Pre-Market IV Report August 7, 2018

Pre-Market IV Report August 7, 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: AKRX SNAP HD BHC M ESRX CPB SNAP TWLO AABA TUR TKC

Options expected to be active: DIS SNAP GOOS PZZA DIS CAR HTZ MAR WTW Z ZG BMS TWLO TKC TUR

iShares MSCI Turkey ETF (TUR) call put ratio 1 call to 6.6 puts on as shares decline. August call option implied volatility is at 47, September is a 43; compared to its 52-week range of 21 to 48.

Turkcell Iletisim Hizmetleri A.s. (TKC) call put ratio 1 call to 13 puts. August call option implied volatility is at 70, September is at 66; compared to its 52-week range of 15 to 149.

3D Systems (DDD) August weekly call option implied volatility is at 125, August is at 97; compared to its 52-week range of 37 to 91 into the expected release of EPS today after the close.

Continental Resources (CLR) August weekly call option implied volatility is at 65, August is at 46; compared to its 52-week range of 28 to 53 into the expected release of EPS today after the close. Call put ratio 1 call to 1 put.

Fossil Group (FOSL) August weekly call option implied volatility is at 214, August is at 140; compared to its 52-week range of 52 to 120 into the expected release of EPS today after the close. Call put ratio 1 call to 1.2 puts.

Hostess Brands (HST) August call option implied volatility is at 23, September is at 22; compared to its 52-week range of 18 to 37 into the expected release of EPS today after the close.

Lending Club (LC) August weekly call option implied volatility is at 82, August is at 65; compared to its 52-week range of 36 to 86 into the expected release of EPS today after the close.

Papa John’s (PZZA) August weekly call option implied volatility is at 105, August is at 75; compared to its 52-week range of 22 to 66 into the expected release of EPS today after the close. Call put ratio 2.9 calls to 1 put.

Snap (SNAP) August weekly call option implied volatility is at 210, August is at 133; compared to its 52-week range of 39 to 98 into the expected release of EPS today after the close. Call put ratio 1 call to 1.3 puts.

Walt Disney (DIS) August weekly call option implied volatility is at 50, August is at 34; compared to its 52-week range of 14 to 34 into the expected release of EPS today after the close. Call put ratio 2.2 calls to 1 puts.

Wendy’s (WEN) August call option implied volatility is at 39, September is at 26; compared to its 52-week range of 21 to 49 into the expected release of EPS today after the close. Call put ratio 7 calls to 1 put.

Straddle prices for stocks expected to report results this week

Canadian Goose (GOOS) August weekly 57 straddle priced for move of 14% into the expected release of EPS before the open on August 8

MBIA (MBI) August weekly 10 straddle priced for move of 8.6% into the expected release of EPS after the close on August 8

Michael Kors (KORS) August weekly straddle 64.50 priced for move of 11% into the expected release of EPS before the open on August 8

Nuance Communications (NUAN) August 15 straddle priced for move of 8% into the expected release of EPS after the close on August 8

New York Times (NYT) August 24 straddle priced for move of 7% into the expected release of EPS before the open on August 8

Southern Co (SO) August weekly 49 straddle priced for move of 2.2% into the expected release of EPS before the open on August 8

Sarepta Therapeutics (SRPT) August weekly 123 straddle priced for move of 9% into the expected release of EPS before the open on August 8

Sunoco (SUN) August 27.50 straddle priced for move of 5% into the expected release of EPS before the open on August 8

Wright Medical Group (WMGI) August 25 straddle priced for move of 12% into the expected release of EPS before the open on August 8

Cheniere Energy (LNG) August weekly 62.50 straddle priced for move of 4% into the expected release of EPS before the open on August 9

Increasing unusual option volume: DBD BLDR EWH IDT GTT SCG BRKS
Increasing unusual call option volume: BLDR SCG RNG JEC CA RRC S TSN NWL
Increasing unusual put option volume: DB JMEI IDT XRAY PX ZNGA EWH ARMK TUR TKC
Popular stocks with increasing unusual option volume: DIS NWL AABA
Options with decreasing option implied volatility: W FTR NTRI TNDM CRTO P I HCLP TWTR HBI FB
Options with increasing option implied volatility: AKRX SNAP HD BHC M ESRX CPB SNAP TWLO AABA
Cboe Bitcoin August futures up 140 to 7040