Pre-Market IV Report August 29, 2018

Pre-Market IV Report August 29, 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 SGMO ZUO BBBY AMD FOX FOXA BB MJ KMX NKE ACN COTY RIOT AMLP GLW ORCL GERN AKRX FOXA EWZ CHS

Options expected to have increasing volume: BOX HPE DKS CRM AEO EXPR

Salesforce (CRM) August weekly call option implied volatility is at 59, September is at 31; 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 1.9 calls to 1 put.

Wayfair (W) August call option implied volatility is at 47, September is at 41; compared to its 52-week range of 35 to 86 a day after Citron’s Andrew Left shorts with price target of $100.

Cronus Corporation (CRON) September call option implied volatility is at 148, October is at 127; compared to its 52-week range of 71 to 143 amid large share price movement in cannibas names.

Ambarella (AMBA) August weekly call option implied volatility is at 141, September is at 61; compared to its 52-week range of 31 to 77 into the expected release of Q2 EPS after the market close on August 30.

Ciena (CIEN) August weekly call option implied volatility is at 101, September is at 42; compared to its 52-week range of 24 to 60 into the expected release of Q3 EPS before the market open on August 30.

Campbell Soup (CPB) August weekly call option implied volatility is at 101, September is at 44; compared to its 52-week range 19 to 52 into the expected release of Q2 EPS before the market open on August 30. Call put ratio 3.3 calls to 1 put.

Lululemon (LULU) August weekly call option implied volatility is at 122, September is at 50; compared to its 52-week range of 24 to 71 into the expected release of Q2 EPS after the market close on August 30.

Signet Jewelers (SIG) August weekly call option implied volatility is at 186, September is at 75; compared to its 52-week range of 36 to 83 into the expected release of Q2 EPS before the market open on August 30.

Straddle prices for stocks expected to report results this week
Salesforce (CRM) August weekly 152.50 straddle priced for move of 4.2% into the expected release of EPS today after the market close.
Abercrombie & Fitch (ANF) August weekly 27.50 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 11% into the expected release of EPS on August 30
Burlington Coat Factory (BURL) August weekly 167.50 straddle priced for move of 6.5% into the expected release of EPS on August 30
Ciena (CIEN) August weekly 27.50 straddle priced for move of 8% into the expected release of EPS on August 30
Campbell Soup (CPB) August weekly 40 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 5% into the expected release of EPS on August 30
Dollar General (DG) August weekly 107 straddle priced for move of 6% 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 139 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 11% into the expected release of EPS on August 30
Patterson (PDCO) September 24 straddle priced for move of 10% into the expected release of EPS on August 30
Signet Jewelers (SIG) August weekly 55 straddle priced for move of 13% into the expected release of EPS on August 30
Tech Data (TECD) September 90 straddle priced for move of 9.5% into the expected release of EPS before the open on August 30
Titan Machinery (TITN) September 15 straddle priced for move of 12% into the expected release of EPS before the open on August 30
Ulta Beauty (ULTA) August weekly 242.50 straddle priced for move of 7% into the expected release of EPS after the market close on August 30

Increasing unusual option volume: FTV TRI MDRX BPY BRKS HAIN USAT
Increasing unusual call option volume: FTV MDRX TRI CHS BPY HAIN MXL
Increasing unusual put option volume: IPG KNX ESPR BPY DSW CRON
Popular stocks with increasing unusual option volume: SNAP AMD WMT SQ GS
Options with decreasing option implied volatility: FL ALNY MOMC BPY UBNT TIF BBY HAIN DSW
Cboe Bitcoin September futures down 52 to 7065