Pre-Market IV Report June 22, 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 PCG NFLX AMZN IMMU ETSY SIRI IQ AMZN EBAY SPY GOOGL EEM IWM BB RHT

Options expected to have increasing volume: BB RHT TCS

Amazon (AMZN) July option implied volatility flat into Amazon’s annual Prime Day

Amazon (AMZN) June weekly and July call option implied volatility is at 23, August is at 31; compared to its 52-week range of 18 to 52 into Amazon’s annual Prime Day anticipated to begin on July 16.

iShares China Large-Cap (FXI) June weekly call option implied volatility is at 29, July is at 21, August is at 20; compared to its 52-week range of 14 to 33 as shares trade near ten-month low.

Pinnacle Foods (PF) option implied volatility flat after reports of ConAgra Brands (CAG) approach

Pinnacle Foods (PF) July call option implied volatility is at 34, August is at 33; compared to its 52-week range of 23 to 58 after reports of ConAgra Brands (CAG) approach.

ConAgra Brands (CAG) July call option implied volatility is at 23, August is at 22; compared to its 52-week range of 18 to 29.

Chipotle Mexican Grill (CMG) June 29 weekly call option implied volatility is at 46, July is at 33; compared to its 52-week range of 21 to 48 into a scheduled special investor call on June 27. Chipotle to test quesadillas, nachos, milkshakes, NY Times reports.

United States Oil Fund (USO) June weekly call option implied volatility is at 55, July is at 34; compared to its 52-week range of 17 to 32 into OPEC output decision.

Straddle prices for stocks expected to report results the week of June 25

Carnival Corp (CCL) June weekly 62.50 straddle priced for a move of 4.7% into the expected release of Q2 results before the market open on June 25
Lennar (LEN) July 52.50 straddle priced for a move of 8% into the expected release of Q2 results on June 26
Paychex (PAYX) July 70 straddle priced for move of 4.2% into the expected release of Q4 results on June 26
Sonic (SONC) July 35 straddle priced for a move of 8% into the expected release of Q3 results after the market close on June 26
Bed Bath & Beyond (BBBY) June weekly 20 straddle priced for move of 11% into the expected release of Q1 results on June 27
CalAmp (CAMP) July 22.50 straddle priced for move of 11% into the expected release of Q1 results after the market close on June 27
General Mills (GIS) July 45 straddle priced for move of 6.5% into the expected release of Q4 results before the market open on June 27
Nike (NKE) June weekly 74 straddle priced for move of 5% into the expected release of Q4 results on June 27
Pier Imports (PIR) July 3 straddle priced for move of 20% into the expected release of Q1 results after the market close on June 27
Accenture (ACN) June weekly 160 straddle priced for move of 4.1% into the expected release of Q3 results before the market open on June 28
Conagra (CAG) July 38 straddle priced for move of 6% into the expected release of Q4 results before the market open on June 28
KBHome (KBH) July 26 straddle priced for move of 8% into the expected release of Q2 results before the market open on June 28
Walgreens Boots Alliance (WBA) June weekly 68 straddle priced for move of 4% into the expected release of Q3 results on June 28

Increasing unusual option volume: AFSI BNS TSG ACOR WEB UEC IWO EWI KLAC FOXA
Increasing unusual call option volume: AFSI KLAC UEC DRI TSG ANDX FOX GDEN KR CRTO
Increasing unusual put option volume: AFSI TXT FOXA HRTX COG EWH
Popular stocks with increasing unusual option volume: IQ INTC FOXA
Options with decreasing option implied volatility: AFSI KR MU AOBC BKS GOOS SRPT ORCL DRI YPF SBUX BOX
Cboe Bitcoin July futures down 330 to 6395