Pre-Market IV Report August 28, 2019

Pre-Market IV Report August 28, 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: GME ZM NUGT LULU MDCO ADSK RRC SLV HPE GDX CRON PCG FSLY CY BB PM CCL NLY CRZO BITA AMAG

Options expected to have increasing volume: DG DLTR ULTA DELL ADSK HPE TIF BBY

Gold is traditionally seen as a haven from faster inflation, but it is also seen as a haven from central banks. And its greatest negative – that it produces no yield – turns into an outright source of attraction when bonds, carry negative yields. The CME Group Fed Watch tool is again fully pricing in a rate cut in September.

Market Vectors Gold Miners ETF (GDX) August weekly call option implied volatility is at 39, September is at 35; compared to its 52-week range of 21 to 36. Call put ratio calls 2.1 calls to 1 put.

Newmont Mining (NEM) August weekly call option implied volatility is at 32, September is at 30; compared to its 52-week range of 23 to 38. Call put ratio 3.7 calls to 1 put.

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) August weekly call option implied volatility is at 35, September is at 32; compared to its 52-week range of 15 to 33.

iShares 20+ Year Treasury Bond ETF (TLT) August weekly call option implied volatility is at 19, September is at 15; compared to its 52-week range of 7 to 18.

Financial Select Sector SPDR ETF (XLF) August weekly call option implied volatility is at 26, September is at 23; compared to its 52-week range of 13 to 35.

Option implied volatility for companies that sell recreational vehicles after recent reports that vehicle sales have slowed

Winnebago (WGO) September call option implied volatility is at 44, October is at 28; compared to its 52-week range of 35 to 75 after recent reports that recreational vehicle sales have drastically slowed. Call put ratio is 1.5 calls to 1 put.

Thor (THO) September call option implied volatility is at 48, October is at 52; compared to its 52-week range of 34 to 72. Call put ratio is 1 call to 1.2 puts.

Polaris (PII) September call option implied volatility is at 44, October is at 42; compared to its 52-week range of 25 to 57.

Brunswick (BC) September call option implied volatility is at 34, October is at 33; compared to its 52-week range of 23 to 58. Call put ratio is 1 call to 3.9 puts with focus on September 45 puts.

Camping World (CWH) September call option implied volatility is at 61, October is at 56; compared to its 52-week range of 48 to 108. Call put ratio is 1 call to 3.1 puts with focus on September 9 puts.

Activision Blizzard (ATVI) August weekly call option implied volatility is at 45, September is at 37; compared to its 52-week range of 25 to 61 after World of Warcraft re-release. Call put ratio 4.7 calls to 1 put with focus on August weekly 50 calls.

Yelp (YELP) August weekly call option implied volatility is at 55, September is at 36; compared to its 52-week range of 30 to 83. Call put ratio 11 calls to 1 put with focus on August weekly 32.50 and 33 calls.

Straddle prices for stocks expected to report quarterly results this week

Box (BOX) September 14 straddle priced for a move of 14% into the expected release of quarterly results today after the bell
Coty (COTY) August weekly 9 straddle priced for a move of 13% into the expected release of quarterly results today before the bell
Five Below (FIVE) August weekly 115 straddle priced for a move of 8.5% into the expected release of quarterly results today
PVH (PVH) September 70 straddle priced for a move of 13% into the expected release of quarterly results today after the bell
Tiffany (TIF) August weekly 83 straddle priced for a move of 8% into the expected release of quarterly results today before the bell
Williams-Sonoma (WSM) September 67.50 straddle priced for a move of 11% into the expected release of quarterly results today after the bell
Zuora (ZUO) September 14 straddle priced for a move of 16% into the expected release of quarterly results today after the bell
Abercrombie & Fitch (ANF) August weekly 16.50 straddle priced for a move of 15.5% into the expected release of quarterly results before the bell on August 29
Ambarella (AMBA) August weekly 43.5 straddle priced for a move of 10.5% into the expected release of quarterly results after the bell on August 29
Best Buy (BBY) August weekly 68 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 170 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 97 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% 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 6.5% into the expected release of quarterly results after the bell on August 29
Sanderson Farms (SAFM) September 140 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 322.50 straddle priced for a move of 8% into the expected release of quarterly results after the bell on August 29
Workday (WDAY) August weekly 190 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 PVTL FL JWN MDCO RTRX PVTL FL RRGB JWN LOW
Increasing unusual option volume: YELP PM THS KSA UNM SHOS SSNC ZGNX SJM MO HPE DLPH ATVI
Increasing unusual call option volume: SSNC KSA SHOS TLRA MO NOG HPE TIF ADSK
Increasing unusual put option volume: DLPH SJM AGNC NLY MTZ CB MO FSLY PM
Popular stocks with increasing unusual volume: MO PM ATVI
Active options: AAPL MO AMD FB GOLD SNAP MSFT ROKU TSLA NFLX BAC BABA AMZN JNJ ATVI NVDA BYND PM GE TWTR