Pre-Market IV Report August 27, 2018

Pre-Market IV Report August 27, 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: JBL AZO ARCC GERN AKRX ORCL GME AKRX GERN BBY CHS DSW HYG PFE ARNC DKS AMD SDS TIF SHPG TIF
Options expected to have increasing volume: TSLA BBY BOX HPE GERN

Tesla (TSLA) August weekly call option implied volatility is at 45, September is at 50, October is at 51; compared to its 52-week range of 32 to 71 into CEO Elon Musk announced keeping the company public is a better path for shareholders.

Hershey Foods (HSY) August weekly call option implied volatility is at 18, September is at 17; compared to its 52-week range of 14 to 37 into a company hosted analyst meeting on August 28.

Geron Corp (GERN) September call option implied volatility is at 204, October is at 220; compared to its 52-week range of 62 to 216 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 this week

Best Buy (BBY) August weekly 82 straddle priced for move of 9% into the expected release of EPS before the market open on August 28
Block H&R (HRB) September 26 straddle priced for move of 9% into the expected release of EPS after the market close on August 28
Box (BOX) September 26 straddle priced for move of 13% into the expected release of EPS before the market open on August 28
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 29 straddle priced for move of 10% into the expected release of EPS before the market open on August 28
Hewlett Packard Enterprises (HPE) August weekly 16 straddle priced for move of 6.7% into the expected release of EPS after the market close on August 28
Tiffany (TIF) August weekly 131 straddle priced for move of 8.5% into the expected release of EPS before the market open on August 28
At Home Group (HOME) September 35 straddle priced for move of 13% into the expected release of EPS after the market close on August 29
Chico’s (CHS) September 9 straddle priced for move of 15% into the expected release of EPS before the market open on August 29
Dicks Sporting Goods (DKS) August weekly 36 straddle priced for move of 13% into the expected release of EPS before the market open on August 28
Express (EXPR) August weekly 10 straddle priced for move of 15% into the expected release of EPS before the market open on August 28
Guess (GES) September 23 straddle priced for move of 14% into the expected release of EPS after the market close on August 29
PVH (PVH) September 155 straddle priced for move of 8% into the expected release of EPS after the market close on August 28
Salesforce (CRM) August weekly 52.50 straddle priced for move of 4.4% into the expected release of EPS after the market close on August 29
Abercrombie & Fitch (ANF) August weekly 27.50 straddle priced for move of 12% into the expected release of EPS on August 30

Increasing unusual option volume: SSC OLN BJ PDD ATTU ERIC
Increasing unusual call option volume: AMJ SSC ERIC OLN ROST UNM AVEO EXP
Increasing unusual put option volume: CRON OLN FL DF GERN LB DVA
Popular stocks with increasing unusual option volume: ROKU ABX DBX
Options with decreasing option implied volatility: BPY COTY PSTG CTL WM TWTR EXAS FB HPQ ADSK GPS SPLK VMW ADSK
Cboe Bitcoin September futures up 87 to 6695