Pre-Market IV Report August 10, 2018

Pre-Market IV Report August 10, 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: JCP VIPS CPB HD UVXY DBX ESRX CI EWZ

Options expected to be active: TSLA OLED DBX TKC TUR OSTK CPB

iShares MSCI Turkey ETF (TUR) August call option implied volatility is at 60, September is a 51; compared to its 52-week range of 21 to 46 as Turkish lira plunges as crisis mounts. Call put ratio 1 call to 2 puts.

Turkcell Iletisim Hizmetleri A.s. (TKC) August call option implied volatility is at 110, September is at 60; compared to its 52-week range of 15 to 149. Call put ratio 1 call to 7.9 puts.

JPMorgan (JPM) August weekly call option implied volatility is at 16, August and September is at 15; compared to its 52-week range 15 to 35 into headlines the ECB is concerned about EU bank exposure to borrowers in Turkey.

Citigroup (C) August weekly call option implied volatility is at 18, August and September is at 15; compared to its 52-week range of 16 to 32 into headlines the ECB is concerned about EU bank exposure to borrowers in Turkey.

Market Vectors Russia ETF Trust (RSX) August weekly call option implied volatility is at 25, August and September is at 24; compared to its 52-week range of 16 to 37. Call put ratio 1 call to 31 puts.

Straddle prices for stocks expected to report results the week of August 13

Sysco (SYY) August 70 straddle priced for move of 3.2% into the expected release of EPS before the open on August 13
Canadian Solar (CSIQ) August 14.50 straddle priced for move of 7.5% into the expected release of EPS before the open on August 14
Tapestry (TPR) August 47.50 straddle priced for move of 9% into the expected release of EPS before the open on August 14
Agilent (A) August 67.50 straddle priced for move of 5% into the expected release of EPS after the close on August 14
Asure Software (ASUR) August 15 straddle priced for move of 10% into the expected release of EPS before the open on August 14
L Brands (LB) August 31.50 straddle priced for move of 4.6% into the expected release of EPS after the close on August 14
Cisco (CSCO) August 44 straddle priced for move of 4.2% into the expected release of EPS after the close on August 15
Macy’s (M) August 40.50 straddle priced for move of 10% into the expected release of EPS before the open on August 15
NetApp (NTAP) August weekly straddle priced for move of % into the expected release of EPS after the close on August 15
Applied Materials (AMAT) August weekly straddle priced for move of % into the expected release of EPS after the close on August 15
J.C. Penny (JCP) August weekly 2.50 straddle priced for move of 8% into the expected release of EPS before the open on August 16
Madison Square Garden (MSG) August 320 straddle priced for move of 4.3% into the expected release of EPS before the open on August 16
Nordstrom (JWN) August 52.50 straddle priced for move of 7% into the expected release of EPS after the close on August 16
NVIDIA (NVDA) August 257.50 straddle priced for move of 6.2% into the expected release of EPS after the close on August 16
Walmart (WMT) August 89 straddle priced for move of 5.2% into the expected release of EPS before the open on August 16
Deere (DE) August 140 straddle priced for move of 4% into the expected release of EPS before the open on August 17
Foot Locker (FL) August 48 straddle priced for move of 4% into the expected release of EPS before the open on August 17

Increasing unusual option volume: TRUE KOS DEPO TRI PEGI CARG WIN YELP
Increasing unusual call option volume: DBD DEPO YELP TRI MIC YELP SSYS WIN
Popular stocks with increasing unusual option volume: VIPS BIDU DBX ROKU SNAP YELP
Options with decreasing option implied volatility: FB TWTR DDD YELP NKE
Cboe Bitcoin August futures down 17 to 6460