Pre-Market IV Report August 14, 2018

Pre-Market IV Report August 14, 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 TPR HD LOW DBD NLSN TUR EWZ

Options expected to be active: HD TPR CSCO TUR TKC CI ESRX VIPS SWCH

iShares MSCI Turkey ETF (TUR) option implied volatility elevated on Turkish Lira crisis

iShares MSCI Turkey ETF (TUR) August call option implied volatility is at 124, September is a 79; compared to its 52-week range of 21 to 79. Call put ratio 1 call to 1.4 puts.

Turkcell Iletisim Hizmetleri A.s. (TKC) August call option implied volatility is at 150, September is at 89; compared to its 52-week range of 15 to 149. Call put ratio 5.2 call to 1 puts.

Ishares Msci Emerging Markets Etf (EEM) August option implied volatility is at 24, September is at 19; compared to its 52-week range of 12 to 28. Call put ratio 1 call to 6 puts.

Market Vectors Russia ETF Trust (RSX) August call option implied volatility is at 37, September is at 25; compared to its 52-week range of 16 to 37. Call put ratio 1 call to 1.9 puts.

Tesla (TSLA) August call option implied volatility is at 55, September is at 50; compared to its 52-week range of 32 to 71. Call put ratio 1.39 calls to 1 put.

JPMorgan (JPM) August weekly call option implied volatility is at 21, September is at 18; compared to its 52-week range 15 to 35 as Turkish Lira trends lower.

Citigroup (C) August call option implied volatility is at 23, September is at 19; compared to its 52-week range of 16 to 32 as Turkish Lira trends lower.

Bank of America (BAC) August call option implied volatility is at 24, September is at 20; compared to its 52-week range of 16 to 33 as Turkish Lira trends lower.

Goldman Sachs (GS) August call option implied volatility is at 22, September is at 19; compared to its 52-week range of 15 to 33 as Turkish Lira trends lower.

Morgan Stanley (b) August call option implied volatility is at 27, September is at 22; compared to its 52-week range of 18 to 34 as Turkish Lira trends lower.

Cisco (CSCO) August call option implied volatility is at 54, September is at 24; compared to its 52-week range of 14 to 38 into the expected release of EPS today after the close.

Straddle prices for stocks expected to report results this week
Tapestry (TPR) August 48 straddle priced for move of 9.5% into the expected release of EPS today before the open
Agilent (A) August 65 straddle priced for move of 5% into the expected release of EPS today after the close
L Brands (LB) August 31 straddle priced for move of 3.8% into the expected release of EPS today after the close
Cree (CREE) August 50 straddle priced for move of 10% into the expected release of EPS today
Cisco (CSCO) August 44 straddle priced for move of 4.7% into the expected release of EPS after the close on August 15
Macy’s (M) August 40 straddle priced for move of 9.5% into the expected release of EPS before the open on August 15
NetApp (NTAP) August 80 straddle priced for move of 7.2% into the expected release of EPS after the close on August 15
Applied Materials (AMAT) August 48 straddle priced for move of 5.5% into the expected release of EPS after the close on August 1
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 7.2% into the expected release of EPS after the close on August 16
JD (JD) August 35 straddle priced for move of 5.7% into the expected release of EPS after the close on August 16
NVIDIA (NVDA) August 255 straddle priced for move of 6.2% into the expected release of EPS after the close on August 16
Walmart (WMT) August 89.50 straddle priced for move of 4.1% into the expected release of EPS before the open on August 16
Deere (DE) August 137 straddle priced for move of 5% into the expected release of EPS before the open on August 17
Home Depot (HD) August 194 straddle was priced for move of 4.5% into raises full year guidance, shares are currently up 2.55% to $199.16.

Increasing unusual option volume: NLSN BBVA CDNS EPI ATRS TIS SWSH
Increasing unusual call option volume: NLSN CDNS DBD SWCH ATRS VIAV TUR
Increasing unusual put option volume: EPI SUPN EAT RLGY PAGS TIS GALT
Popular stocks with increasing unusual option volume: JD HD GM SQ ROKU
Options with decreasing option implied volatility: TWTR YELP TTD NLSN FB
Cboe Bitcoin August futures down 245 to 5990