Pre-Market IV Report August 5, 2019

Pre-Market IV Report August 5, 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: WMT LYFT DIA KHC PAAS TEVA SWN JWN CNX

Options expected to have increasing volume: MAR TSN TTWO DIS EMR ZTS AIG CVS TRIP

Option implied volatility has increased and is expected to climb on after the opening bell as the yuan trades at a 11-year low, breaks 7 per dollar

Wisdomtree Chinese Yuan Strategy Fund (CYB) 30 day option implied volatility is at 12; compared to its 52-week range of 9 to 14 as the yuan tumbled past the psychologically important level of 7 to the dollar for the first time since the financial crisis, a move that can be seen as part of the PBOC’s defense.

JPMorgan (JPM) 30-day option implied volatility is at 20; compared to its 52-week range of 15 to 40 into July employment report

Bank of America (BAC) 30-day option implied volatility is at 25; compared to its 52-week range of 16 to 47 into July employment report

Citi (C) 30-day option implied volatility is at 25; compared to its 52-week range of 16 to 55 into July employment report
Apple (AAPL) August weekly call option implied volatility is at 28, August is at 29; compared to its 52-week range of 16 to 46.

Ishares Msci Emerging Markets Etf (EEM) August call option implied volatility is at 16, September is at 15; compared to its 52-week range of 14 to 29.

United States Oil Fund (USO) August weekly call option implied volatility is a 32, August is at 35; compared to its 52-week range of 22 to 62.

iShares Russell 2000 ETF (IWM) August weekly call option implied volatility is at 22, August is at 21; compared to its 52-week range of 12 to 34.

S&P Dep Receipts (SPY) August weekly call option implied volatility is at 17, August is at 16; compared to its 52-week range of 9 to 32

PowerShares QQQ Trust (QQQ) August weekly call option implied volatility is at 22, August is at 21; compared to its 52-week range of 13 to 36

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) August weekly call option implied volatility is at 20, August is at 21; compared to its 52-week range of 15 to 25

Financial Select Sector SPDR ETF (XLF) August weekly call option implied volatility is at 16, August is at 16; compared to its 52-week range of 13 to 34 as the yuan tumbled past the psychologically
important level of 7 to the dollar for the first time since the financial crisis, a move that can be seen as part of the PBOC’s defense.

Currencyshares Canadian Dollar Trust (FXC) 30 day option implied volatility is at 6; compared to its 52-week range of 5 to 8

iShares iBoxx USD High Yield Corporate Bond ETF (HYG) August weekly call option implied volatility is at 6, August is at 7; compared to its 52-week range of 4 to 18

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30 day option implied volatility is at 7; compared to its 52-week range of 4 to 18 as the yuan tumbled past the psychologically important level of 7 to the dollar for the first time since the financial crisis, a move that can be seen as part of the PBOC’s defense.

iShares China Large-Cap (FXI) 30-day option implied volatility is at 21; compared to its 52-week range of 16 to 32 as the yuan tumbled past the psychologically important level of 7 to the dollar for the first time since the financial crisis, a move that can be seen as part of the PBOC’s defense.

Db X-trackers Harvest Csi 300 China A – Shares Fund (ASHR) 30-day option implied volatility is at 27; compared to its 52-week range of 20 to 36 as China devalues currency.

Option implied volatility for American corporations with revenue growth strategies on expanding in China

General Motors Co. (GM) 30-day option implied volatility is at 26, compared to its 52-week range of 21 to 46
Ford Motor (F) 30-day option implied volatility is at 27, compared to its 52-week range of 19 to 55
Nike Inc. (NKE) 30-day option implied volatility is at 25, compared to its 52-week range of 17 to 46
Tiffany & Co. (TIF) 30-day option implied volatility is at 41, compared to its 52-week range of 20 to 51
MGM Resorts International (MGM) 30-day option implied volatility is at 31, compared to its 52-week range of 25 to 59
Wynn Resorts Limited (WYNN) 30-day option implied volatility is at 50, compared to its 52-week range of 27 to 72
Boeing Co. (BA) 30-day option implied volatility is at 31, compared to its 52-week range of 19 to 46
FedEx Corp. (FDX) 30-day option implied volatility is at 29, compared to its 52-week range of 17 to 42
Intel (INTC) 30-day option implied volatility is at 29, compared to its 52-week range of 19 to 45
HP Inc. (HPQ) 30-day option implied volatility is at 35, compared to its 52-week range of 18 to 44
Apple Inc. (AAPL) 30-day option implied volatility is at 28, compared to its 52-week range of 16 to 46
Advanced Micro Devices (AMD) 30-day option implied volatility is at 49, compared to its 52-week range of 41 to 97
Nvidia Corp. (NVDA) 30-day option implied volatility is at 50, compared to its 52-week range of 26 to 86
Micron Technology Inc. (MU) 30-day option implied volatility is at 44, compared to its 52-week range of 34 to 65
Caterpillar (CAT) 30-day option implied volatility is at 28, compared to its 52-week range of 20 to 50
Deere (DE) 30-day option implied volatility is at 35, compared to its 52-week range of 21 to 45

