Pre-Market IV Report July 23, 2018

Pre-Market IV Report July 23, 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: CREE SAN TPR GGP HAS GOOG GOOGL NXPI AKRX SNAP

Options expected to be active: GOOGL HAL HAS MAT FCAU DIS SYNT LPNT GOOG

NXP Semiconductors (NXPI) July weekly call option implied volatility is at 127, August is at 77; compared to its 52-week range of 8 to 71 on uncertainty of Qualcomm’s (QCOM) completing its $44B acquisition.

Fiat Chrysler (FCAU) August call option implied volatility is at 41, September is at 37; compared to its 52-week range of 27 to 53 into naming Mike Manley as its new chief executive, replacing Sergio Marchionne who had to step down after serious complications from surgery.

PayPal (PYPL) July weekly call option implied volatility is at 57, August is at 35; compared to its 52-week range of 20 to 43 into the expected release of EPS on July 25.

LifePoint Health (LPNT) August call option implied volatility is at 57, September is at 35; compared to its 52-week range of 25 to 49 into the expected release of Q2 on July 27 and deal chatter.

Syntel (SYNT) August call option implied volatility is at 47, November is at 40; compared to its 52-week range of 23 to 63 into announcing that it has entered into Atos S.E. acquiring all outstanding shares of Syntel for $41 per share in an all-cash transaction valued at approximately $3.57B, including Syntel’s net debt.

Straddle prices for stocks expected to report results this week

Alphabet (GOOGL) July weekly 1197 straddle priced for move of 4.8% into the expected release of EPS today after the close
Shutterfly (SFLY) August 90 straddle priced for move of 10% into the expected release of EPS today after the close
Steel Dynamics (STLD) August 47 straddle priced for move of 6.77% into the expected release of EPS today after the close
TD Ameritrade (AMTD) July weekly 57.50 straddle priced for move of 4% into the expected release of EPS today after the close
3M (MMM) July weekly 202.50 straddle priced for move of 3.5% into the expected release of EPS before the open on July 24
Ameriprise (AMP) August 140 straddle priced for move of 6% into the expected release of EPS after the close on July 24
AT&T (T) July weekly 31 straddle priced for move of 3.4% into the expected release of EPS after the close on July 24
BankUnited (BKU) August 40 straddle priced for move of 6.1% into the expected release of EPS before the open on July 24
Biogen (BIIB) July weekly 357 straddle priced for move of 9% into the expected release of EPS before the open on July 24
Canadian National Railway (CNI) July weekly 85 straddle priced for move of 5.4% into the expected release of EPS before the open on July 24
Harley Davidson (HOG) July weekly 42 straddle priced for move of 6.2% into the expected release of EPS before the open on July 24
iRobot (IRBT) July weekly 74 straddle priced for move of 12% into the expected release of EPS after the close on July 24
JetBlue (JBLU) August 20 straddle priced for move of 6.5% into the expected release of EPS before the open on July 24
United Technologies (UTX) July weekly 130 straddle priced for move of 2.5% into the expected release of EPS before the open on July 24
Verizon Communications (VZ) July weekly 50.50 straddle priced for move of 2.8% into the expected release of EPS before the open on July 24
Lockheed Martin (LMT) July weekly 322.50 straddle priced for move of 2.9% into the expected release of EPS before the open on July 24
Eli Lilly & Co. (LLY) July weekly 88 straddle priced for move of 2.8% into the expected release of EPS before the open on July 24

Increasing unusual option volume: SHY AXTI SN AN LIT BPY HAS SKX ADMS
Increasing unusual call option volume: AXTI LEA BPY GGP PAH
Increasing unusual put option volume: RAD SUPN LITE
Popular stocks with increasing unusual option volume: NXPI SKX PBR CHK CLF
Options with decreasing option implied volatility: AKRX SKX IMMU NFLX ZUO SKX AVGO
Cboe Bitcoin July futures up 4000 to 7774