Pre-Market IV Report June 25, 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: SHY FLEX AFSI UCO BLUE SKT ESRX VRTX CLF TSRO PCG OTSK IBM AMZN NFLX CMCSA

Options expected to have increasing volume: AAPL SPY QQQ GE NKE BBBY GIS

iShares China Large-Cap (FXI) option implied volatility low into tariff deadlines

iShares China Large-Cap (FXI) June weekly call option implied volatility is at 21, July is at 20, August is at 19; compared to its 52-week range of 14 to 33 into the Treasury Department expected to release investment restrictions on Chinese businesses on July 1.

Chipotle Mexican Grill (CMG) June weekly call option implied volatility is at 50, July is at 34; compared to its 52-week range of 21 to 48 into a scheduled special investor call on June 27.

iShares MSCI Turkey ETF (TUR) June weekly call option implied volatility is at 43, August is at 41; compared to its 52-week range of 19 to 44 into Turkey’s Erdogan claims victory in presidential election.

Turkcell Iletisim Hizmetleri A.s. (TKC) June weekly call option implied volatility is at 80, August is at 65; compared to its 52-week range of 15 to 122 into Erdogan claims victory in Turkey presidential elections.

General Electric (GE) June weekly 29 call option implied volatility is at 29, July is at 33; compared to its 52-week range of 15 to 46 into Walgreens Boots Alliance (WBA) to replace General Electric in DJIA at open on June 26. Call put ratio 2.2 calls to 1 put after being removed from Dow Jones Industrials index.

Walgreens Boots Alliance (WBA) June weekly call option implied volatility is at 35, July is at 25; compared to its 52-week range of 15 to 39.

Carnival Corp (CCL) June 29 weekly call option implied volatility is at 38, July is at 25; compared to its 52-week range of 18 to 34 into the expected release of Q2 results before the open today.

Lennar (LEN) July call option implied volatility is at 38, July is at 35; compared to its 52-week range of 19 to 45 into the expected release of Q2 results before the open on June 26.

Paychex (PAYX) July call option implied volatility is at 21, August is at 19; compared to its 52-week range of 15 to 32 into the expected release of Q4 results before the open on June 26.

Sonic (SONC) July call option implied volatility is at 39, August is at 34; compared to its 52-week range of 15 to 32 into the expected release of Q3 results after market close on June 26.

Straddle prices for stocks expected to report results this week

Carnival Corp (CCL) June weekly 63.50 straddle priced for a move of 4.8% 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 8.5% into the expected release of Q2 results on June 26
Paychex (PAYX) July 70 straddle priced for move of 4.5% into the expected release of Q4 results on June 26
Sonic (SONC) July 35 straddle priced for a move of 8.5% 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 73.50 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 4.2% into the expected release of Q3 results before the market open on June 28
Conagra (CAG) July 39 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 5.3% into the expected release of Q3 results on June 28
Constellation Brands (STZ) June 230 straddle priced for move of 4% into the expected release of Q1 results before the market open on June 29
H.B. Fuller (FUL) July 55 straddle priced for move of 8% into the expected release of Q2 results after the market close on June 29
Increasing unusual option volume: IWO LSXMA CNDT GPC INFI KMX AMWC MTZ RHT TUP EMES
Increasing unusual call option volume: LSXMA KMX GPC INFI TAHO RHT HCC MTZ SKT RENN JBL DSX
Increasing unusual put option volume: IWO LSXMA EMES GPC MTZ TUP RHT CORT ZAYO
Popular stocks with increasing unusual option volume: TWTR NXPI SBUX C
Options with decreasing option implied volatility: BB KMX RHT USO XLE XOP CVX DVN XOM
Cboe Bitcoin July futures down 5 to 6150