Pre-Market IV Report August 13, 2018

Pre-Market IV Report August 13, 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: TUR GME TLRD RH PCG PLAY PANW RSX TKC CSCO

Options expected to be active: SYY CSCO DE KHC HOG TUR TKC CREE VFC NLSN

iShares MSCI Turkey ETF (TUR) August call option implied volatility is at 94, September is a 68; compared to its 52-week range of 21 to 46. Call put ratio 1 call to 1.9 puts amid Turkish crisis.

Turkcell Iletisim Hizmetleri A.s. (TKC) August call option implied volatility is at 110, September is at 79; compared to its 52-week range of 15 to 149. Call put ratio 1 call to 2.45 puts.

Ishares Msci Emerging Markets Etf (EEM) August option implied volatility is at 21, September is at 18; compared to its 52-week range of 12 to 28. Call put ratio 1 call to 3 puts.

Ishares Msci Eafe Etf (EFA) August call option implied volatility is at 13, September is at 12; compared to its 52-week range of 7 to 27. Call put ratio 1 call to 1.4 puts.

Market Vectors Russia ETF Trust (RSX) August call option implied volatility is at 28, September is at 25; compared to its 52-week range of 16 to 37. Call put ratio 1 call to 1.2 puts.

Yandex (YNDX) August call option implied volatility is at 37, August is at 38; compared to its 52-week range of 30 to 62. Call put ratio 1.75 calls to 1 put.

Tesla (TSLA) August call option implied volatility is at 55, September is at 51; compared to its 52-week range of 32 to 71. Call put ratio 1.24 calls to 1 put.

VF Corp. (VFC) August call option implied volatility is at 24, September is at 20; compared to its 52-week range of 17 to 37 into announces intention to split into two publicly traded companies. Call put ratio 3.9 calls to 1 put.

Nielsen Holdings (NLSN) August call option implied volatility is at 30, September is at 32; compared to its 52-week range of 21 to 44 into activist investor Elliott Management Corp. has taken a stake and plans to push the TV-ratings company to sell itself, WSJ reports. Call put ratio1 call to 6.3 puts.

Harley-Davidson (HOG) August and September call option implied volatility is at 25; compared to its 52-week range of 22 to 50 into President Trump backs a boycott.

Canadian Solar (CSIQ) August call option implied volatility is at 68, September is at 45; compared to its 52-week range of 29 to 77 into the expected release of EPS today. Call put ratio 1.5 calls to 1 put into EPS.

Sysco (SYY) August call option implied volatility is at 39, September is at 20; compared to its 52-week range of 14 to 25 into the expected release of EPS today.

Tapestry (TPR) August call option implied volatility is at 73, September is at 36; compared to its 52-week range of 20 to 48 into the expected release of EPS today. Call put ratio 1 call to 2 puts.

Vipshop Holdings (VIPS) August call option implied volatility is at 87, September is at 49; compared to its 52-week range of 39 to 100 into the expected release of EPS today.

Cree (CREE) August call option implied volatility is at 83, September is at 44; compared to its 52-week range of 26 to 71 into the expected release of EPS after the close on August 14.

Home Depot (HD) August call option implied volatility is at 37, August is at 22; compared to its 52-week range of 13 to 40 into the expected release of EPS before the open on August 14. Call put ratio 1.83 calls to 1 put.

Straddle prices for stocks expected to report results this week
Vipshop Holdings (VIPS) August straddle priced for move of 10% into the expected release of EPS today
Cree (CREE) August straddle priced for move of 9% into the expected release of EPS on August 14
Tapestry (TPR) August 48 straddle priced for move of 8.4% into the expected release of EPS before the open on August 14
L Brands (LB) August 31.50 straddle priced for move of 4.2% into the expected release of EPS after the close on August 14
Home Depot (HD) August 196.50 straddle priced for move of 4.5% into the expected release of EPS before the open 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 straddle priced for move of 10% into the expected release of EPS before the open on August 15
NetApp (NTAP) August 82 straddle priced for move of 7.5% into the expected release of EPS after the close on August 15
Applied Materials (AMAT) August 48 straddle priced for move of 5.2% into the expected release of EPS after the close on August 15
J.C. Penny (JCP) August 2.50 straddle priced for move of 15% into the expected release of EPS before the open on August 16
Nordstrom (JWN) August 52.50 straddle priced for move of 7.5% into the expected release of EPS after the close on August 16
NVIDIA (NVDA) August 255 straddle priced for move of 6.3% into the expected release of EPS after the close on August 16
Walmart (WMT) August 90 straddle priced for move of 4.5% into the expected release of EPS before the open on August 16
Deere (DE) August 137 straddle priced for move of 5.6% into the expected release of EPS before the open on August 17

Increasing unusual option volume: COL XENT TRUE OMF VSAT RDNT
Increasing unusual call option volume: TUR MCHP MFIN CHGG ATHN WP DBD
Increasing unusual put option volume: COL OMF LOGM NYT OSTK SYY ADT MCHP
Popular stocks with increasing unusual option volume: DBX AABA EA ROKU F
Options with decreasing option implied volatility: SNAP HEAR MNK ETSY FOSL GDS
Cboe Bitcoin August futures up 83 to 6460