Pre-Market IV Report June 26, 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: SDS SVXY VXX UVXY SPY BABA GOOGL GOOG NFLX AMZN CPB NVDA BIDU M V BKNG

Options expected to have increasing volume: GE WBA BHGE NKE BBBY GIS

General Electric (GE) June weekly call option implied volatility is at 39, July is at 37; compared to its 52-week range of 15 to 46 into WSJ reports plan to spin off several units.

Walgreens Boots Alliance (WBA) June weekly call option implied volatility is at 45, July is at 27; compared to its 52-week range of 15 to 39 into replacing General Electric (GE) in DJIA today at open.

Large Cap Tech stocks option implied volatility increases

Alibaba (BABA) June weekly call option implied volatility is at 45, July is at 34; compared to its 52-week range of 24 to 43.

Amazon (AMZN) June weekly call option implied volatility is at 33, July is at 27; compared to its 52-week range of 18 to 52.

Netflix, Inc. (NFLX) June weekly call option implied volatility is at 57, July is at 59; compared to its 52-week range of 23 to 63.

Apple (AAPL) June weekly call option implied volatility is at 25, July is at 21; compared to its 52-week range of 16 to 34.
NVIDIA (NVDA) June weekly call option implied volatility is at 44, July is at 34; compared to its 52-week range of 25 to 61.

Alphabet (GOOGL) June weekly call option implied volatility is at 31, July is at 25; compared to its 52-week range of 14 to 40.

Facebook (FB) June weekly call option implied volatility is at 34, July is at 27; compared to its 52-week range of 16 to 44.
Twitter (TWTR) June weekly call option implied volatility is at 55, July is at 47; compared to its 52-week range of 33 to 84.
Square (SQ) June weekly call option implied volatility is at 54, July is at 45; compared to its 52-week range of 32 to 75
Snap (SNAP) June weekly call option implied volatility is at 59, July is at 54; compared to its 26-week range of 39 to 98.

Straddle prices for stocks expected to report results this week

Paychex (PAYX) July 70 straddle priced for move of 4.5% into the expected release of Q4 results on June 27
Bed Bath & Beyond (BBBY) June weekly 19.50 straddle priced for move of 13% into the expected release of Q1 results on June 27
General Mills (GIS) July 45 straddle priced for move of 8% into the expected release of Q4 results before the market open on June 27
Nike (NKE) June weekly 72.50 straddle priced for move of 5.5% into the expected release of Q4 results on June 27
Accenture (ACN) June weekly 155 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 5.5% into the expected release of Q4 results before the market open on June 28

Increasing unusual option volume: CERS CPB CHRS EWG ABB CCL CMC BKE SPHS ATI BKE LEN
Increasing unusual call option volume: ABB OMC GTN CERS CPB SPHS SEE BWP
Increasing unusual put option volume: EWG KTOS CCL BKE LEN DDS CROX WPX
Popular stocks with increasing unusual option volume: CPB FCX GE
Options with decreasing option implied volatility: BB KMX UCO RHT IMMU XLE
Cboe Bitcoin July futures down 40 to 6220