Straddle prices for stocks expected to report quarterly results this week

Avis Budget (CAR) August 35 straddle priced for a move of 12% into the expected release of quarterly results on August 5.
Caesars (CZR) August weekly 11.5 straddle priced for a move of 5% into the expected release of quarterly results after the bell on August 5.
Continental Resources (CLR) August weekly 34 straddle priced for a move of 8% into the expected release of quarterly results after the bell on August 5.
Loews (L) August 50 straddle priced for a move of 6% into the expected release of quarterly results before the bell on August 5.
Marriott (MAR) August weekly 136 straddle priced for a move of 4.5% into the expected release of quarterly results on August 5.
Shake Shack (SHAK) August weekly 75 straddle priced for a move of 10% into the expected release of quarterly results after the bell on August 5.
Tenet Healthcare (THC) August weekly 22 straddle priced for a move of 14% into the expected release of quarterly results after the bell on August 5.
Take-Two Interactive (TTWO) August weekly 122 straddle priced for a move of 8% into the expected release of quarterly results on August 5.
Tyson (TSN) August weekly 80 straddle priced for a move of 6% into the expected release of quarterly results before the bell on August 5.
ADT (ADT) August 6 straddle priced for a move of 8% into the expected release of quarterly results after the bell on August 6
Becton Dickinson (BDX) August weekly 250 straddle priced for a move of 3.5% into the expected release of quarterly results before the bell on August 6
Chesapeake Energy (CHK) August weekly 1.5 straddle priced for a move of 18% into the expected release of quarterly results before the bell on August 6
Devon Energy (DVN) August weekly 25 straddle priced for a move of 7.5% into the expected release of quarterly results after the bell on August 6
Discovery (DISCA) August 30 straddle priced for a move of 7% into the expected release of quarterly results on August 6
Energizer Holding (ENR) August 40 straddle priced for a move of 8% into the expected release of quarterly results before the bell on August 6
Expeditors (EXPD) August 75 straddle priced for a move of 7.5% into the expected release of quarterly results before the bell on August 6
Gannett (GCI) August 10 straddle priced for a move of 14% into the expected release of quarterly results before the bell on August 6
Hertz (HTZ) August weekly 14.5 straddle priced for a move of 16% into the expected release of quarterly results after the bell on August 6
Match (MTCH) August 75 straddle priced for a move of 13% into the expected release of quarterly results after the bell on August 6
Microchip (MCHP) August weekly 88 straddle priced for a move of 8% into the expected release of quarterly results on August 6
Mosaic (MOS) August weekly 24.50 straddle priced for a move of 5.5% into the expected release of quarterly results on August 6
Nu Skin (NUS) August weekly 40 straddle priced for a move of 11% into the expected release of quarterly results after the bell on August 6
Papa Johns (PZZA) August weekly 44 straddle priced for a move of 8% into the expected release of quarterly results after the bell on August 6
Planet Fittness (PLNT) August weekly 77.50 straddle priced for a move of 9.5% into the expected release of quarterly results after the bell on August 6
Walt Disney (DIS) August weekly 142 straddle priced for a move of 4% into the expected release of quarterly results after the bell on August 6
Weight Watchers (WW) August weekly 22.5 straddle priced for a move of 15% into the expected release of quarterly results after the bell on August 6
Zoetis (ZTS) August weekly 116 straddle priced for a move of 3.5% into the expected release of quarterly results before the bell on August 6
Lyft (LYFT) August weekly 59 straddle priced for a move of 10% into the expected release of quarterly results after the bell on August 7
Roku (ROKU) August weekly 101 straddle priced for a move of 16.5% into the expected release of quarterly results after the bell on August 7
Teva (TEVA) August weekly 8 straddle priced for a move of 13% into the expected release of quarterly results on August 7
Camping World (CWH) August 11 straddle priced for a move of 14.5% into the expected release of quarterly results on August 7
Canada Goose (GOOS) August weekly 44.50 straddle priced for a move of 18% into the expected release of quarterly results on August 7
Eventbrite (EB) August 17.50 straddle priced for a move of 15% into the expected release of quarterly results after the bell on August 7
Fossil (FOSL) August weekly 10 straddle priced for a move of 15% into the expected release of quarterly results after the bell on August 7
Fox Corp (FOXA) August weekly 36.50 straddle priced for a move of 4.5% into the expected release of quarterly results after the bell on August 7
Hostess Brands (TWNK) August 15 straddle priced for a move of 9% into the expected release of quarterly results after the bell on August 7
IAC/InterActive (IAC) August 240 straddle priced for a move of 7.5% into the expected release of quarterly results after the bell on August 7
Jack in the Box (JACK) August 70 straddle priced for a move of 9% into the expected release of quarterly results after the bell on August 7
Lumber Liquidators (LL) August 8.5 straddle priced for a move of 14% into the expected release of quarterly results before the bell on August 7
Monster Beverage (MNST) August weekly 62.50 straddle priced for a move of 11.50 % into the expected release of quarterly results after the bell on August 7
Zillow (Z) August weekly 49 straddle priced for a move of 12% into the expected release of quarterly results on August 7
Activision Blizzard (ATVI) August weekly 49 straddle priced for a move of 7% into the expected release of quarterly results after the bell on August 8
AngloGold Ashanti (AU) August weekly 19 straddle priced for a move of 12% into the expected release of quarterly results on August 8
Callaway Golf (ELY) August 17 straddle priced for a move of 8.5% % into the expected release of quarterly results after the bell on August 8
Options with decreasing option implied volatility: WLL CXO ABBV CZR ALGN
Increasing unusual option volume: VAL POST SUN GFI SUN EWA MDY XENT DF
Increasing unusual call option volume: SUN DF COMM QRTEA GFI VAL XENT APHA
Increasing unusual put option volume: MDY EWA ENFI ZTO AXL BRKR DELL GDI
Popular stocks with increasing unusual volume: PBR BYND SQ
Active options: AAPL SQ AMZN AMD TSLA MSFT BABA FB NFLX BAC GE BYND CSCO MU TWTR NVDA SNAP BA S PBR CSCO