Pre-Market IV Report August 15, 2019

Pre-Market IV Report August 15, 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: CSCO BAC GS NVDA SHOP ROKU PCG KR BBAR ACB AUY CLDR JCP IQ LULU MDR SWN TLT

Options expected to have increasing volume: WMT BABA NVDA CSIQ DE AMAT PVTL VMW CGS VIPS A CSCO

The “FANG’ stocks August option implied volatility moves up

Facebook (FB) August call option implied volatility is at 43, September is at 33; compared to its 52-week range of 23 to 53.

Amazon (AMZN) August call option implied volatility is at 37, September is at 30; compared to its 52-week range of 20 to 54.

Netflix (NFLX) August call option implied volatility is at 48, September is at 39; compared to its 52-week range of 29 to 75.

Alphabet (GOOG) August call option implied volatility is at 26, September is at 24; compared to its 52-week range of 17 to 40.

Apple (AAPL) August call option implied volatility is at 40, September is at 31; compared to its 52-week range of 16 to 46.

Money Center August option implied volatility is higher, September slightly higher

Citi (C) August call option implied volatility is at 45, September is at 32; compared to its 52-week range of 17 to 55.

Goldman Sachs (GS) August call option implied volatility is at 42, September is at 31; compared to its 52-week range of 16 to 50.

JPMorgan (JPM) August call option implied volatility is at 37, September is at 30; compared to its 52-week range of 15 to 41.

Morgan Stanley (MS) August call option implied volatility is at 42, September is at 34; compared to its 52-week range of 19 to 50.

U.S. Bancorp (USB) August call option implied volatility is at 32, September is at 27; compared to its 52-week range of 13 to 36.

Wells Fargo (WFC) August call option implied volatility is at 35, September is at 29; compared to its 52-week range of 16 to 44.

PNC Financial Services (PNC) August call option implied volatility is at 36, September is at 28; compared to its 52-week range of 16 to 43.

Bank of America (BAC) August call option implied volatility is at 45, September is at 35; compared to its 52-week range of 17 to 47.

Financial Select Sector SPDR ETF (XLF) August call option implied volatility is at 30, September is at 24; compared to its 52-week range 13 to 34.

Straddle prices for stocks expected to report quarterly results this week

J.C. Penney Company, Holding Company (JCP) August 0.50 straddle priced for a move of 31% into the expected release of quarterly results today before the bell

NVIDIA (NVDA) August 150 straddle priced for a move of 8% into the expected release of quarterly results today after the bell

Tapestry (TPR) August 25 straddle priced for a move of 10.5% into the expected release of quarterly results today before the bell

Walmart (WMT) August 106 straddle priced for a move of 4.5% into the expected release of quarterly results today

Alibaba (BABA) August 162.50 straddle priced for a move of 6% into the expected release of quarterly results today

Applied Materials (AMAT) August 47 straddle priced for a move of 5.5% into the expected release of quarterly results today

Deere (DE) August 143 straddle priced for a move of 6.5% into the expected release of quarterly results before the bell on August 16

Pivotal (PVTL) August call option implied volatility is at 40, September is at 80; compared to its 52-week range of 44 to 130 into confirms talks with VMware (VMW) regarding possible business combination. Call put ratio was 1 call to 40 puts with focus on September 6 puts.

VMware (VMW) August call option implied volatility is at 53, September is at 43; compared to its 52-week range of 23 to 53 into Pivotal (PVTL) confirms talks with VMware regarding possible business combination.

Historically, yield curve inversions have been reliable early indicators of a recession.

S&P 500 Index implied volatility rose

WTI Crude Oil prices declined about 3.5% but volatility remained steady

10-Year Treasury implied volatility rose

Options with decreasing option implied volatility: GGAL DXC COMM DDD CVNA
Increasing unusual option volume: FCOS HSC GEL ELAN MU REAL SWCH ECA
Increasing unusual call option volume: SWCH EAT ADS XON EUO SRDX NVAX
Increasing unusual put option volume: ELAN FOCS HSC INFY MUR CPE PVTL
Popular stocks with increasing unusual volume: JD BIDU TEVA
Active options: BAC AAPL FB BABA MSFT TSLA CSCO NFLX AMZN M ECA GE C BIDU JD DIS NVDA TEVA JPM