Pre-Market IV Report July 15, 2018

Pre-Market IV Report July 15, 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: FOSL TTD WTW KORS MNST AVGO BNKG DNKN SKX NXPI AKRX SKX OPK

Options expected to have increasing volume: NFLX BAC SLB RSX YNDX UNH CSX DB GS JNJ

Netflix, Inc. (NFLX) July call option implied volatility is at 84, August is at 49; compared to its 52-week range of 23 to 64 into the expected release of EPS results today after the market close.

Market Vectors Russia ETF Trust (RSX) July call option implied volatility is at 22, August is at 20; compared to its 52-week range of 16 to 34 into President Trump meeting with President Putin this morning.

Amazon.com (AMZN) July call option implied volatility is at 21, August is at 30; compared to its 52-week range of 18 to 52 into Prime Day.

CSX (CSX) July call option implied volatility is at 36, August is at 25; compared to its 52-week range of into the expected release of 20 to 39 EPS after the close on July 17.

Goldman Sachs (GS) July call option implied volatility is at 24, August is at 21; compared to its 52-week range of 17 to 34 into the expected release of EPS before the market open on July 17.

T-Mobile (TMUS) July call option implied volatility is at 22, August is at 24; compared to its 52-week range of 19 to 37 into the expected release of EPS after the close on July 17. Call put ratio 2.95 calls to 1 put.

United Continental (UAL) July call option implied volatility is at 44, August is at 31; compared to its 52-week range of 25 to 42 into the expected release of EPS after the close on July 17.

Johnson & Johnson (JNJ) July call option implied volatility is at 22, August is at 17; compared to its 52-week range of 11 to 28 into the expected release of Q2 results on July 17. Call put ratio 1.52 calls to 1 put.

UnitedHealth (UNH) July call option implied volatility is at 26, August is at 20: compared to its 52-week range of 13 to 33 into the expected release of Q2 results on July 17.

Kinder Morgan (KMI) July call option implied volatility is at 27, August is at 20: compared to its 52-week range of 17 to 34 into the expected release of EPS results on July 17.

Straddle prices for stocks expected to report results this week

Bank of America (BAC) July 29 straddle priced for move of 2.6% into the expected release of EPS before the open on July 16
J.B. Hunt Transportation (JBHT) July 120 straddle priced for move of 4.8% into the expected release of EPS before the open on July 16
Netflix (NFLX) July 395 straddle priced for move of 9.7% into the expected release of EPS before the open on July 16
Adtran (ADTN) July 16 straddle priced for move of 8.3% into the expected release of EPS after the close on July 17
America Movil (AMX) July 18 straddle priced for move of 5.1% into the expected release of EPS before the open on July 17
Comerica (CMA) July 90 straddle priced for move of 3.4% into the expected release of EPS before the open on July 17
CSX (CSX) July 65 straddle priced for move of 4.1% into the expected release of EPS after the close on July 17
Diebold (DBD) July 12.50 straddle priced for move of 6% into the expected release of EPS before the open on July 17
Goldman Sachs (GS) July 227.50 straddle priced for move of 2.7% into the expected release of EPS before the open on July 17
Interactive Brokers (IBKR) July 60 straddle priced for move of 5.5% into the expected release of EPS before the open on July 17
Johnson & Johnson (JNJ) July 126 straddle priced for move of 2.4% into the expected release of EPS before the open on July 17
Schwab (SCHW) July 51 straddle priced for move of 3.5% into the expected release of EPS before the open on July 17
T-Mobile (TMUS) July 61.50 straddle priced for move of 2.6% into the expected release of EPS after the close on July 17
United Continental (UAL) July 72 straddle priced for move of 4.7% into the expected release of EPS after the close on July 17
Abbot Laboratories (ABT) July 63 straddle priced for move of 2.8% into the expected release of EPS before the open on July 18
Alcoa (AA) July straddle 47.50 priced for move of 6.1% into the expected release of EPS after the close on July 18
American Express (AXP) July 101 straddle priced for move of 3.5% into the expected release of EPS after the close on July 18
Canadian Pacific (CP) July 185 straddle priced for move of 3.5% into the expected release of EPS before the open on July 18
eBay (EBAY) July 37.50 straddle priced for move of 5.7% into the expected release of EPS after the close on July 18
International Business Machines (IBM) July 146 straddle priced for move of 4.2% into the expected release of EPS after the close on July 18
Morgan Stanley (MS) July 48 straddle priced for move of 3.3% into the expected release of EPS before the open on July 18
Noodles (NDLS) July 12.50 straddle priced for move of 18% into the expected release of EPS after the close on July 18
Northern Trust (NTRS) July 104 straddle priced for move of 3.6% into the expected release of EPS before the open on July 18
Textron (TXT) July 65 straddle priced for move of 5.5% into the expected release of EPS before the open on July 18
U.S. Bancorp (USB) July 51 straddle priced for move of 2.3% into the expected release of EPS before the open on July 18
United Rentals (URI) July 155 straddle priced for move of 5.8% into the expected release of EPS after the close on July 18
Alliance Data Systems (ADS) July 240 straddle priced for move of 5.8% into the expected release of EPS before the open on July 19
Bank of New York Mellon (BK) July 53 straddle priced for move of 3.5% into the expected release of EPS before the open on July 19
General Electric (GE) July 14 straddle priced for move of 4.2% into the expected release of EPS before the open on July 20
Honeywell (HON) July 147 straddle priced for move of 2.5% into the expected release of EPS before the open on July 20

Increasing unusual option volume: BKLN EWU NVRO PEGI OCLR ERII TTS
Increasing unusual call option volume: EWU JBHT JAG GOGO SKX BLMN NGL SYNT FOXA
Increasing unusual put option volume: BKLN EWU OCLR GRPN DLR SFM SNBR ERJ SWK
Popular stocks with increasing unusual option volume: FOXA GE CSCO
Options with decreasing option implied volatility: ZGNX AMC INFY AXTA CA FAST FOXA FOX HSY ORCL WBA NKE RHT
Options with increasing option implied volatility: FOSL TTD WTW KORS MNST AVGO BNKG DNKN SKX NXPI AKRX SKX OPK
Cboe Bitcoin July futures up 197 to 6385