Pre-Market IV Report July 11, 2018

Pre-Market IV Report July 11, 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 ZAYO BKNG NXPI BIIB KORS MNST C

Options expected to have increasing volume: DAL FAST JPM C BAC WFC PNC FOXA DIS CMCSA

S&P Dep Receipts (SPY) July weekly and July call option implied volatility is at 9, August is at 10; compared to its 52-week range of 7 to 35 into Trump administration released another list of Chinese imports worth around $200B that will now face higher tariffs.

Netflix, Inc. (NFLX) July call option implied volatility is at 74, August is at 50; compared to its 52-week range of 23 to 64 into the expected release of EPS results on July 16.

General Mills (GIS) July call option implied volatility is at 25, August is at 23; compared to its 52-week range of 16 to 34 into a company hosted investor meeting today

Straddle prices for stocks expected to report results this week
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 68 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: LPLA FISV TDOC XRT BPY FAST MJ
Increasing unusual call option volume: LPLA FISV BPY DNKN BYD CCK FTI BLL FAST
Increasing unusual put option volume: MJ XRT AXL FAST FXB BPY BILI
Active options: AAPL BAC MU FB TSLA NFLX BABA TWTR AMZN NVDA T AMD MSFT GE JPM C PEP NXPI MRK
Options with decreasing option implied volatility: DVMT WBA ORCL NKE
Cboe Bitcoin July futures down 27 to 6340