Pre-Market IV Report June 19, 2019

Pre-Market IV Report June 19, 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 LQD DISH NIO ECA KR GLD BB TMUS SKX IBM

Options expected to have increasing volume: ORCL ADBE KMX JBL X NCR LZB

S&P Dep Receipts (SPY) June call option implied volatility is at 16, July is at 14; compared to its 52-week range of 8 to 32 into FOMC rate decision and G20 meeting on June 28-29.

Bond yields hit fresh lows after dovish speech made by Mario Draghi, head of the European Central Bank.
CME Group FedWatch tool indicates that the probability of a rate cut at today’s FOMC meeting has risen from 20% to 26.7% and that the probability for a 50 Basis Point cut by the July 31st meeting has risen from about 16% to 20%. The market will be listening to comments from the Fed.

Beyond Meat (BYND) June call option implied volatility is at 149, July is at 1113; compared to its 4-week range of 89 to 141. Call put ratio 1.2 calls to 1 put.

Oracle (ORCL) June call option implied volatility is at 67, July is at 28; compared to its 52-week range of 15 to 40 into the expected release quarterly results today after the bell. Call put ratio 1 call to 2.8 puts.

Viacom (VIAB) June call option implied volatility is at 38, July is at 30; compared to its 52-week range of 21 to 41 into WSJ report CBS (CBS) board discussed offer for Viacom. Call put ratio 2.2 calls to 1 put with focus on June 29 and 30 calls.

CBS (CBS) June call option implied volatility is at 20, July is at 19; compared to its 52-week range of 22 to 46 into WSJ report board discussed offer for Viacom (VIAB).

Shopify (SHOP) June call option implied volatility is at 50, July is at 43; compared to its 52-week range of 36 to 73 into hosting an investor meeting today.

Tempur Sealy (TPX) June call option implied volatility is at 41, July is at 35; compared to its 52-week range of 33 to 67 into hosting a business news update conference call today.

Merck (MRK) June call option implied volatility is at 20, July is at 16; compared to its 52-week range of 14 to 30 into a company hosted investor day on June 20. Call put ratio 4.8 calls to 1 put with focus on June 84 calls.

Tyson Foods (TSN) June call option implied volatility is at 34, July is at 24; compared to its 52-week range of 18 to 35 into a company hosted investor day on June 20. Call put ratio 1.7 calls to 1 put with focus on July 80 calls.

Micron (MU) June call option implied volatility is at 47, July is at 53; compared to its 52-week range of 34 to 64 into the expected release of quarterly results on June 25. Call put ratio 2.1 calls to 1 put with focus on July calls after Facebook (FB) announced blockchain currency Libra.

Advanced Micro Devices (AMD) June call option implied volatility is at 51, July is at 50; compared to its 52-week range of 40 to 97. Call put ratio 2.1 calls to 1 put with focus on June and July calls.

BlackBerry (BB) June call option implied volatility is at 30, July is at 50; compared to its 52-week range of 30 to 61 into the expected release of quarterly results on June 26. Call put ratio 7.6 calls to 1 put with focus on June calls.

Straddle prices for stocks expected to report quarterly results this week

Oracle (ORCL) June 53 straddle priced for a move of 5% into the expected release of quarterly results today after the bell.

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

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

Canopy Growth Corporation (CGC) June straddle 42 priced for a move of 8.5% into the expected release of quarterly results after the bell on June 20.

Darden (DRI) June 115 straddle priced for a move of 5% into the expected release of quarterly results before the bell on June 20.

Commercial Metals (CMC) June 16 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 8.5% 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.

Option implied volatility for banks into FOMC and stress tests results to be release

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 26; compared to its 52-week range 15 to 50

JPMorgan (JPM) 30-day option implied volatility is at 22; compared to its 52-week range 15 to 41

Morgan Stanley (MS) 30-day option implied volatility is at 28; compared to its 52-week range 18 to 50

U.S. Bancorp (USB) 30-day option implied volatility is at 21; 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 25; compared to its 52-week range 17 to 40

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 18; compared to its 52-week range of 13 to 34

Increasing unusual option volume: PACB VNQ OUT JBL HDB LQD ACAD XON
Increasing unusual call option volume: OUT HDB JBL XME PAM LQD ZG DISCK XON
Increasing unusual put option volume: PETS VNQ ACAD AAXN SPWR RRGB JBL LQD
Popular stocks with increasing unusual volume: X T DIS NWL HSY TMUS
Options with decreasing option implied volatility: BIDU MYL LOW CLDR ARQL TLRD S RH
Active options: FB AAPL AMD TSLA BAC SNAP BYND MU DIS MSFT GE NVDA AMZN BA NFLX NIO INTC T X