Pre-Market IV Report August 23, 2019

Pre-Market IV Report August 23, 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: OSTK VRAY GME FL GPS VMW HIBB GME CRM DVA AABA MLNX ALXN BREW ZIOP BBBY FSLY VMW PCG ORC SRPT HIBB FL

Options expected to have increasing volume: CRM INTU PVTL GPS HPQ VMW CBLK ROST HAS MAT HIBB FL

Market Vectors Gold Miners ETF (GDX) August weekly call option implied volatility is at 33, September is at 29; compared to its 52-week range of 21 to 36. Call put ratio 2.5 calls to 1 put with focus on August weekly calls into US Federal Reserve Chairman Jerome Powell will deliver a speech this morning.

United States Oil Fund (USO) August weekly call option implied volatility is at 34, September is at 32; compared to its 52-week range of 22 to 68. Call put ratio 1 call to 1.3 puts into US Federal Reserve Chairman Jerome Powell will deliver a speech.

Palo Alto Networks (PANW) September weekly call option implied volatility is at 50, September is at 41; compared to its 52-week range of 23 to 56 into the expected release of quarterly results on September 4.

Pivotal Software (PVTL) September call option implied volatility is at 40, October is at 34; compared to its 52-week range of 37 to 129 into being acquired by VMWare (VMW) for $2.7B. Call put ratio 5.4 calls to 1 put with focus on September 14 and March 15 calls.

Carbon Black (CBLK) September call option implied volatility is at 54, October is at 55; compared to its 52-week range of 43 to 111 into being acquired by VMWare (VMW) for an enterprise value of $2.1B. Call put ratio 12.5 calls to 1 put with focus on October 25 and June 30 calls.

VMWare (VMW) August weekly call option implied volatility is at 164, September is at 49; compared to its 52-week range of into reporting quarterly results, acquiring Carbon Black (CBLK) and Pivotal Software (PVTL).

Hasbro (HAS) August weekly call option implied volatility is at 28, September is at 26; compared to its 52-week range of 18 to 45 into buying Entertainment One for $4B.

Edwards Lifesciences (EW) August weekly call option implied volatility is at 35, September is at 24; compared to its 52-week range of 21 to 46. Call put ratio 1 call to 4.4 puts with focus on August weekly 212.50 and 215 puts

Alexion Pharma (ALXN) August weekly call option implied volatility is at 48, September is at 51; compared to its 52-week range of 27 to 60. Call put ratio 5 calls to 1 put with focus on August weekly 117 calls.

National Beverage (FIZZ) September call option implied volatility is at 63, October is at 53; compared to its 52-week range of 33 to 69. Call put ratio 1 call to 8.4 puts with focus on September 40 puts.

Overstock.com (OSTK) August weekly call option implied volatility is at 120, September is at 87; compared to its 52-week range of 66 to 138 after CEO Patrick Byrne resigns. Call put ratio 3.4 calls to 1 put with focus on August weekly 22 and 24 calls.

Fastly, Inc. (FSLY) September call option implied volatility is at 83, October is at 81; compared to its 52-week range of 58 to 128 as shares rally. Call put ratio 1.6 calls to 1 put on 15K contracts.

Ziopharm Oncology (ZIOP) September call option implied volatility is at 105, October is at 89; compared to its 52-week range of 56 to 147. Call put ratio 10 calls to 1 put with focus on September 6 calls.

Straddle prices for stocks expected to report quarterly results next week

Autodesk (ADSK) August weekly 145 straddle priced for a move of 8% into the expected release of quarterly results after the bell on August 27.

Hewlett Packard Enterprise (HPE) August weekly 13 straddle priced for a move of 6% into the expected release of quarterly results after the bell on August 27.

J.M. Smucker (SJM) September 115 straddle priced for a move of 7% into the expected release of quarterly results before the bell on August 27.

Regis (RGS) September 17.50 straddle priced for a move of 13% into the expected release of quarterly results before the bell on August 27

H&R Block (HRB) September 27 straddle priced for a move of 9% into the expected release of quarterly results after the bell on August 28

Box (BOX) September 13 straddle priced for a move of 13% into the expected release of quarterly results after the bell on August 28

Chicos (CHS) September 3 straddle priced for a move of 16% into the expected release of quarterly results on August 28

Coty (COTY) August weekly 9 straddle priced for a move of 12% into the expected release of quarterly results before the bell on August 28

Express (EXPR) September 2 straddle priced for a move of 20% into the expected release of quarterly results before the bell on August 28

Five Below (FIVE) August weekly 120 straddle priced for a move of 8% into the expected release of quarterly results on August 28

PVH (PVH) September 75 straddle priced for a move of 12.5% into the expected release of quarterly results after the bell on August 28

Tiffany (TIF) August weekly 85 straddle priced for a move of 7.5% into the expected release of quarterly results before the bell on August 28

Williams-Sonoma (WSM) September 67.50 straddle priced for a move of 9% into the expected release of quarterly results after the bell on August 28

Zuora (ZUO) September 14 straddle priced for a move of 15% into the expected release of quarterly results after the bell on August 28

Abercrombie & Fitch (ANF) August weekly 17 straddle priced for a move of 14% into the expected release of quarterly results before the bell on August 29

Ambarella (AMBA) August weekly 47 straddle priced for a move of 10% into the expected release of quarterly results after the bell on August 29

Best Buy (BBY) August weekly 69 straddle priced for a move of 8% into the expected release of quarterly results before the bell on August 29

Build-A-Bear Workshop (BBW) September 2.5 straddle priced for a move of 22% into the expected release of quarterly results on August 29

Burlington Stores (BURL) August weekly 175 straddle priced for a move of 8.5% into the expected release of quarterly results before the bell on August 29

Dollar General (DG) August weekly 140 straddle priced for a move of 6% into the expected release of quarterly results before the bell on August 29

Dollar Tree (DLTR) August 97 straddle priced for a move of 7% into the expected release of quarterly results before the bell on August 29

Dell Technologies (DELL) September 50 straddle priced for a move of 12% into the expected release of quarterly results after the bell on August 29

Ulta Beauty (ULTA) August weekly 335 straddle priced for a move of 8% into the expected release of quarterly results after the bell on August 29

Workday (WDAY) August weekly 195 straddle priced for a move of 7% into the expected release of quarterly results before the bell on August 29

Russell 2000 (RUT) call put ratio 1 call to 1.6 puts with focus on Aug weekly (30) 1340, 1375 puts into Powell speech at Jackson Hole. Aug weekly (30) 1600 & 1630 calls active

Options with decreasing option implied volatility: TGT PVTL GOOG RTRX BBAR AXSM PAGS CLVS SE IQ LB GE
Increasing unusual option volume: SWCH AMX EZA BJ BNS JNK FSLY SRE BREW ROST OSTK ZIOP PVTL CLBK
Increasing unusual call option volume: AMX SWCH BJ GPS ROST SRE GLW BREW CBLK FSLY ALXN
Increasing unusual put option volume: FSLY JNK ORC MRNS INSG EW JWN CVET EW
Popular stocks with increasing unusual volume: BA JD ROKU
Active options: AAPL BA CRM MSFT FB TSLA GE BAC AMZN AMD TGT JD NFLX SNAP GPS JWN NVDA MU BABA ROKU