Pre-Market IV Report June 17, 2019

Pre-Market IV Report June 17, 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 HTZ PCG PEP FDX TEVA S BBBY

Options expected to have increasing volume: DB AAL UAL DAL LUV JBLU ALK ALGT INCY ADBE ORCL JBL BA TGT

Option implied volatility for banks into FOMC meeting and stress tests results to be released on June 21

Bank of America (BAC) 30-day option implied volatility is at 25; compared to its 52-week range 16 to 47
Citi (C) 30-day option implied volatility is at 26; compared to its 52-week range 16 to 55
Goldman Sachs (GS) 30-day option implied volatility is at 25; compared to its 52-week range 15 to 50
JPMorgan (JPM) 30-day option implied volatility is at 21; compared to its 52-week range 15 to 41
Morgan Stanley (MS) 30-day option implied volatility is at 27; compared to its 52-week range 18 to 50
U.S. Bancorp (USB) 30-day option implied volatility is at 16; compared to its 52-week range 13 to 36
Wells Fargo (WFC) 30-day option implied volatility is at 22; compared to its 52-week range 16 to 45
PNC Financial Services (PNC) 30-day option implied volatility is at 22; compared to its 52-week range of 15 to 43
State Street (STT) 30-day option implied volatility is at 35; compared to its 52-week range 18 to 47
Capital One Financial (COF) 30-day option implied volatility is at 23; compared to its 52-week range of 17 to 44
Northern Trust (NTRS) 30-day option implied volatility is at 26; compared to its 52-week range 17 to 40
Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 17; compared to its 52-week range of 13 to 34

iShares 20+ Year Treasury Bond ETF (TLT) June call option implied volatility is at 11, July is at 12; compared to its 52-week range of 8 to 13 FOMC policy decision.

Deutsche Bank (DB) June call option implied volatility is at 30, July is at 31; compared to its 52-week range of 29 to 61 into set up EUR50B bad bank, Financial Times reports.

Beyond Meat (BYND) June call option implied volatility is at 131, July is at 104; compared to its 4-week range of 89 to 141.

Riot Blockchain (RIOT) June call option implied volatility is at 116, July is at 112; compared to its 52-week range of 77 to 257 as bitcoin prices trend higher.

Straddle prices for stocks expected to report quarterly results this 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 26.50 straddle priced for a move of 8% 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% into the expected release of quarterly results on June 18.

Oracle (ORCL) June 53 straddle priced for a move of 5.5% into the expected release of quarterly results after the bell on June 19.

Steelcase (SCC) 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 41 priced for a move of 8.5% 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 7.5% into the expected release of quarterly results after the bell on June 20.

Kroger (KR) June 24 straddle priced for a move of 9% into the expected release of quarterly results before the bell on June 20.

CarMax (KMX) June straddle 84 priced for a move of 8% into the expected release of quarterly results before the bell on June 20.

Incyte (INCY) June call option implied volatility is at 33, July is at 34; compared to its 52-week range of 31 to 53 into hosting a conference call to discuss its portfolio of inflammation and autoimmunity drugs.

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

Increasing unusual option volume: AMPE AGI VGK TEO UNVR WU VNET ITT AM LM BFR
Increasing unusual call option volume: AGI AMPE IYR EFA AM BFR GBT GII RDFN SSRM AEO SUM
Increasing unusual put option volume: WU VGK LM ARQL ITT HP GNW MEET DLTH MAS MRNA CHL GBT KKR
Popular stocks with increasing unusual volume: BYND TEVA S AVGO
Options with decreasing option implied volatility: PLAY CLDR GME SFLY ARQL TLRD
Active options: AAPL AMD FB DIS TSLA BYND NVDA NFLX AMZN MSFT SNAP INTC MU BAC BABA GE AVGO TEVA S T INTC