Pre-Market IV Report July 27, 2018

Pre-Market IV Report July 27, 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: CMG INTC FOLD URBN COTY ADSK BPY LOW HPQ XOM EA AMZN TWTR SBUX

Options expected to be active: EA EXPE AMGN TLT INTC SBUX CMG FB AMZN XOM CVX BP

Apple (AAPL) August weekly call option implied volatility is at 33, August is at 25, 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 1.49 calls to 1 put.

Facebook (FB) July weekly call option implied volatility is at 56, August weekly is at 41, August is at 34; compared to its 52-week range of 16 to 44. Call put ratio 1.4 calls to 1 put after sell off.

iShares 20+ Year Treasury Bond ETF (TLT) August weekly call option implied volatility is at 11, August is at 9, September is at 10; compared to its 52-week range of 17 to 30 into GDP release.

Twitter (TWTR) July weekly call option implied volatility is at 308, August is at 80; compared to its 52-week range of 33 to 84 into the expected release of EPS today before the market open.

Straddle prices for stocks expected to report results the week of July 30

AK Steel (AKS) August weekly 5 straddle priced for move of 8.5% into the expected release of EPS after the close on July 30
Athenahealth (ATHN) August 150 straddle priced for move of 7.5% into the expected release of EPS after the close on July 30
First Data (FDC) August 23 straddle priced for move of 7% into the expected release of EPS before the open on July 30
Caterpillar (CAT) August weekly 143 straddle priced for move of 5% into the expected release of EPS on July 30
Illumina (ILMN) August weekly 312.50 straddle priced for move of 7% into the expected release of EPS after the close on July 30
NutriSystem (NTRI) August 40 straddle priced for move of 12% into the expected release of EPS after the close on July 30
Rambus (RMBS) August weekly 13 straddle priced for move of 7.6% into the expected release of EPS after the close on July 30
SunPower (SPWR) August weekly 7 straddle priced for move of 11% into the expected release of EPS after the close on July 30
Texas Roadhouse (TXRH) August 70 straddle priced for move of 8% into the expected release of EPS

Increasing unusual option volume: QURE MHK SVU UNM NLSN CRI
Increasing unusual call option volume: MHK QURE SVU CRI SYF JAG CHRW
Increasing unusual put option volume: SVU PEGI UUP NLSN DXJ
Popular stocks with increasing unusual option volume: EA GILD QCOM F
Options with decreasing option implied volatility: SGNX SKX NXPI UAA UA BILI MAT
Cboe Bitcoin July futures down 350 to 7950