Pre-Market IV Report July 26, 2018

Pre-Market IV Report July 26, 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: URBN AMZN KSS ADSK HPQ LOW QCOM BIIB TWTR INTC UA UAA

Options expected to be active: FB NXPI QCOM UAA UA AMD SNAP GILD BIIB AMZN UA UAA

Facebook (FB) July weekly call option implied volatility is at 94, August is at 34; compared to its 52-week range of 16 to 44 into less than expected guidance.

Amgen (AMGN) July weekly call option implied volatility is at 50, August is at 28; compared to its 52-week range of 16 to 31 into the expected release of Q2 after today after the market close.

Amazon (AMZN) July weekly call option implied volatility is at 81, August is at 34; compared to its 52-week range of 17 to 52 into the expected release of Q2 today after the market close.

Intel (INTC) July weekly call option implied volatility is at 68, August is at 31; compared to its 52-week range of 16 to 43 into the expected release of Q2 today after the market close.

NXP Semiconductors (NXPI) July weekly call option implied volatility is at 140, August is at 70; compared to its 52-week range of 8 to 75 into expiration of Qualcomm’s (QCOM) bid.

Apple (AAPL) July weekly call option implied volatility is at 16, August weekly is at 31, August is at 23, September is at 20; compared to its 52-week range of 16 to 33 into the expected release of Q3 after the market close on July 31. Call put ratio 1.5 calls to 1 put.

Straddle prices for stocks expected to report results this week
Amazon (AMZN) July weekly 1862.50 straddle priced for move of 4.9% into the expected release of EPS
Intel (INTC) July weekly 52.50 straddle priced for move of 4.2% into the expected release of EPS
Amgen (AMGN) July weekly 192.50 straddle priced for move of 3% into the expected release of EPS
AbbVie (ABBV) July weekly 93 straddle priced for move of 4% into the expected release of EPS before the open on July 27
Aon (AON) August 145 straddle priced for move of 3.8% into the expected release of EPS before the open on July 27
Chevron (CVX) July weekly 125 straddle priced for move of 2.2% into the expected release of EPS before the open on July 27
Colgate (CL) July weekly 66 straddle priced for move of 3.4% into the expected release of EPS before the open on July 27
Exxon (XOM) July weekly 83 straddle priced for move of 2.1% into the expected release of EPS before the open on July 27
Merck (MRK) July weekly 64.50 straddle priced for move of 2.2% into the expected release of EPS before the open on July 27
Twitter (TWTR) July weekly 44 straddle priced for move of 10.5% into the expected release of EPS before the open on July 27

Increasing unusual option volume: IQV VRAY AN RACE BLDR CLD RLGY TELL
Increasing unusual call option volume: RLGY VRAY RACE TELL CLD DAN
Increasing unusual put option volume: MBI LEA GLW NOK AN IWF TUP
Popular stocks with increasing unusual option volume: FB NXPI KO AMZN MU
Options with decreasing option implied volatility: PGNX SKX BILI GRUB WIX KEM
Cboe Bitcoin July futures up 150 to 8270