Pre-Market IV Report August 28, 2018

Pre-Market IV Report August 28, 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: CRON TLRY NOK QCOM MJ FIT AMD ZUO GME WYNN DLTR CIEN FOXA GERN AKRX HYG TIF EWZ

Options expected to have increasing volume: BBY BOX HPE TIF TTPH

Alphabet (GOOG) August weekly call option implied volatility is at 20, September is at 18; compared to its 52-week range of 14 to 39 into Trump says Google search results ‘RIGGED’ and ‘will be addressed’.

Cronus Corporation (CRON) September call option implied volatility is at 144, October is at 126; compared to its 52-week range of 71 to 143 amid large share price movement in cannibas names.

Tetraphase Pharma (TTPH) 30-day option implied volatility is at 154; compared to its 52-week range of 50 to 204 into receiving FDA approval for XERAVA. Call put ratio 76 calls to 1 put.

Hershey Foods (HSY) August weekly call option implied volatility is at 21, September is at 18; compared to its 52-week range of 14 to 37 into a company hosted analyst meeting today.

Salesforce (CRM) August weekly call option implied volatility is at 55, September is at 32; compared to its 52-week range 16 to 43 into the expected release of Q2 EPS after the market close on August 29. Call put ratio 2.1 calls to 1 put.
Gamestop (GME) August weekly call option implied volatility is at 61, September is at 70; compared to its 52-week range of 29 to 84 into the expected release of EPS results before the market open on September 6. Call put ratio 1.49 calls to 1 put.

Straddle prices for stocks expected to report results this week

Block H&R (HRB) September 27 straddle priced for move of 9% into the expected release of EPS after the market close on August 28
Hain Celestial Group (HAIN) September 29 straddle priced for move of 9% into the expected release of EPS before the market open on August 28
Hewlett Packard Enterprises (HPE) August weekly 16.50 straddle priced for move of 6.6% into the expected release of EPS after the market close 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 11% 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 15% into the expected release of EPS after the market close on August 29
PVH (PVH) September 155 straddle priced for move of 7% into the expected release of EPS after the market close on August 28
Salesforce (CRM) August weekly 152.50 straddle priced for move of 4% into the expected release of EPS after the market close on August 29
Abercrombie & Fitch (ANF) August weekly 27 straddle priced for move of 12% into the expected release of EPS on August 30
Ambarella (AMBA) August weekly 39.50 straddle priced for move of 12% into the expected release of EPS on August 30
Burlington Coat Factory (BURL) August weekly 167.50 straddle priced for move of 7% into the expected release of EPS on August 30
Ciena (CIEN) August weekly 28 straddle priced for move of 8% into the expected release of EPS on August 30
Campbell Soup (CPB) August weekly 41 straddle priced for move of 7.5% into the expected release of EPS on August 30
Cooper (COO) September 260 straddle priced for move of 4.5% into the expected release of EPS on August 30
Dollar General (DG) August weekly 107 straddle priced for move of 7% into the expected release of EPS on August 30
Dollar Tree (DLTR) August weekly 93 straddle priced for move of 7% into the expected release of EPS on August 30
Lululemon (LULU) August weekly 138 straddle priced for move of 9% into the expected release of EPS after the market close on August 30
Michaels Companies (MIK) September 20 straddle priced for move of 7% into the expected release of EPS on August 30

Increasing unusual option volume: CRON FTV DLPH BJ TTPH VTL TIF AKCA CQP TRQ RESI SSC
Increasing unusual call option volume: TTPH BJ TIF CRON DXJ MAN LNG SSC TRLY OLN MGA MMP YEXT
Increasing unusual put option volume: RESI WP VTL CRON CQP ARCC TIF CAG WYN TLRY NOG
Popular stocks with increasing unusual option volume: AAL F SQ PBR
Options with decreasing option implied volatility: GGP PFE ESPR ALNY BPL FEYE ALNY CTL ARNC HPQ PFE PCG ADSK TWTR WMT
Cboe Bitcoin September futures up 185 to 6905