Pre-Market IV Report July 9, 2018

Pre-Market IV Report July 9, 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: AKRX MDXG EA NXPI BIIB ROKU AMZN AAPL DPS TGTX AMC ESPR W SNAP

Options expected to have increasing volume: TWTR TSLA TOL WCG ANTM CNC HNT MOH UNH AET HUM

Twitter (TWTR) option implied volatility flat, suspended over 70M accounts, Washington Post says

Twitter (TWTR) July weekly call option implied volatility is at 43 July is at 44, August is at 58; compared to its 52-week range of 33 to 84 into suspended over 70M accounts in May and June, Washington Post says.

Biogen (BIIB) July weekly call option implied volatility is at 34, July is at 31, August is at 33; compared to its 52-week range of 21 to 38 after the company’s Phase 2 BAN2401 study achieved statistical significance on key predefined endpoints evaluating efficacy at 18 months on slowing progression in a measure of Alzheimer’s Disease.

Groupon (GRPN) July weekly and July call option implied volatility is at 40, August is at 61; compared to its 52-week range of 34 to 107 into Groupon executives have contacted several public companies in the past month to try to drum up interest in acquiring the company, according to Recode.

WD-40 Co. (WDFC) July call option implied volatility is at 39, August is at 30; compared to its 52-week range of 15 to 38 into the expected release of Q3 EPS results after the market close on July 10.

Aetna (AET) July weekly call option implied volatility is at 15, July is at 16, August is at 17; compared to its 52-week range of 11 to 35 into the Trump administration halted billions of dollars in payments to health insurers under the Obamacare healthcare law.

Anthem (ANTM) July weekly call option implied volatility is at 18, July is at 18, August is at 22; compared to its 52-week range of 16 to 31

Centene (CNC) July call option implied volatility is at 21, August is at 26; compared to its 52-week range of 22 to 46

Cigna (CI) July weekly call option implied volatility is at 18, July is at 19, August is at 23; compared to its 52-week range of 15 to 33

Humana (HUM) July call option implied volatility is at 19, August is at 20; compared to its 52-week range of 16 to 33

Molina Healthcare (MOH) July call option implied volatility is at 24, August is at 39; compared to its 52-week range of 25 to 63

UnitedHealth (UNH) July weekly call option implied volatility is at 16, July is at 24, August is at 20: compared to its 52-week range of 13 to 33

WellCare (WCG) July call option implied volatility is at 21, August is at 27; compared to its 52-week range of 19 to 50

Straddle prices for stocks expected to report results this week
Bank of Ozarks (OZRK) July 45 straddle priced for move of 6% into the expected release of Q2 results before the open on July 10
PepsiCo (PEP) July weekly 110 straddle priced for move of 2.3% into the expected release of Q2 results before the open on July 10.
WD-40 Co. (WDFC) July 150 straddle priced for move of 6.6% into the expected release of Q3 results after the close on July 10
Delta Airlines (DAL) July weekly 50 straddle priced for move of 4% into the expected release of Q2 results before the open on July 11
Fastenal (FAST) July 48 straddle priced for move of 6% into the expected release of Q2 results before the open on July 11.
Infosys (INFY) July straddle 19 priced for move of 7% into the expected release of Q1 results before the open on July 12
Citigroup (C) July weekly 67 straddle priced for move of 2.7% into the expected release of Q2 results before the open on July 13
JPMorgan (JPM) July weekly 104 straddle priced for move of 2.6% into the expected release of Q2 results before the open on July 13.
PNC Financial (PNC) July 136 straddle priced for move of 3.1% into the expected release of Q2 results before the open on July 13
Wells Fargo (WFC) July weekly 56 straddle priced for move of 3% into the expected release of Q2 results before the open on July 13.

Increasing unusual option volume: ENT ACWI UIS SE ANW
Increasing unusual call option volume: ACWI UIS ENT DRI ANW CARS BIIB
Increasing unusual put option volume: ACWI XON SDRL DPS BIIB EWL SQM
Popular stocks with increasing unusual option volume: T BIIB VZ
Options with decreasing option implied volatility: WBA VMW ORCL NKE FOLD DVMT KBH

Cboe Bitcoin July futures up 132 to 6705