Pre-Market IV Report July 12, 2018

Pre-Market IV Report July 12, 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: AAOI FOSL TTD KORS GOOS MNST CTL FOXA TSN

Options expected to have increasing volume: AVGO CA SNAP P CMCSA FOXA DIS JPM C BAC WFC PNC DAL OZRK FAST SNAP P

Broadcom (AVGO) volatility low into acquiring CA Technologies (CA) for $18.9B

Broadcom (AVGO) July weekly call option implied volatility is at 25, July is at 24, August is at 25; compared to its 52-week range of 22 to 41 into acquiring CA Technologies (CA) for $18.9B.

CA Technologies (CA) July weekly call option implied volatility is at 16, August is at 19; compared to its 52-week range of 15 to 30. Call put ratio 3.25 calls to 1 put.

Netflix, Inc. (NFLX) July call option implied volatility is at 77, August is at 50; compared to its 52-week range of 23 to 64 into the expected release of EPS results on July 16. Call put ratio 1.3 calls to 1 put. UBS downgraded Netflix to Neutral while raising its price target for the shares to $425 from $375.

Aero-space & aviation stock option implied volatility into Farnborough Air Show

Rockwell Collins (COL) 30-day option implied volatility of 8 compares to its 52-week range of 7 to 38
Spirit AeroSystems (SPR) 30-day option implied volatility of 31 compares to its 52-week range of 18 to 42
Textron (TXT) 30-day option implied volatility of 30 compares to its 52-week range of 19 to 37
United Technologies (UTX) 30-day option implied volatility of 20 compares to its 52-week range of 12 to 31
Boeing (BA) 30-day option implied volatility of 30 compares to its 52-week range of 16 to 43
Embraer (ERJ) 30-day option implied volatility of 53 compares to its 52-week range of 27 to 72
General Dynamics (GD) 30-day option implied volatility of 22 compares to its 52-week range of 14 to 29

Straddle prices for stocks expected to report results this week

PNC Financial (PNC) July 137 straddle priced for move of 2.4% 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: RIG FCX FPI HOME OZRK FAST PZZA
Increasing unusual call option volume: FCX HOME FAST TREE CHKP CP MYGN
Increasing unusual put option volume: RIG CHKP PZZA ICHR FAST
Options with decreasing option implied volatility: GGP EPD SSO
Cboe Bitcoin July futures down 175 to 6170