Pre-Market IV Report July 8, 2019

Pre-Market IV Report July 8, 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: ITCI BBBY CAT EBAY FCX MYL GDXJ XLNX EROS DDD GME MDCO W FEYE SHAK UAA ANET RL GRMN CY

Options expected to have increasing volume: PEP DB

Deutsche Bank (DB) July weekly call option implied volatility is at 33, July is at 30, August is at 34; compared to its 52-week range of 29 to 61 into overhaul announcements.

Shopify (SHOP) July weekly call option implied volatility is at 30, July is at 31, August is at 40; compared to its 52-week range of 36 to 73 as shares near record high into Barron’s Tech Trader headline “Thriving as an Antidote to Amazon”.

Amazon (AMZN) July weekly call option implied volatility is at 15, July is at 18, August is at 26; compared to its 52-week range of 20 to 55 into The White House Social Media Summit on July 11 and Amazon Prime Day is July 15 and 16. Call put ratio 1.5 calls to 1 put.

Target (TGT) July weekly call option implied volatility is at 16, July is at 17, August 19; compared to its 52-week range of 19 to 44 into Target Deal Days on July 15 and 16. Call put ratio 1.6 calls to 1 put.

Mylan (MYL) July weekly call option implied volatility is at 33, July is at 34, August is at 55; compared to its 52-week range of 25 to 68 into July 31 investor day.

Copa Holdings (CPA) July call option implied volatility is at 24, August is at 35; compared to tis 52-week range of 27 to 58 after sharp rally. Call put ratio 1.9 calls to 1 put.

The New York Times Co. (NYT) July call option implied volatility is at 20, August is at 30; compared to its 52-week range of 24 to 58 after shares rallied 1%. Call put ratio 88 calls to 1 put with focus on August 36 calls.

Turkcell Iletisim Hizmetleri A.s. (TKC) 30 day option implied volatility is at 45; compared to its 52-week range of 26 to 148 into shares trading lower.

Straddle prices for stocks expected to report quarterly results this week

PepsiCo (PEP) July weekly 133 straddle priced for move of 2.5% into the expected release of quarterly results on July 9.
WD-40 (WDFC) July 160 straddle priced for move of 6% into the expected release of quarterly results on after the bell on July 9.
Bed Bath and Beyond (BBBY) July weekly 11.5 straddle priced for move of 14% into the expected release of quarterly results on after the bell on July 10.
Delta (DAL) July weekly 59 straddle priced for move of 4.5% into the expected release of quarterly results on after the bell on July 11.
Fastenal (FAST) July 32 straddle priced for move of 8% into the expected release of quarterly results on after the bell on July 11.
Infosys (INFY) July 10 straddle priced for move of 6.5% into the expected release of quarterly results on after the bell on July 12.

Option implied volatility for stocks with recent M&A headlines

Magellan Health (MGLN) July weekly call option implied volatility is at 44, August is at 30; compared to its 52-week range of 21 to 63 after recent reports in exclusive talks to be acquired by Centerbridge. Call put ratio 43 call to 1 put with focus on July 75 and 85 calls.

Symantec (SYMC) July weekly call option implied volatility is at 40, July is at 39, August is at 33; compared to its 52-week range of 24 to 60 after recent reports in advanced talks to be acquired by Broadcom (NASDAQ: AVGO).

Nielsen (NLSN) July call option implied volatility is at 44, August is at 45; compared to its 52-week range of 26 to 68.

DISH Network (DISH) July weekly call option implied volatility is at 34, April is at 32, May is at 43; compared to its 52-week range of 33 to 72. Call put ratio 2.1 calls to 1 put into Sprint (S) / T-Mobile (TMUS) deal.

Options with decreasing option implied volatility: ORCL ABBV GME CZR BYND RAD SRPT JKS S AYI NKE
Increasing unusual option volume: NYT SAP K MGLN TD KPTI DCPH MGLN NYT MBT ORBC PAYX CZZ RTRX QEP
Increasing unusual call option volume: TD KPTI RTRX PAYX VG LNX BWA NGL FL MXEA QEP NYT MGLN
Increasing unusual put option volume: HSIC CVE DCPH QEP APO ATHM PAAS SQM SYMC
Popular stocks with increasing unusual volume: EA DIS NIO BYND AMRN
Active options: AAPL TSLA AMD T AMZN FB SNAP MSFT BAC NFLX NVDA ROKU MU NIO DIS BABA AMRN BYND EA GE