Pre-Market IV Report June 10, 2019

Pre-Market IV Report June 10, 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: PCG BBBY NIO M AVGO DB MYL KHC FDX QURE

Options expected to have increasing volume: UTX RTN BA LMT NOC HON KHC

Raytheon (RTN) and United Technologies (UTX) option implied volatility low, into all-stock merger of equals

Raytheon (RTN) June weekly call option implied volatility is at 19, June and July is at 18; compared to its 52-week range of 20 to 53 into announcing with United Technologies (UTX) an agreement to combine in an all-stock merger of equals. The combined company will be named Raytheon Technologies Corporation, and will exclude Otis and Carrier, which are expected to be separated from United Technologies in the first half of 2020 as previously announced. The combined company will have approximately $74B in pro forma 2019 sales.

United Technologies (UTX) June weekly, June and July call option implied volatility is at 20; compared to its 52-week range of 15 to 38.

Northrop Grumman (NOC) June weekly call option implied volatility is at 18, June and July is at 19; compared to its 52-week range 18 to 48.

Lockheed Martin (LMT) June weekly call option implied volatility is at 15, June and July is at 16; compared to its 52-week range 16 to 41.

General Dynamics (GD) June weekly, June and July call option implied volatility is at 16; compared to its 52-week range 16 to 42.

Boeing (BA) June weekly call option implied volatility is at 23, June and July is at 24; compared to its 52-week range 19 to 46.

L3 Technologies (LLL) June call option implied volatility is at 12, July is at 18; compared to its 52-week range 16 to 40.

Honeywell (HON) June weekly call option implied volatility is at 15, June and July is at 18; compared to its 52-week range 13 to 34.

Ishares Msci Mexico Capped Etf (EWW) June weekly call option implied volatility is at 23, June is at 22, July is at 21; compared to its 52-week range of 17 to 43 into U.S. strikes deal with Mexico to avoid new tariffs.

Ford Motor (F) June weekly, June and July call option implied volatility is at 27; compared to its 52-week range of 19 to 55 into U.S. strikes deal with Mexico to avoid new tariffs.

General Motors (GM) June weekly, June and July call option implied volatility is at 27; compared to its 52-week range of 20 to 46.

Fiat Chrysler Automobiles (FCAU) June weekly call option implied volatility is at 31, June is at 33, July is at 32; compared to its 52-week range of 30 to 55.

Delphi Technologies (DLPH) June call option implied volatility is at 53, July is at 55; compared to its 52-week range of 23 to 71 into U.S. strikes deal with Mexico to avoid new tariffs.

Borg Warner (BWA) June call option implied volatility is at 29, July is at 30; compared to its 52-week range of 24 to 48 into U.S. strikes deal with Mexico to avoid new tariffs.

Whirlpool (WHR) June weekly call option implied volatility is at 28, June is at 29, July is at 27; compared to its 52-week range of 22 to 49.

CSX Corp. (CSX) June weekly call option implied volatility is at 19, June is at 20, July is at 22; compared to its 52-week range of 16 to 49.

Walmart (WMT) June weekly, June and July call option implied volatility is at 15; compared to its 52-week range of 14 to 30.

Kansas City Southern (KSU) June weekly call option implied volatility is at 28, June is at 26, July is at 27; compared to its 52-week range of 19 to 44.

Norfolk Southern (NSC) June weekly, June and July call option implied volatility is at 21, June is at 22; compared to its 52-week range of 50.

Union Pacific (UNP) June and July call option implied volatility is at 20; compared to its 52-week range of 16 to 41.

PepsiCo (PEP) June weekly call option implied volatility is at 15, June and July is at 16; compared to its 52-week range of 13 to 30 into U.S. strikes deal with Mexico to avoid new tariffs.

Straddle prices for stocks expected to report quarterly results this week

Ascena Retail Group (ASNA) June 1 straddle priced for move of 35% into the expected release of quarterly results after the bell on June 10.

Chicos (CHS) June 3 straddle priced for move of 28% into the expected release of quarterly results before the bell on June 11.

Dave and Busters Entertainment (PLAY) June weekly 49.50 straddle priced for move of 7% into the expected release of quarterly results after the bell on June 11.

H&R Block (HRB) June 27 straddle priced for move of 9% into the expected release of quarterly results before the bell on June 11.

HD Supply (HDS) June 42.50 straddle priced for move of 5.5% into the expected release of quarterly results before the bell on June 11.

Kraft Heinz (KHC) June weekly 29 straddle priced for move of 7.5% into the expected release of quarterly results before the bell on June 11.

RH (RH) June weekly 89 straddle priced for move of 18.5% into the expected release of quarterly results after the bell on June 12.

Broadcom (AVGO) June weekly 275 straddle priced for move of 6.5% into the expected release of quarterly results after the bell on June 13.

Increasing unusual option volume: ATUS HGV ONB CBAY BOOM BHVN DOCU CLDR ALL PD UNFI VSH
Increasing unusual call option volume: BOOM ONB ATUS BKS ALL CBAY PD BHVN STAA SIG NEPT DOCU
Increasing unusual put option volume: DVAX CLDR GBT FTCH UNFI DOCU GES XAU PD
Popular stocks with increasing unusual volume: BYND SNAP ROKU CLDR SQ
Options with decreasing option implied volatility: LOW HOME CIEN CLDR CY BKS S SFIX SIG TIVO