Pre-Market IV Report August 24, 2018

Pre-Market IV Report August 24, 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: GERN FL GPS ROST VMW SPLK AKRX ORCL EWZ ITUB FL ROST

Options expected to be active: SPLK ADSK GPS ROST INTU HPQ VMW

Apple (AAPL) August weekly call option implied volatility is at 20, September is at 19; compared to its 52-week range of 16 to 34 as shares near record high. Call put ratio 1.95 calls to 1 put with focus on August weekly and September 215 calls.

Micron Technology (MU) August weekly call option implied volatility is at 37, September is at 46, October is at 43; compared to its 52-week range of 34 to 63. Call put ratio 2.2 calls to 1 put into mid-September EPS.

Alibaba (BABA) August weekly call option implied volatility is at 38, September is at 35; compared to its 52-week range of 24 to 43. Call put ratio 1.95 calls to 1 put after EPS.

Best Buy (BBY) August weekly call option implied volatility is at 31, August weekly is at 64, September is at 40; compared to its 52-week range 23 to 61 into the expected release of Q2 EPS before the market open on August 28. Call put ratio 3.5 calls to 1 put.

Geron Corp (GERN) September call option implied volatility is at 207, October is at 219; compared to its 52-week range of 62 to 210 into Johnson & Johnson’s (JNJ) subsidiary Janssen making a continuation decision under its 2014 collaboration agreement with Geron.

Straddle prices for stocks expected to report results the week August 27

Best Buy (BBY) August weekly 82.50 straddle priced for move of 7.2% into the expected release of EPS
H&R Block (HRB) September 26 straddle priced for move of 9% into the expected release of EPS into the expected release of Q3 EPS after the market close on August 28.
Box (BOX) September 26 straddle priced for move of 5.8% into the expected release of EPS after the market close on August 28 and hosting an analyst meeting on August 30.
DSW (DSW) September 25 straddle priced for move of 13% into the expected release of EPS before the market open on August 28.
Hain Celestial Group (HAIN) September 28 straddle priced for move of 10% into the expected release Q4 EPS before the market open on August 28.
Hewlett Packard Enterprises (HPE) August weekly 16 straddle priced for move of 7% into the expected release of EPS after the market close on August 28.
Tiffany (TIF) August weekly 130 straddle priced for move of 7% into the expected release of EPS before the market open on August 28.
At Home Group (HOME) August weekly 130 straddle priced for move of 12% into the expected release of Q2 EPS after the market close on August 29.
Chico’s (CHS) September 10 straddle priced for move of 14% into the expected release of Q2 EPS on August 29.
Dicks Sporting Goods (DKS) August weekly 38.50 straddle priced for move of 11% into the expected release of Q2 EPS before the market open on August 29.
Express (EXPR) September 11 straddle priced for move of 10% into the expected release of Q2 EPS before the market open on August 29.
Guess (GES) September 24 straddle priced for move of 13% into the expected release of Q2 EPS after the market close on August 29.
PVH (PVH) September 155 straddle priced for move of 6% into the expected release of Q2 EPS after the market close on August 29.
Salesforce (CRM) August weekly 148 straddle priced for move of 5% into the expected release of EPS after the market close on August 29

Increasing unusual option volume: FLEX ABB SNPS BLDR PRTA GGP FEYE EDU AKCA
Increasing unusual call option volume: PRTA ABB BLDR FEYE FXC EDU GRA GGP
Increasing unusual put option volume: FLEX GGP MYGN BLDR PLCE DPZ ZAYO
Popular stocks with increasing unusual option volume: VMW HPE HOME ZNGA SPLK TAP
Options with decreasing option implied volatility: WMT TWTR EXAS ETP FB
Cboe Bitcoin September futures up 87 to 6495