Pre-Market IV Report August 20, 2018

Pre-Market IV Report August 20, 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: AKRX HYG DE LOW GERN BABA DUST JDST NUGT PGN

Options expected to be active: SODA PEP LOW BABA TJX EL SJM KSS TGT GERN TUR KSS

iShares MSCI Turkey ETF (TUR) option implied volatility elevated, Moody’s cuts Turkey to Ba3 from Ba2; Outlook negative

iShares MSCI Turkey ETF (TUR) September call option implied volatility is at 69, November is a 57; compared to its 52-week range of 21 to 78 into Moody’s cuts Turkey to Ba3 from Ba2; Outlook negative.

Turkcell Iletisim Hizmetleri A.s. (TKC) September call option implied volatility is at 102, October is at 95; compared to its 52-week range of 15 to 149 into Moody’s cuts Turkey to Ba3 from Ba2; Outlook negative.

SPDR Gold Trust (GLD) August weekly call option implied volatility is at 12, September is at 11; compared to its 52-week range of 9 to 14 as gold near 18-month lows.

Estee Lauder (EL) August weekly call option implied volatility is at 33, September is at 29; compared to its 52-week range of 17 to 43 into the expected release of EPS on August 20.

Kohl’s Corp. (KSS) August weekly call option implied volatility is at 71, September is at 43; compared to its 52-week range of 30 to 58 into the expected release of EPS on August 22.

Alibaba (BABA) August call option implied volatility is at 47, August weekly is at 61, September is at 40; compared to its 52-week range of 24 to 44 into the expected release of EPS on August 23.

Large cap stock option implied volatility with credit rating at Triple-B

AT&T (T) August weekly call option implied volatility is at 14, September is at 13; compared to its 52-week range of 14 to 30 as credit rating at Triple-B.

United Technologies (UTX) August weekly and September call option implied volatility is at 16; compared to its 52-week range of 13 to 31 as credit rating at Triple-B.

Newell (NWL) September call option implied volatility is at 29, December is at 36; compared to its 52-week range of 19 to 62 as credit rating at Triple-B.

Geron Corp (GERN) August call option implied volatility is at 205, October is at 221; compared to its 52-week range of 61 to 209 into Johnson & Johnson (JNJ) unit Janssen continuation decision.

Straddle prices for stocks expected to report results this week

American Eagle (AEO) August weekly 28 straddle priced for move of 4% into the expected release of EPS before the open on August 21
Coty (COTY) August weekly 12 straddle priced for move of 13% into the expected release of EPS before the open on August 21
J Jill (JILL) September 7.5 straddle priced for move of 24% into the expected release of EPS before the open on August 21
J.M. Smucker (SJM) September 115 straddle priced for move of 9% into the expected release of EPS before the open on August 21
Medtronic (MDT) August weekly 90.50 straddle priced for move of 4% into the expected release of EPS before the open on August 21
Myriad Genetics (MYGN) September 42 straddle priced for move of 12% into the expected release of EPS after the close on August 21
Pure Storage (PSTG) September 22.50 straddle priced for move of 13% into the expected release of EPS after the close on August 21
Red Robin Gourmet Burgers (RRGB) September 40 straddle priced for move of 12% into the expected release of EPS after the close on August 21
Regis (RGS) September 17.50 straddle priced for move of 11% into the expected release of EPS before the open on August 21
TJX Companies (TJX) September 100 straddle priced for move of 6% into the expected release of EPS before the open on August 21
Toll Brother (TOL) August weekly 34.50 straddle priced for move of 7% into the expected release of EPS before the open on August 21
Urban Outfitters (URBN) August weekly 45.50 straddle priced for move of 9.5% into the expected release of EPS after the close on August 21
Analog Devices (ADI) August weekly 94.50 straddle priced for move of 5% into the expected release of EPS before the open on August 22
Burlington Stores (BURL) August weekly 165 straddle priced for move of 5% into the expected release of EPS before the open on August 22

Active options: AAPL TSLA BABA FB NVDA AMZN AMD MU BAC NFLX AMAT GE WMT MSFT JD T CSCO INTC BIDU VZ
Increasing unusual option volume: SHY BREW AU IT PAGP XOG
Increasing unusual call option volume: BREW PLD PAGP XOG BOOT SNE

Increasing unusual put option volume: AU SHY ZN FRO DXJ
Popular stocks with increasing unusual option volume: WMT VZ T ZOES
Options with decreasing option implied volatility: EBAY YELP FB
Cboe Bitcoin August futures down 62 to 6410