHK

Options expected to have increasing volume: MCD WMGI PINS UAA UA MAR YELP SYY MOS OXY ADBE

S&P Dep Receipts (SPY) and PowerShares QQQ Trust (QQQ) option implied volatility ticked up, even with the rally in prices. Typically, IV decreases when stock prices rise. Hedgers and traders could be buying protection at low IV levels since index IV is near 3-month lows as indexes are near record highs.

Financial Select Sector SPDR ETF (XLF) November weekly call option implied volatility is at 15, November is at 13, December is at 15, January is at 15; compared to its 52-week range of 13 to 35 into October employment report. Call put ratio 1.9 calls to 1 put.

Beyond Meat (BYND) November weekly and November call option implied volatility is at 63, November is at 55, December is at 52; compared to its 23-week range of 50 to 141 as shares close below $80.

Kroger (KR) November weekly call option implied volatility is at 48, November is at 35, December is at 33; compared to its 52-week range of 22 to 57 into an investor conference today.

Resource company option implied volatility and copper prices at low end of range

Freeport-McMoran (FCX) November weekly, November and December call option implied volatility is at 37; compared to its 52-week range of 35 to 66.
Southern Copper (SCCO) November call option implied volatility is at 25, December is at 26; compared to its 52-week range of 27 to 59.
Vale S.A. (VALE) November weekly call option implied volatility is at 32, November and December is at 31; compared to its 52-week range of 31 to 58 as copper near a two-year low.
Rio Tinto plc (RIO) November call option implied volatility is at 24, December is at 23; compared to its 52-week range of 22 to 39.
BHP Billiton Ltd. (BHP) November call option implied volatility is at 23, December is at 22; compared to its 52-week range of 21 to 53.

Straddle prices for stocks expected to report quarterly results this week

Allergan (AGN) November weekly 180 straddle priced for a move of 3.5% into the expected release of financial results today before the bell

Amarin (AMRN) November weekly 17.5 straddle priced for a move of 8.5% into the expected release of financial results today before the bell

Autohome (ATHM) November 90 straddle priced for a move of 9.5% into the expected release of financial results today before the bell

Chesapeake (CHK) November weekly 1.5 straddle priced for a move of 21% into the expected release of financial results today before the bell

DaVita (DVA) November weekly 60.50 straddle priced for a move of 6% into the expected release of financial results today after the bell

Expeditors (EXPD) November 75 straddle priced for a move of 6.5% into the expected release of financial results today before the bell

Red Robin Gourmet Burgers (RRGB) November 30 straddle priced for a move of 12% into the expected release of financial results today after the bell

Tapestry (TPR) November weekly 26.50 straddle priced for a move of 12% into the expected release of financial results today before the bell

Wynn Resort (WYNN) November weekly 127 straddle priced for a move of 7.5% into the expected release of financial results today

Activision Blizzard (ATVI) November weekly 56 straddle priced for a move of 6.5% into the expected release of financial results after the bell November 6

Booking Holdings (BKNG) November weekly 2007 straddle priced for a move of 5% into the expected release of financial results after the bell November 6

Discovery (DISCA) (DISCB) November 27.50 straddle priced for a move of 6% into the expected release of financial results on November 6

GoPro (GPRO) November weekly 4.5 straddle priced for a move of 12.5% into the expected release of financial results after the bell on November 6

Hain Celestial Group (HAIN) November 24 straddle priced for a move of 7% into the expected release of financial results before the bell November 6

Monster Beverage (MNST) November weekly 56 straddle priced for a move of 7% into the expected release of financial results on November 6

Ralph Lauren (RL) November weekly 99 straddle priced for a move of 8% into the expected release of financial results before the bell November 6

Teva (TEVA) November weekly 9 straddle priced for a move of 12.5% into the expected release of financial results on November 6

TreeHouse (THS) November 50 straddle priced for a move of 8% into the expected release of financial results before the bell November 6

Nielsen (NLSN) November 21 straddle priced for a move of 12.5% into the expected release of financial results on November 6

Trade Desk (TTD) November weekly 202.50 straddle priced for a move of 12.5% into the expected release of financial results after the bell on November 6

Walt Disney (DIS) November weekly 133 straddle priced for a move of 3.5% into the expected release of financial results after the bell on November 6

Yelp (YELP) November weekly 34.50 straddle priced for a move of 13% into the expected release of financial results after the bell on November 6

Revlon (REV) November 25 straddle priced for a move of 20% into the expected release of financial results before the bell November 7

YPF Sociedad (YPF) November weekly 10 straddle priced for a move of 10% into the expected release of financial results before the bell November 7

Zillow Group (Z) November weekly 34 straddle priced for a move of 14.50% into the expected release of financial results before the bell November 7

Zoetis (ZTS) November weekly 125 straddle priced for a move of 3% into the expected release of financial results before the bell November 7

Options with decreasing option implied volatility: ANET TIF GRUB FIT WMGI PCG MRTX DDD FLR
Increasing unusual option volume: WBT UA HALO RES WMGI VG SPLV GD MDP
Increasing unusual call option volume: WBT VG MUR HALO RES ITUB UA GD MAR
Increasing unusual put option volume: UA CHGG SPLV UAA GRPN WMGI KTB WIFI
b: NIO PCG T MCD XOM F
Active options: AAPL AMD BABA GE UBER FB BAC TSLA T MCD MSFT NIO AMZN MU PCG NFLX NVDA XOM TWTR F

Global S&P Futures are recently up 6.75 from previous day. Nikkei 225 up 1.7%, DAX up 0.1 %, WTI Crude oil is recently at $56.83, natural gas up 0.6%, gold at $1506 an ounce