Pre-Market IV Report June 26, 2019

Pre-Market IV Report June 26, 2019

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 over looked information.

Options with increasing option implied volatility: RIOT ABBV GLD GDXJ AUY FDX GLD ITCI RHT PFE EBAY ITCI XLNX ALXN TWTR IRBT FOLD CMG HAS WHR UBS GOOGL GOOG HSY GLD

Options expected to have increasing volume: MU BB FDX AGN ABBV

iShares China Large-Cap (FXI) June weekly call option implied volatility is at 22, July is at 21; compared to its 52-week range of 17 to 33 into Chinese President Xi Jinping and President Trump meeting at G20.

Db X-trackers Harvest Csi 300 China A – Shares Fund (ASHR) June weekly and July call option implied volatility is at 26; compared to its 52-week range of 20 to 36 into G20.

Option implied volatility for American corporations with revenue growth strategies on expanding in China

General Motors Co. (GM) 30-day option implied volatility is at 25, compared to its 52-week range of 21 to 46 into G20
Ford Motor (F) 30-day option implied volatility is at 30, compared to its 52-week range of 19 to 55
Nike Inc. (NKE) 30-day option implied volatility is at 31, compared to its 52-week range of 17 to 46
Tiffany & Co. (TIF) 30-day option implied volatility is at 28, compared to its 52-week range of 19 to 51
MGM Resorts International (MGM) 30-day option implied volatility is at 36, compared to its 52-week range of 25 to 59
Wynn Resorts Limited (WYNN) 30-day option implied volatility is at 45, compared to its 52-week range of 27 to 72

Metal IV into G20

AK Steel (AKS) June weekly call option implied volatility is at 58, June is at 59; compared to its 52-week range of 40 to 96.

Nucor (NUE) June weekly call option implied volatility is at 29, July is at 28, July is at 29; compared to its 52-week range of 22 to 45.

Steel Dynamics (STLD) June weekly and July call option implied volatility is at 35; compared to its 52-week range of 25 to 49. Call put ratio 8 calls to 1 put

U.S. Steel (X) June weekly call option implied volatility is at 60, July is at 51; compared to its 52-week range of 34 to 65. Call put ratio 4 calls to 1 put.

Vale S.A. (VALE) June weekly call option implied volatility is at 34, July is at 36; compared to its 52-week range of 34 to 58.

Rio Tinto plc (RIO) June weekly call option implied volatility is at 20, July is at 22; compared to its 52-week range of 22 to 40.

Freeport-McMoran (FCX) June weekly call option implied volatility is at 41, July is at 38; compared to its 52-week range of 34 to 67. Call put ratio 1.9 calls to 1 put with focus on September 13 calls.

BHP Billiton Ltd. (BHP) June weekly call option implied volatility is at 23, July is at 22; compared to its 52-week range of 22 to 53 as shares near five year high.

Straddle prices for stocks expected to report results this week
BlackBerry (BB) June weekly 8.5 straddle price for a move of 12% into the expected quarterly release today before the bell
General Mills (GIS) July 55 straddle price for a move of 5% into the expected quarterly release today before the bell
Paychex (PAYX) July 85 straddle price for a move of 5.5% into the expected quarterly release today before the bell
Worthington Industries (WOR) July 35 straddle price for a move of 10% into the expected quarterly release today after the bell
Accenture (ACN) June weekly 185 straddle price for a move of 4% into the expected quarterly release before the bell on June 27
Conagra (CAG) July 29 straddle price for a move of 7% into the expected quarterly release before the bell on June 27
McCormick (MKC) July 155 straddle price for a move of 5% into the expected quarterly release before the bell on June 27
Nike (NKE) June weekly 82.50 straddle price for a move of 5.5% into the expected quarterly release after the bell on June 27
Walgreens Boots Alliance (WBA) June weekly 53 straddle price for a move of 5.5% into the expected quarterly release before the bell on June 27
Constellation Brands (STZ) June weekly 185 straddle price for a move of 5.5% into the expected quarterly release before the bell on June 28
Eros (EROS) July weekly straddle 2.5 price for a move of 22% into the expected quarterly release before the bell on June 28
Rite Aid (RAD) June weekly 7 straddle price for a move of 20% into the expected quarterly release before the bell on June 28
JinkoSolar (JKS) July 21 straddle price for a move 17% of into the expected quarterly release before the bell on June 28

Riot Blockchain (RIOT) June weekly call option implied volatility is at 200, July is at 150; compared to its 52-week range of 77 to 257 as Bitcoin trades above $12,000. Call put ratio 4 calls to 1 put.

Refiner option implied volatility as gasoline futures trade higher after last week’s fire at Philadelphia Energy Solutions refinery
Phillips 66 (PSX) 30 day option implied volatility is at 25; compared to its 52-week range of 16 to 44
Marathon Petroleum (MPC) 30 day option implied volatility is at 38; compared to its 52-week range of 22 to 50
Valero (VLO) 30 day option implied volatility is at 30; compared to its 52-week range of 20 to 48

Treasury prices continued to rise (indicating falling yields), implied volatility rose slightly and remains elevated relative to the levels from most of 2018 and early this year. Gold prices and implied volatility continued to rise.

Options with decreasing option implied volatility: BIDU LOW MLNT CZR AGN LK KMX BKS NYCB BKLN
Increasing unusual option volume: EMLC VICI EXTR EPR RPM TV PE KSA ABBV CCK AGN GDX LEN IAU W BHF
Increasing unusual call option volume: RPLM CCK KSA ABBV PE GDX SBGL NWL AGN ERI GBX BOOT LEN GOLD NDD IAU UIS
Increasing unusual put option volume: EXTR TV PE AGN EDIT ABBV DAN AMC FTCH FNSR LEN LNC BYD ERI
Popular stocks with increasing unusual volume: BYND ROKU ABBV AGN GOLD X TEVA
Active options: AAPL MU MST AMD FB ABBV BAC SNAP NFLX TSLA AMZN GOLD X TEVA BABA BYND NVDA FDX AGN ROKU