Pre-Market IV Report August 2, 2019

Pre-Market IV Report August 2, 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: BBBY BBY TIF TPR WMT APHA PINS LYFT PAAS CNX TEVA RRC SWN ANF DLTR ADSK BURL TIF ULTA DG CRM GPRO

Options expected to have increasing volume: NTAP BBY WMT HD LOW JWN SQ PINS X GPRO CVX XOM

Option implied volatility increases. Stocks and groups of stocks with movement

JPMorgan (JPM) 30-day option implied volatility is at 20; compared to its 52-week range of 15 to 40 into July employment report
Bank of America (BAC) 30-day option implied volatility is at 24; compared to its 52-week range of 16 to 47
Citi (C) 30-day option implied volatility is at 24; compared to its 52-week range of 16 to 55

Market Vectors Gold Miners ETF (GDX) August weekly call option implied volatility is at 51, August is at 30; compared to its 52-week range of 18 to 35. Call put ratio 2.2 calls to 1 put.

United States Oil Fund (USO) August weekly call option implied volatility is a 45, August is at 36; compared to its 52-week range of 22 to 62 into FOMC policy meeting and decision. Call put ratio 1 call to 3.6 puts.

iShares Russell 2000 ETF (RUT) August weekly call option implied volatility is at 27 August is at 20; compared to its 52-week range of 12 to 34 into FOMC policy meeting. Call put ratio 1 call to 2.4 puts.

iShares Russell 2000 ETF (IWM) August weekly call option implied volatility is at 25, August is at 20; compared to its 52-week range of 12 to 34.

S&P Dep Receipts (SPY) August weekly call option implied volatility is at 23, August is at 17; compared to its 52-week range of 9 to 32. Call put ratio 1 call to 1.7 puts.

PowerShares QQQ Trust (QQQ) August weekly call option implied volatility is at 28, August is at 21; compared to its 52-week range of 13 to 36. Call put ratio 1 call to 2.2 put.

Apple (AAPL) August weekly call option implied volatility is at 35, August is at 29; compared to its 52-week range of 16 to 46.

Straddle prices for stocks expected to report quarterly results next week

Avis Budget (CAR) August 34 straddle priced for a move of 8% into the expected release of quarterly results on August 5.
Caesars (CZR) August weekly 12 straddle priced for a move of 5.5% into the expected release of quarterly results after the bell on August 5.
Continental Resources (CLR) August weekly 34 straddle priced for a move of 8.5% into the expected release of quarterly results after the bell on August 5.
Loews (L) August 50 straddle priced for a move of 6% into the expected release of quarterly results before the bell on August 5.
Marriott (MAR) August weekly 137 straddle priced for a move of 4.5% into the expected release of quarterly results on August 5.
Shake Shack (SHAK) August weekly 75 straddle priced for a move of 8% into the expected release of quarterly results after the bell on August 5.
Take-Two Interactive (TTWO) August weekly 122 straddle priced for a move of 8% into the expected release of quarterly results on August 5.
Tenet Healthcare (THC) August weekly 23 straddle priced for a move of 14% into the expected release of quarterly results after the bell on August 5.
Tyson (TSN) August weekly 80 straddle priced for a move of 5.5% into the expected release of quarterly results before the bell on August 5.
ADT (ADT) August 6 straddle priced for a move of 8% into the expected release of quarterly results after the bell on August 6
Becton Dickinson (BDX) August weekly 252.50 straddle priced for a move of 3.5% into the expected release of quarterly results before the bell on August 6
Chesapeake Energy (CHK) August weekly 1.5 straddle priced for a move of 18% into the expected release of quarterly results before the bell on August 6
Devon Energy (DVN) August weekly 25 straddle priced for a move of 8% into the expected release of quarterly results after the bell on August 6
Energizer Holding (ENR) August 40 straddle priced for a move of 8.5% into the expected release of quarterly results before the bell on August 6
Expeditors (EXPD) August 70 straddle priced for a move of 7.5% into the expected release of quarterly results before the bell on August 6
Gannett (GCI) August 10 straddle priced for a move of 11% into the expected release of quarterly results before the bell on August 6
Hertz (HTZ) August weekly 15 straddle priced for a move of 16.5 % into the expected release of quarterly results after the bell on August 6
Match (MTCH) August 75 straddle priced for a move of 11% into the expected release of quarterly results after the bell on August 6
Microchip (MCHP) August weekly 91.50 straddle priced for a move of 8% into the expected release of quarterly results on August 6
Mosaic (MOS) August weekly 25 straddle priced for a move of 5.5% into the expected release of quarterly results on August 6
Nu Skin (NUS) August weekly 40 straddle priced for a move of 11% into the expected release of quarterly results after the bell on August 6
Papa Johns (PZZA) August weekly 44 straddle priced for a move of 8% into the expected release of quarterly results after the bell on August 6
Planet Fittness (PLNT) August weekly 77.50 straddle priced for a move of 8% into the expected release of quarterly results after the bell on August 6
Walt Disney (DIS) August weekly 142 straddle priced for a move of 3.5% into the expected release of quarterly results after the bell on August 6
Weight Watchers (WW) August weekly 21.5 straddle priced for a move of 14.5% into the expected release of quarterly results after the bell on August 6
Zoetis (ZTS) August weekly 116 straddle priced for a move of 3.5% into the expected release of quarterly results before the bell on August 6
Lyft (LYFT) August weekly 60 straddle priced for a move of 10% into the expected release of quarterly results after the bell on August 7
Roku (ROKU) August weekly 101 straddle priced for a move of 16% into the expected release of quarterly results after the bell on August 7
Teva (TEVA) August weekly 8 straddle priced for a move of 12.5 % into the expected release of quarterly results on August 7

