Pre-Market IV Report June 21, 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: GBT BB IBM PCG BOX TSRO BB IBM WBA HPE RIOT AGN MU SQ

Options expected to have increasing volume: MU HPQ BB RHT FOXA DIS CMCSA

Blackberry (BB) June weekly call option implied volatility is at 124, July is at 47; compared to its 52-week range of 28 to 59 into the expected release of Q1 results on June 22. Call put ratio 5.9 calls to 1 put.

Red Hat (RHT) June weekly call option implied volatility is at 99, July is at 36, compared to its 52-week range of 19 to 43 into the expected release of Q1 results today after the market close.

The oil ‘Majors’ option implied volatility during OPEC meeting

Chevron (CVX) 30 day option implied volatility is at 20; compared to its 52-week range of 12 to 30
Marathon Petroleum (MPC) 30 day option implied volatility is at 29; compared to its 52-week range of 20 to 37
Hess Corp. (HES) 30 day option implied volatility is at 34; compared to its 52-week range of 28 to 50
Exxon Mobil (XOM) 30 day option implied volatility is at 18; compared to its 52-week range of 10 to 28
ConocoPhillips (COP) 30 day option implied volatility is at 27; compared to its 52-week range of 19 to 36
BP plc (BP) 30 day option implied volatility is at 21; compared to its 52-week range of 12 to 36

Straddle prices for stocks expected to report results this week

Red Hat (RHT) June 170 straddle priced for move of 6% into the expected release of Q1 results today after the market close
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
CarMax (KMX) June weekly 73 straddle priced for move of 5.1% into the expected release of Q1 before the market open on June 22
Rite Aid (RAD) June weekly 2 straddle priced for move of 19% into the expected release of Q1 before the market open on June 22

Increasing unusual option volume: BVN FOXA KR BIG CRTO ALRM EFX
Increasing unusual call option volume: CRTO EFX BVN VWO WGO FOX KR FOXA PTCT
Increasing unusual put option volume: ARRY BIG ALRM FOXA KR
Popular stocks with increasing unusual option volume: PBR MSFT CMCSA SBUX FOXA
Options with decreasing option implied volatility: ORCL FDX AAOI GM VRX GME UPS TWLO
Cboe Bitcoin July futures down 22 to 6635