Pre-Market IV Report August 27, 2019

Pre-Market IV Report August 27, 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 KR GME LULU NIO ZIOP FLSY PLAN ALXN BB PM MO MLNX JNJ KMX BCS CCL ACN AGN NLY AFL SLV GLD

Options expected to have increasing volume: JNJ TEVA ENDO MNK CAH MYL MO PM BTI ADSK BBY OSTK MCK

Tobacco stocks option implied volatility has increased

Philip Morris International (PM) August weekly call option implied volatility is at 40, September is at 32; compared to its 52-week range of 18 to 37. Call put ratio 1.2 calls to 1 put.

Altria Group (MO) August weekly call option implied volatility is at 38, September is at 32; compared to its 52-week range of 17 to 39. Call put ratio 6.8 calls to 1 put with focus on August weekly 48 calls.

British American Tobacco (BTI) September call option implied volatility is at 31, October is at 32; compared to its 52-week range of 18 to 37. Call put ratio 1 call to 1.48 put.

PG&E Corp. (PCG) August weekly call option implied volatility is at 118, September is at 128; compared to its 52-week range of 28 to 201 after wide price movement. Call put ratio 1 call to 1.2 puts with focus on August weekly 11 puts.

Johnson & Johnson (JNJ) August call option implied volatility is at 53, September is at 27; compared to its 52-week range of 26 to 73 into Oklahoma court ruling in opioid addiction liability.

Mylan (MYL) August weekly call option implied volatility is at 53, September is at 43; compared to its 52-week range of 13 to 33 into Oklahoma court ruling in opioid addiction liability.

Teva (TEVA) August weekly call option implied volatility is at 127, September is at 63; compared to its 52-week range of 28 to 105 into Oklahoma court ruling in opioid addiction liability.

Mallinckrodt (MNK) August weekly call option implied volatility is at 231, September is at 81; compared to its 52-week range of 44 to 158 into Oklahoma court ruling in opioid addiction liability.

Overstock.com (OSTK) August weekly call option implied volatility is at 130, September is at 102; compared to its 52-week range of 66 to 138 after wide price movement.

Fastly, Inc. (FSLY) September call option implied volatility is at 90, October is at 81; compared to its 12-week range of 58 to 128 as shares rally. Call put ratio 2 calls to 1 put.
Straddle prices for stocks expected to report quarterly results this week

H&R Block (HRB) September 27 straddle priced for a move of 9% into the expected release of quarterly results today
Box (BOX) September 14 straddle priced for a move of 14.5% into the expected release of quarterly results after the bell on August 28
Chicos (CHS) September 3 straddle priced for a move of 18% into the expected release of quarterly results on August 28
Coty (COTY) August weekly 8.5 straddle priced for a move of 13% 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 115 straddle priced for a move of 8.5% into the expected release of quarterly results on August 28
PVH (PVH) September 70 straddle priced for a move of 13% into the expected release of quarterly results after the bell on August 28
Tiffany (TIF) August weekly 83 straddle priced for a move of 8% 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 11% into the expected release of quarterly results after the bell on August 28
Zuora (ZUO) September 14 straddle priced for a move of 17% 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 15% into the expected release of quarterly results before the bell on August 29
Ambarella (AMBA) August weekly 45 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 67.50 straddle priced for a move of 8.5% 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% 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 6.5% into the expected release of quarterly results before the bell on August 29
Dollar Tree (DLTR) August 96 straddle priced for a move of 8% into the expected release of quarterly results before the bell on August 29
Dell Technologies (DELL) September 45 straddle priced for a move of 11.5% into the expected release of quarterly results after the bell on August 29
Hain Celestial Group (HAIN) September 18 straddle priced for a move of 12% into the expected release of quarterly results before the bell on August 29
Marvell Technology (MRVL) August weekly 23.50 straddle priced for a move of 7% into the expected release of quarterly results after the bell on August 29
Sanderson Farms (SAFM) September 145 straddle priced for a move of 8.5% into the expected release of quarterly results before the bell on August 29
Titan Machinery (TITN) September 17.50 straddle priced for a move of 12.50% into the expected release of quarterly results before the bell on August 29
Ulta Beauty (ULTA) August weekly 330 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

Options with decreasing option implied volatility: TGT JWN FL TGT MDCO LB KSS BJ
Increasing unusual option volume: AXL CTLT BILI FGEN CSTM
Increasing unusual call option volume: FGEN CSTM BILI ENLC RY ATRA MDSO FCAU ERF ZGNX QSR
Increasing unusual put option volume: AXL EFX PLAN HDS FNV PTEN
Popular stocks with increasing unusual volume: FCX CRM NIO TEVA
Active options: AAPL AMD MSFT BAC TSLA GE FB AMZN MO TEVA BA NVDA FCX T ROKU NIO ECA CRM