Trump Tariff impact on retailers

SPDR S&P Retail ETF (XRT) 30-day option implied volatility is at 24; compared to its 52-week range of 17 to 38.
Tapestry (TPR) 30-day option implied volatility is at 48; compared to its 52-week range 20 to 59
Tiffany (TIF) 30-day option implied volatility is at 39; compared to its 52-week range 21 to 51
Capri Holdings (CPRI) 30-day option implied volatility is at 64; compared to its 52-week range 24 to 69
Best Buy (BBY) 30-day option implied volatility is at 44; compared to its 52-week range of 23 to 57
Walmart (WMT) 30-day option implied volatility is at ; compared to its 52-week range
Target (TGT) 30-day option implied volatility is at 26; compared to its 52-week range of 14 to 30
Kohls (KSS) 30-day option implied volatility is at 48; compared to its 52-week range of 27 to 58
Macy (M) 30-day option implied volatility is at 52; compared to its 52-week range of 30 to 60
Nordstrom (JWN) 30-day option implied volatility is at 58; compared to its 52-week range 27 to 58
AutoZone (AZ0) 30-day option implied volatility is at 24; compared to its 52-week range of 20 to 37
J.C.Penney (JCP) 30-day option implied volatility is at 140; compared to its 52-week range 64 to 179
Home Depot (HD) 30-day option implied volatility is at 25; compared to its 52-week range of 14 to 38
TJX (TJX) 30-day option implied volatility is at 24; compared to its 52-week range of 16 to 38
Burlington Stores (BURL) 30-day option implied volatility is at 42; compared to its 52-week range of 23 to 51
Costco (COST) 30-day option implied volatility is at 20; compared to its 52-week range 14 to 33
Dollar Tree (DLTR) 30-day option implied volatility is at 40; compared to its 52-week range of 19 to 49
Dollar General (DG) 30-day option implied volatility is at 30; compared to its 52-week range of 15 to 40
Express (EXPR) 30-day option implied volatility is at 72; compared to its 52-week range of 42 to 93
Gap (GPS) 30-day option implied volatility is at 56; compared to its 52-week range of 28 to 60
Abercrombie & Fitch (NYSE: ANF) 30-day option implied volatility is at 70; compared to its 52-week range of 38 to 89
Columbia Sportswear (NASDAQ: COLM) 30-day option implied volatility is at 26; compared to its 52-week range of 20 to 41
Nike (NKE) 30-day option implied volatility is at 25; compared to its 52-week range of 17 to 46
Skechers (SKX) 30-day option implied volatility is at 37; compared to its 52-week range of 28 to 77
Under Armour (UA) 30-day option implied volatility is at 37; compared to its 52-week range of 31 to 73
Bed Bath & Beyond (BBBY) 30-day option implied volatility is at 60; compared to its 52-week range of 32 to 99

Options with decreasing option implied volatility: BYND MYL FLEX FEYE MDR CAG CXO ABBV ALGN
Increasing unusual option volume: GGB CXO HSC WEX AMN VAL PAAS MGNX STAA PS SCHW
Increasing unusual call option volume: GGB DF MIK MGNX PAAS CXO SKT PS TWOU IGT
Increasing unusual put option volume: CXO HSC GGB
Popular stocks with increasing unusual volume: SQ S BYND SCHW
Active options: AAPL AMD MSFT BAC FB BYND BABA TSLA AMZN QCOM MU NFLX SCHW GE TWTR GGB NVDA SQ S SNAP