Pre-Market IV Report August 12, 2019

Pre-Market IV Report August 12, 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: CLDR LULU IQ TGT WMT MDCO SIG YPF PANW DELL NUGT SLV GDXJ MDR

Options expected to have increasing volume: SYY AAP JD TLRY CSCO CGC BABA AMAT NVDA AAL UAL DAL HLT MAR AMGN

Option implied volatility for stocks impacted by Hong Kong airport suspending flights today

Delta (DAL) August call option implied volatility is at 27, September is at 28; compared to its 52-week range of 21 to 46 into Hong Kong airport suspending flights today.

American Airlines (AAL) August call option implied volatility is at 37, September is at 38; compared to its 52-week range of 28 to 65.

United Airlines (UAL) August call option implied volatility is at 28, September is at 27; compared to its 52-week range of 22 to 48.

Tapestry (TPR) August call option implied volatility is at 79, September is at 44; compared to its 52-week range of 19 to 59 into the expected release of quarterly results before the bell on August 15 and Hong Kong airport suspending flights today.

Tiffany (TIF) August call option implied volatility is at 30, September is at 36; compared to its 52-week range of 21 to 51.

Capri (CPRI) August call option implied volatility is at 38, September is at 27; compared to its 52-week range of 24 to 69.

Straddle prices for stocks expected to report quarterly results this week

Sysco (SYY) August 70 straddle priced for a move of 5% into the expected release of quarterly results today before the bell.
58.com (WUBA) August 55 straddle priced for a move of 8% into the expected release of quarterly results after the bell on August 13
Advance Auto Parts (AAP) August 145 straddle priced for a move of 7% into the expected release of quarterly results before the bell on August 13
Avaya (AVYA) August 12.50 straddle priced for a move of 18% into the expected release of quarterly results on August 13
Tilray (TLRY) August 43 straddle priced for a move of 11% into the expected release of quarterly results on August 13
JD.com (JD) August 27 straddle priced for a move of 7% into the expected release of quarterly results on August 13
Riot Blockchain (RIOT) August 2 straddle priced for a move of 20% into the expected release of quarterly results after the bell on August 13
Agilent (A) August 70 straddle priced for a move of 6.5% into the expected release of quarterly results after the bell on August 14
Canadian Goose (GOOS) August 43 straddle priced for a move of 14.5% into the expected release of quarterly results on August 14
Canopy Growth (CGC) August 33 straddle priced for a move of 10% into the expected release of quarterly results on August 14
Cisco (CSCO) August 52.50 straddle priced for a move of 5% into the expected release of quarterly results after the bell on August 14
Dillards (DDS) August 61.50 straddle priced for a move of 14% into the expected release of quarterly results before the bell on August 14
Luckin Coffee (LK) August 26 straddle priced for a move of 16% into the expected release of quarterly results before the bell on August 14
Macys (M) August 19.50 straddle priced for a move of 9% into the expected release of quarterly results before the bell on August 14
NetApp (NTAP) August 46.50 straddle priced for a move of 6% into the expected release of quarterly results after the bell on August 14
Canadian Solar (CSIQ) August 22.50 straddle priced for a move of 12% into the expected release of quarterly results before the bell on August 15
J.C. Penney Company, Holding Company (JCP) August 0.50 straddle priced for a move of 30% into the expected release of quarterly results before the bell on August 15
NVIDIA (NVDA) August 155 straddle priced for a move of 7.5% into the expected release of quarterly results after the bell on August 15
Tapestry (TPR) August 27.50 straddle priced for a move of 9.5% into the expected release of quarterly results before the bell on August 15
Walmart (WMT) August 107 straddle priced for a move of 4% into the expected release of quarterly results before the bell on August 15
Alibaba (BABA) August 160 straddle priced for a move of 5.5% into the expected release of quarterly results before the bell on August 165
Applied Materials (AMAT) August 47 straddle priced for a move of 5.5% into the expected release of quarterly results on August 15
Deere (DE) August 155 straddle priced for a move of 5.5% into the expected release of quarterly results before the bell on August 16

Viacom (VIAB) August call option implied volatility is at 34, September is at 27; compared to its 52-week range of 22 to 47 amid recent reports of merger talks with CBS (CBS)

CBS (CBS) August call option implied volatility is at 25, September is at 24; compared to its 52-week range of 21 to 41 amid recent reports of merger talks with Viacom.

Elanco Animal Health (ELAN) August call option implied volatility is at 52, September is at 34; compared to its 52-week range of 31 to 54 into the expected release of quarterly results on August 13 and amid recent M&A reports.

Magellan Health (MGLN) August call option implied volatility is at 33, September is at 34; compared to its 52-week range of 21 to 64 amid recent reports of merger talks.

PDC Energy (PDCE) August call option implied volatility is at 40, September is at 52; compared to its 52-week range of 37 to 116 amid recent reports of merger talks.

Sotheby’s (BID) overall option implied volatility is at 1; compared to its 52-week range of 1 to 50 amid recent rumors of a higher bidder could emerge after an updated proxy showed that the company’s largest shareholder, Taikang, was seeking legal clarification on a higher bid.

Avaya (AVYA) August call option implied volatility is at 110, September is at 57; compared to its 52-week range of 33 to 115 into the expected release of quarterly results on August 13 and amid recent M&A reports.

General Electric (GE) August call option implied volatility is at 37, September is at 35; compared to its 52-week range of 23 to 72. Call put ratio 1.7 calls to 1 put with focus on January 15 calls.

Options with decreasing option implied volatility: GOOG SHAK MTCH WW SYMC STMP COMM HIIQ RVLV ROKU WW LL YELP TTD DDD
Increasing unusual option volume: OCN VRAY ANGI GDOT KODK BTU CISN AGN
Increasing unusual call option volume: VRAY ANGI KODK AGN ELAN SONO GPK GDOT CBLK SNSS
Increasing unusual put option volume: VRAY GOGO HUBS PS BEN ADVM FNV AXTA BRKR
Popular stocks with increasing unusual volume: AMGN AMRN DIS UBER GE
Active options: AMD AAPL MSFT BAC AMZN NFLX TSLA FB UBER ROKU AGN GE MU SNAP NVDA AMRN BABA DIS BYND T