Pre-Market IV Report August 30, 2019

Pre-Market IV Report August 30, 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: PCG YPF BB AM ULTA KR BBBY GME MDCO LULU NIO SWN DELL CCL PM ZAYO AABA

Options expected to have increasing volume: AMBA DELL ULTA MRVL CPB BIG PCG WDAY

Apple announces September 10 Launch Event to Unveil the Latest iPhones

Apple (AAPL) August weekly call option implied volatility is at 25, September is at 28; compared to its 52-week range of 16 to 46 into September 10 launch event to unveil the latest iPhones.

PG&E Corp. (PCG) August weekly call option implied volatility is at 100, September weekly is at 103, September is at 137; compared to its 52-week range of 28 to 201 into upcoming court events. Call put ratio 1 call to 4.1 puts.

Edison Int’l (EIX) September and October call option implied volatility is at 25; compared to its 52-week range of 18 to 75. PG&E Corp. (PCG) IV is high for a utility compared to EIX.

United States Natural Gas (UNG) September weekly call option implied volatility is at 23, September is at 27; compared to its 52-week range of 21 to 112 as Natural Gas has risen about 12% since the first week of August.

Bed Bath & Beyond (BBBY) August weekly call option implied volatility is at 77, September is at 70; compared to its 52-week range of 37 to 98 after The Deal reports on auction for units. Call put ratio 3.1 calls to 1 put with focus on August weekly 9 and 9.5 calls.

Hurricane season

Home Depot (HD) August weekly call option implied volatility is at 20, September weekly is at 21, September is at 19; compared to its 52-week range of 14 to 38 into hurricane Dorian. Call put ratio 1.6 calls to 1 put.

Lowe’s Cos. (LOW) September weekly call option implied volatility is at 21, September weekly is at 24, September is at 24; compared to its 52-week range of 17 to 42 into hurricane Dorian. Call put ratio 2.1 calls to 1 put.

Generac Holdings (GNRC) September and October call option implied volatility is at 29; compared to its 52-week range of 22 to 54 into hurricane Dorian. Call put ratio 1 call to 1 put.

Allstate (ALL) September and October call option implied volatility is at 19; compared to its 52-week range of 15 to 32 into hurricane Dorian. Call put ratio 1 call to 9 puts with focus on September 97.50 puts.

Straddle prices for stocks expected to report quarter financial results next week

Conns (CONN) September 20 straddle priced for a move of 14% into the expected release of quarterly results before the bell on September 3
American Eagle (AEO) September weekly 17 straddle priced for a move of 10% into the expected release of quarterly results after the bell on September 4
Michaels (MIK) September 5 straddle priced for a move of 19% into the expected release of quarterly results before the bell on September 4
Palo Alto Networks (PANW) September weekly straddle priced for a move of 8% into the expected release of quarterly results before the bell on September 4
Slack Technologies (WORK) straddle priced for a move of 1.3% into the expected release of quarterly results on September 4
At Home (HOME) September 7 straddle priced for a move of 28% into the expected release of quarterly results after the bell on September 4
Navistar (NAV) September weekly 23 straddle priced for a move of 10% into the expected release of quarterly results before the bell on September 4
Ciena (CIEN) September weekly 41 straddle priced for a move of 10.50% into the expected release of quarterly results before the bell on September 5
Donaldson (DCI) September 50 straddle priced for a move of 7.5% into the expected release of quarterly results before the bell on September 5
Duluth Holdings (DLTH) December 10 straddle priced for a move of 21% into the expected release of quarterly results on September 5
Korn Ferry (KFY) September 40 straddle priced for a move of 10% into the expected release of quarterly results after the bell on September 5
Lands End (LE) September 7.5 straddle priced for a move of 19% into the expected release of quarterly results before the bell on September 5
Lululemon (LULU) September weekly 187.50 straddle priced for a move of 9% into the expected release of quarterly results after the bell on September 5
Signet Jewelers (SIG) September weekly 12 straddle priced for a move of 21% into the expected release of quarterly results on September 5
Zoom Video Communications (ZM) September weekly 91 straddle priced for a move of 12.5% into the expected release of quarterly results after the bell on September 5
Zumiez (ZUMZ) September 25 straddle priced for a move of 14% into the expected release of quarterly results after the bell on September 5
Cloudera (CLDR) September weekly 7 straddle priced for a move of 14% into the expected release of quarterly results before the bell on September 6
National Beverage (FIZZ) September 40 straddle priced for a move of 15% into the expected release of quarterly results before the bell on September 6

Last trading day of month

Options with decreasing option implied volatility: MDCO FL WLL TGT PVTL FL ANF GPS COTY BOX PVH
Increasing unusual option volume: SONO RRR OLLI COO YEXT XLRE UVE K FND HIG FOXA DG LMT FSLY
Increasing unusual call option volume: RRR SONO OLLI HIG K FND LKQ XRT GDI LMT DG
Increasing unusual put option volume: XLRE IRDM ZAYO OLLI FSLY BYD CPB BBY MNK
Popular stocks with increasing unusual volume: MCD TEVA GOLD BYND MO F
Active options: AAPL AMD MSFT BAC TSLA AMZN FB BABA NFLX ROKU BABA GE NVDA GOLD BYND MO F TWTR MCD TEVA