Pre-Market IV Report June 20, 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: DBX IBM BB KR IQ SKX PCG BA SOGO DWDP SRNE EFA UPS XLB SBUX MU SRPT ORCL FDX

Options expected to have increasing volume: GE SBUX ORCL MU FDX WBA

Netflix (NFLX) option implied volatility flat as shares close above $400

Netflix (NFLX) June weekly call option implied volatility is at 44, July is at 50; compared to its 52-week range of 23 to 63 as shares trade at a record high.

Micron (MU) June weekly call option implied volatility is at 106, July is at 53; compared to its 52-week range of 35 to 77 into the expected release of Q3 results today after the market close. Call put ratio 2.2 calls to 1 put.

Sarepta Therapeutics (SRPT) June weekly call option implied volatility is at 123, July is at 70; compared to its 52-week range of 40 to 85. Call put ratio 1.6 calls to 1 put after positive early study of muscular dystrophy treatment.

General Electric (GE) June weekly call option implied volatility is at 34, July is at 33; compared to its 52-week range of 15 to 46 into being removed from Dow Jones Industrials index. Call put ratio 1 call to 2 puts.

Walgreens Boots Alliance (WBA) June weekly call option implied volatility is at 24, July is at 25; compared to its 52-week range of 15 to 39 into inclusion in Dow Jones Industrial Index.

Straddle prices for stocks expected to report results this week

Micron (MU) June weekly 59 straddle priced for a move of 8% into the expected release of Q3 results after the market close on June 20
Winnebago (WGO) July 40 straddle priced for move of 12% into the expected release of Q3 before the market open on June 20
Patterson Cos. (PDCO) July 22 straddle priced for move of 9.8% into the expected release of Q4 before the market open on June 21
Barnes & Noble (BKS) July 6 straddle priced for move of 15% into the expected release of Q4 before the market open on June 21
Darden Restaurants (DRI) July 95 straddle priced for move of 7.2% into the expected release of Q4 before the market open on June 21
Kroger (KR) June weekly 26 straddle priced for move of 7% into the expected release of Q1 before the market open on June 21
Red Hat (RHT) June 170 straddle priced for move of 6.3% into the expected release of Q1 before the market open on June 21
CarMax (KMX) June weekly 73 straddle priced for move of 5.3% into the expected release of Q1 before the market open on June 22
Blackberry (BB) June 12 weekly straddle priced for a move of 7.5% into the expected release of Q1 results before the open on June 22

The oil ‘Majors’ option implied volatility into OPEC

PetroChina (PTR) 30-day option implied volatility is at 19; compared to its 52-week range of 16 to 33
CNOOC (CEO) 30-day option implied volatility is at 19; compared to its 52-week range of 15 to 35
Sinopec (SNP) 30-day option implied volatility is at 17; compared to its 52-week range of 16 to 36

Increasing unusual option volume: WBC ILF LLNW NEPT LZB FLT PAGS VST NDLS
Increasing unusual call option volume: LLNW NEPT ALLY FLT MIK PAGS WING
Increasing unusual put option volume: ILF SRNE SRPT AR PAGS DVA LZB AMLP AU
Options with decreasing option implied volatility: PAY AFSI SRPT S RCII NXPI BSX VRX FOXA
Popular stocks with increasing unusual option volume: PBR IQ C MU SPRT
Cboe Bitcoin July futures down 107 to 6640