Pre-Market IV Report July 31, 2019

Pre-Market IV Report July 31, 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: GM ZNGA APHA FEYE SWN ECA GDXJ COTY PLAY BBY BURL TIF WDAY TEVA WMT SHOP XPO YETI W CIEN COF GE

Options expected to have increasing volume: AMGN GILD EA AAPL MDLZ YUMC YUM AMT GE ADP RRD UIS NCR NUVA TCS AMD HUM TAP NLSN SPOT YETI W

Apple (AAPL) August weekly call option implied volatility is at 61, August is at 32; compared to its 52-week range of 16 to 46 into shares trading up in the premarket on services outlook.

Bank of America (BAC) 30-day option implied volatility is at 20; compared to its 52-week range 16 to 47 into FOMC announcement of the Fed Funds target rate.

Citi (C) 30-day option implied volatility is at 19; compared to its 52-week range 16 to 55 into FOMC announcement of the Fed Funds target rate.

Straddle prices for stocks expected to report quarterly results this week

Arcelormittal (MT) August weekly 16.50 straddle priced for a move of 4% into the expected release of quarterly results before the bell on August 1

Archer Daniels Midland (ADM) August weekly 41 straddle priced for a move of 3% into the expected release of quarterly results before the bell on August 1

Avon (AVP) August weekly 4 straddle priced for a move of 8% into the expected release of quarterly results before the bell on August 1

Clorox (CLX) August weekly 165 straddle priced for a move of 4% into the expected release of quarterly results before the bell on August 1

Crocs (CROX) August 23 straddle priced for a move of 13% into the expected release of quarterly results on August 1

EOG Resources (EOG) August weekly 86 straddle priced for a move of 4% into the expected release of quarterly results after the bell on August 1

First Solar (FSLR) August weekly 66 straddle priced for a move of 4.5% into the expected release of quarterly results on August 1

Flour (FLR) August weekly 33 straddle priced for a move of 9% into the expected release of quarterly results after the bell on August 1

Generac (GNRC) August 72.50 straddle priced for a move of 7% into the expected release of quarterly results before the bell on August 1

General Motors (GM) August weekly 40.50 straddle priced for a move of 3.5% into the expected release of quarterly results before the bell on August 1

GoPro (GPRO) August weekly 5.5 straddle priced for a move of 12% into the expected release of quarterly results after the bell on August 1

Hanesbrands (HBI) August 16 straddle priced for a move of 9% into the expected release of quarterly results before the bell on August 1

Herbalife (HLF) August weekly 41.50 straddle priced for a move of 8% into the expected release of quarterly results after the bell on August 1

Intercontinental Exchange (ICE) August 87.50 straddle priced for a move of 4% into the expected release of quarterly results before the bell on August 1

Iron Mountain (IRM) August 30 straddle priced for a move of 5%into the expected release of quarterly results on August 1

Kraft Heinz (KHC) August weekly 31.50 straddle priced for a move of 5.5% into the expected release of quarterly results before the bell on August 1

Motorola Solutions (MSI) August 165 straddle priced for a move of 6% into the expected release of quarterly results after the bell on August 1

Penn National Gaming (PENN) August 20 straddle priced for a move of 10% into the expected release of quarterly results on August 1

Redfin (RDFN) August 18 straddle priced for a move of into the expected release of 11% quarterly results after the bell on August 1

Royal Dutch Shell (RDS/B) August 64 straddle priced for a move of 4% into the expected release of quarterly results on August 1

Shopify (SHOP) August weekly 315 straddle priced for a move of 7% into the expected release of quarterly results before the bell on August 1

United States Steel (X) August 15.5 straddle priced for a move of 8% into the expected release of quarterly results after the bell on August 1

Verizon (VZ) August weekly 56 straddle priced for a move of 3% into the expected release of quarterly results before the bell on August 1

Wayfair (W) August weekly 132 straddle priced for a move of 13% into the expected release of quarterly results before the bell on August 1

XPO Logistics (XPO) August 67 straddle priced for a move of 10% into the expected release of quarterly results after the bell on August 1

YETI Holdings (YETI) August weekly 35 straddle priced for a move of 13% into the expected release of quarterly results before the bell on August 1

YUM! Brand (YUM) August weekly 113 straddle priced for a move of 3.5% into the expected release of quarterly results before the bell on August 1

CrowdStrike Holdings Inc. (CRWD) August call option implied volatility is at 58, September is at 60; compared to its 5-week range of 53 to 87. Call put ratio 2.6 calls to 1 put with focus on August 95 and 100 calls.

Reminder, option implied volatility doesn’t suggest a direction the underlying market might move; it simply tells us the magnitude of the move the options market is pricing.

Options with decreasing option implied volatility: GOOG CAG CSX ALGN ABBV SNAP IRBT DISH DBD TWTR BYND GRUB
Increasing unusual option volume: GCI LEG SSNC PRTY BERY SNN TACO TREX
Increasing unusual call option volume: SNN PRTY TREX BERY QNST SKY
Increasing unusual put option volume: LEG SSNC AR BERY GPRE COF
Popular stocks with increasing unusual volume: PG MYL BBBY PFE
Active options: AAPL BYND AMD TSLA PFE BABA FB NFLX T GE BAC AMZN SNAP BA MU BBBY MSFT MDR PG MYL