Pre-Market IV Report July 10, 2018

Pre-Market IV Report July 10, 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: NXPI AKRX AMZN EA BKNG SGMS BIIB MDXG CMCSA DPS ESPR TGTX ACAD GPRO

Options expected to have increasing volume: PEP DAL FAST TUR TKC XLRN CELG

iShares MSCI Turkey ETF (TUR) option implied volatility and put volume increases after Erdogan appoints his son-in-law to lead Turkey’s finance ministry
iShares MSCI Turkey ETF (TUR) July call option implied volatility is at 40, August is at 39; compared to its 52-week range of 19 to 44 after Erdogan appoints his son-in-law to lead Turkey’s finance ministry. Call put ratio 1 call to 6.3 puts with focus on July 30 and August 29 puts.

Acceleron (XLRN) and Celgene (CELG) option implied volatility flat into Phase III Believe results

Acceleron (XLRN) July call option implied volatility is at 62, August is at 56; compared to its 52-week range of 37 to 152 into announcing with its partner

Celgene (CELG) July weekly call option implied volatility is at 24, July is at 25, August is at 29; compared to its 52-week range of 20 to 39.

Twitter (TWTR) July weekly call option implied volatility is at 55, July is at 50, August is at 61; compared to its 52-week range of 33 to 84 into the expected release of Q2 results on July 27.

Nordstrom (JWN) July call option implied volatility is at 46, August is at 42; compared to its 52-week range of 29 to 62 into a company hosted investor meeting today. Call put ratio 3.4 calls to 1 put.

Delta Airlines (DAL) July weekly call option implied volatility is at 46, July is at 33, August is at 30; compared to its 52-week range of 22 to 44 into the expected release of Q2 results before the open on July 11.

Straddle prices for stocks expected to report results this week
WD-40 Co. (WDFC) July 150 straddle priced for move of 6.2% into the expected release of Q3 results today after the close
Delta Airlines (DAL) July weekly 50 straddle priced for move of 4% into the expected release of Q2 results before the open on July 11
Fastenal (FAST) July 49 straddle priced for move of 6% into the expected release of Q2 results before the open on July 11.
Infosys (INFY) July straddle 19 priced for move of 7% into the expected release of Q1 results before the open on July 12
Citigroup (C) July weekly 69 straddle priced for move of 2.6% into the expected release of Q2 results before the open on July 13
JPMorgan (JPM) July weekly 107 straddle priced for move of 2.5% into the expected release of Q2 results before the open on July 13.
PNC Financial (PNC) July 138 straddle priced for move of 2.6% into the expected release of Q2 results before the open on July 13
Wells Fargo (WFC) July weekly 57 straddle priced for move of 2.6% into the expected release of Q2 results before the open on July 13.

Increasing unusual option volume: LC IWO HGV BLMN SPB TDG SENS GRPN TUR TKC
Increasing unusual call option volume: SPB BLMN SENS ENDP DBC
Increasing unusual put option volume: LC IWO PETS NLSN HSIC PPL AEP
Popular stocks with increasing unusual option volume: CZR D TWTR AMTD SCHW MET
Options with decreasing option implied volatility: WBA VMW ORCL DVMT VMW SAN
Cboe Bitcoin July futures down 92 to 6610