Pre-Market IV Report July 2, 2019

Pre-Market IV Report July 2, 2019

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 over looked information.

Options with increasing option implied volatility: GSKY DDD AKAM ARRY EBAY CAT FCX TWTR PFE GDXJ XLNX TEVA GLD WDC

Options expected to have increasing volume: MU AMD

CBOE VIX Futures Premium: 10.08% into Friday June employment report

Advanced Micro Devices (AMD) July weekly call option implied volatility is at 42, July is at 46, August is at 57; compared to its 52-week range of 40 to 97.

Micron (MU) July weekly call option implied volatility is at 35, July is at 39, and August is at 45; compared to its 52-week range of 34 to 64.

Sprint Corp. (S) July weekly call option implied volatility is at 48, July is at 45, August is at 51; compared to its 52-week range of 24 to 132 into its ongoing proposed merger with T-Mobile (TMUS).

T-Mobile (TMUS) July weekly call option implied volatility is at 12, July is at 24, August is at 26; compared to its 52-week range of 18 to 38 into its ongoing proposed merger with Sprint (S).

Option implied volatility for M&A chatter stocks mentioned in early 2019 reports

Papa John’s International (PZZA) July weekly call option implied volatility is at 31, July is at 34, August is at 40; compared to its 52-week range of 29 to 63.

Arconic (ARNC) July weekly call option implied volatility is at 15, July is at 22, August is at 25; compared to its 52-week range of 21 to 118. Call put ratio w 2.2 calls to 1 put with focus on August 28 calls.

HollyFrontier (HFC) July weekly put option implied volatility is at 25, July is at 29, August is at 33; compared to its 52-week range of 28 to 55. Call put ratio 3.8 calls to 1 put with focus on July calls.

Willis Towers Watson (WLTW) July call option implied volatility is at 12, August is at 13; compared to its 52-week range of 12 to 40.

Cision (CISN) July call option implied volatility is at 55, August is at 37; compared to its 52-week range of 24 to 69. Call put ratio is 69 calls to 1 put with focus on July 12.50 calls.

Kraft Heinz (KHC) July weekly call option implied volatility is at 23, July is at 24, August is at 29; compared to its 52-week range of 19 to 45. Call put ratio is 1 call to 2.3 puts with focus on July weekly puts. Investors are waiting for KHC EPS release.

Grubhub (GRUB) July weekly and July call option implied volatility is at 37, August is at 55; compared to its 52-week range of 32 to 79 into the expected release of quarterly results on July 23.

Coty (COTY) July weekly call option implied volatility is at 57, July is at 48; compared to its 52-week range of 30 to 89 after large sell off.

Option implied volatility for Health Care Select Sect Fd holdings

Pfizer (PFE) 30-day option implied volatility is at 16; compared to its 52-week range of 13 to 34
United Health Group (UNH) 30-day option implied volatility is at 24; compared to its 52-week range of 14 to 40
Merck (MRK) 30-day option implied volatility is at 18; compared to its 52-week range of 14 to 30
Abbott (ABT) 30-day option implied volatility is at 20; compared to its 52-week range of 14 to 37
Medtronic (MDT) 30-day option implied volatility is at 17; compared to its 52-week range of 13 to 33
AbbVie (ABBV) 30-day option implied volatility is at 28; compared to its 52-week range of 20 to 47
Thermo Fisher Scientific (TMO) 30-day option implied volatility is at 20; compared to its 52-week range of 15 to 36
Amgen (AMGN) 30-day option implied volatility is at 24; compared to its 52-week range of 16 to 39
Eli Lilly (LLY) 30-day option implied volatility is at 22; compared to its 52-week range of 15 to 31
AbbVie (ABBV) 30-day option implied volatility is at 28; compared to its 52-week range of 20 to 47
XLV Health Care (XLV) 30-day option implied volatility is at 17; compared to its 52-week range of 10 to 33

iShares Nasdaq Biotechnology (IBB) July weekly call option implied volatility is at 15, July is at 17, August is at 19; compared to its 52-week range of 15 to 40. Call put ratio 1 call to 1.9 puts.

Options with decreasing option implied volatility: NVAX ZGNX MLNT SRPT BB CZR MU AGN STZ CZR ORCL ABBV AGN
Increasing unusual option volume: SCHW RTRX AMP TV TEO KPTI ESI ATUS DION RUN EMLC
Increasing unusual call option volume: SCHW TV RTRX ESI KPTI EROS RUN IYT
Increasing unusual put option volume: ATUS RTRX SCHW DIOD MUR PTE TV NNN OMC ZBRA
Popular stocks with increasing unusual volume: SCHW AAL GE BYND
Active options: AAPL MU BABA AMD TSLA BAC FB NVDA SCHW MSFT T AMZN BA TWTR NFLX AAL GE QCOM BYND DIS