Pre-Market IV Report June 27, 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: ZGNX IRBT FOLD TWTR ALGN EXAS P CMG EXPE AKAM

Options expected to have increasing volume: NKE BBBY GIS CMG WWE SONC CMG AZN

Pinnacle Foods (PF) option implied volatility steady after report ConAgra Brands nearing deal to acquire

Pinnacle Foods (PF) July call option implied volatility is at 28, August is at 33; compared to its 52-week range of 23 to 58 after CNBC reported ConAgra Brands (CAG) is nearing a deal to acquire.

Conagra (CAG) July call option implied volatility is at 27, August is at 22; compared to its 52-week range of 18 to 30 into the expected release of Q4 results before the market open on June 28.

Nike (NKE) June weekly call option implied volatility is at 67, July is at 31; compared to its 52-week range of 16 to 34 into the expected release of Q4 results today after the market close.

Bed Bath & Beyond (BBBY) June weekly call option implied volatility is at 157, July is at 68; compared to its 52-week range of 28 to 65 into the expected release of Q1 results today after the market close .

Accenture (ACN) June weekly call option implied volatility is at 53, July is at 25; compared to its 52-week range of 12 to 27 into the expected release of Q3 results before the market open on June 28.

Walgreens Boots Alliance (WBA) June weekly call option implied volatility is at , July is at ; compared to its 52-week range of 14 to 40 into the expected release of Q3 results on June 28.

Bank option implied volatility into Federal Reserve releases part two of its annual bank stress tests

PNC Financial Services (PNC) 30-day option implied volatility is at 23; compared to its 52-week range of 16 to 33
JP Morgan (JPM) 30-day option implied volatility is at 25; compared to its 52-week range of 13 to 34
Goldman Sachs (GS) 30-day option implied volatility is at 25; compared to its 52-week range of 16 to 34
Morgan Stanley (MS) 30-day option implied volatility is at 28; compared to its 52-week range of 19 to 35
Comerica (CMA) 30-day option implied volatility is at 28; compared to its 52-week range of 22 to 36
BB&T (BBT) 30-day option implied volatility is at 24; compared to its 52-week range of 16 to 29
KeyCorp (KEY) 30-day option implied volatility is at 29; compared to its 52-week range of 21 to 38
BNY Mellon (BK) 30-day option implied volatility is at 26; compared to its 52-week range of 15 to 32

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 19; compared to its 52-week range of 12 to 28. Call put ratio 3.8 calls to 1 put into Federal Reserve releases part two of its annual bank stress tests.

Straddle prices for stocks expected to report results this week

Bed Bath & Beyond (BBBY) June weekly 19.50 straddle priced for move of 13% into the expected release of Q1 results today

Nike (NKE) June weekly 72.50 straddle priced for move of 5.5% into the expected release of Q4 results today

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

KBHome (KBH) July 25 straddle priced for move of 10% into the expected release of Q2 results before the market open on June 28

Walgreens Boots Alliance (WBA) June weekly 67 straddle priced for move of 5.5% into the expected release of Q3 results on June 28

Constellation Brands (STZ) June 230 straddle priced for move of 5% 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: IDT SONC LCI UFS SBGL
Increasing unusual call option volume: LCI SONC UFS SBGL GPC PBYI
Increasing unusual put option volume: IRM SONC AVP ITA CAG SRE
Popular stocks with increasing unusual option volume: MU T PBR
Options with decreasing option implied volatility: AKAO SOGO BKS KR ORCL
Cboe Bitcoin July futures down 85 to 6085