Pre-Market IV Report June 14, 2019

Pre-Market IV Report June 14, 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: KR BB S PEP NIO TEVA AVGO

Options expected to have increasing volume: AVGO AMD NVDA MU SWKS MRVL SWKS TXN

The Fed funds futures market now favors three 25 basis point cuts between now and the end of the year.

S&P 500 (SPY) option implied volatility was slightly higher on Thursday; typically we see implied volatility decline during price rallies so it seems the options market continues to price in the possibility for price movement.

Broadcom (AVGO) June weekly call option implied volatility is at 135, June is at 57, July is at 36; compared to its 52-week range of 21 to 48 into sells off 7% in the premarket on less than expected financial results and FY19 outlook.

Semiconductor names also down in sympathy:

Qualcomm (QCOM) June weekly call option implied volatility is at 35, June is at 33, July is at 32; compared to its 52-week range of 19 to 45

NXP Semiconductor (NXPI) June weekly call option implied volatility is at 33, June is at 32, July is at 32; compared to its 52-week range of 22 to 75

AMD (AMD) June weekly call option implied volatility is at 47, June is at 46, July is at 48; compared to its 52-week range of 41 to 97

Marvell Technology (MRVL) June weekly call option implied volatility is at 33, June is at 33, July is at 34; compared to its 52-week range of 29 to 58

Skyworks Solutions (SWKS) June weekly call option implied volatility is at 44, June is at 33, July is at 37; compared to its 52-week range of 21 to 54

Straddle prices for stocks expected to report quarterly results next week

Adobe (ADBE) June 275 straddle priced for a move of 4.5% into the expected release of quarterly results after the bell on June 18.

Jabil Circuit (JBL) June 27 straddle priced for a move of 8.5% into the expected release of quarterly results after the bell on June 18.

La-Z-Boy (LZB) June 30 straddle priced for a move of 9% into the expected release of quarterly results after the bell on June 18.

The Kraft Heinz Company (KHC) June 30 straddle priced for a move of 3.3% into the expected release of quarterly results on June 18.

Oracle (ORCL) June 55 straddle priced for a move of 5% into the expected release of quarterly results after the bell on June 19.

Steelcase (SCS) June 17.50 straddle priced for a move of 8% into the expected release of quarterly results after the bell on June 19.

Winnebago (WGO) June 35 straddle priced for a move of 11% into the expected release of quarterly results before the bell on June 19.

Canopy Growth Corporation (CGC) June straddle 42.50 priced for a move of 9% into the expected release of quarterly results after the bell on June 20.

Darden (DRI) June 120 straddle priced for a move of 5.5% into the expected release of quarterly results before the bell on June 20.

Commercial Metals (CMC) June 15 straddle priced for a move of 8% into the expected release of quarterly results before the bell on June 20.

Korn Ferry (KFY) June 45 straddle priced for a move of 7% into the expected release of quarterly results after the bell on June 20.

Kroger (KR) June 25 straddle priced for a move of 8% into the expected release of quarterly results before the bell on June 20.
CarMax (KMX) June straddle 82.50 priced for a move of 8% into the expected release of quarterly results before the bell on June 20.

Option implied volatility for aerospace technology into Paris Air Show

United Technologies (UTX) 30-day option implied volatility is at 23; compared to its 52-week range of 15 to 38
General Electric (GE) 30-day option implied volatility is at 35; compared to its 52-week range of 22 to 72
L3 Technologies (LLL) 30-day option implied volatility is at 20; compared to its 52-week range of 16 to 40

Increasing unusual option volume: VUZI KSA XEL MDGL ARCC PAM BCE APA SNN FCEL KO NYCB PLAY NDAQ BAH PZZA ZG Z KTOS
Increasing unusual option volume: SSRM RRGB EQT SUM NVT HTZ BPOP TGE Z ZG PZZA
Increasing unusual call option volume: SSRM EQT TGE HTZ SUM PODD LCI
Increasing unusual put option volume: ARCC NVT HTZ SVRA MCHP FBHS
Popular stocks with increasing unusual volume: DIS LULU BYND WDC HTZ ROKU SNAP
Options with decreasing option implied volatility: GME PLAY CLDR SFLY BKS
Active options: DIS AAPL AMD TSLA NFLX FB AMZN MRK SNAP BABA LULU BYND GE NVDA TWTR MSFT WDC BAC HTZ ROKU