Pre-Market IV Report June 28, 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: NLY KEY DERM FOXA BBBY JNPR SDS IWM MA ACN WFC SPY NTAP TNA P IRBT TWTR CMG DISH

Options expected to have increasing volume: NKE BBBY MCK MSG PIR Z CMG

United States Oil Fund (USO) June weekly call option implied volatility is at 33, July is at 27; compared to its 52-week range of 17 to 32 as WTI oil trades above $72.

McKesson (MCK) June weekly call option implied volatility is at 45, July is at 26; compared to its 52-week range of 18 to 35 into today’s company hosted investor day.

Madison Square Garden (MSG) July call option implied volatility is at 19, August is at 22; compared to its 52-week range of 17 to 26 into reports of potential sports business spinoff.

Financial Select Sector SPDR ETF (XLF) option implied volatility elevated, banks trend lower for 13 days

Financial Select Sector SPDR ETF (XLF) June weekly call option implied volatility is at 34, July is at 19; compared to its 52-week range of 12 to 28 into Federal Reserve releasing part two of its annual bank stress tests.

Bank option implied volatility into Federal Reserve releases into bank stress tests

Citigroup (C) 30-day option implied volatility is at 28; compared to its 52-week range of 17 to 32
Bank of America (BAC) 30-day option implied volatility is at 26; compared to its 52-week range of 18 to 36
Morgan Stanley (MS) 30-day option implied volatility is at 33; compared to its 52-week range of 19 to 35
BNY Mellon (BK) 30-day option implied volatility is at 27; compared to its 52-week range of 15 to 32
Wells Fargo (WFC) 30-day option implied volatility is at 26; compared to its 52-week range of 15 to 33
Morgan Stanley (MS) 30-day option implied volatility is at 33; compared to its 52-week range of 19 to 35
Comerica (CMA) 30-day option implied volatility is at 29; 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 31; compared to its 52-week range of 21 to 37.
PNC Financial Services (PNC) 30-day option implied volatility is at 25; compared to its 52-week range of 14 to 35
JP Morgan (JPM) 30-day option implied volatility is at 25; compared to its 52-week range of 14 to 35
Goldman Sachs (GS) 30-day option implied volatility is at 26; compared to its 52-week range of 17 to 34

Straddle prices for stocks expected to report results this week

Nike (NKE) June weekly 71.50 straddle priced for move of 5.5% into the expected release of Q4 results today after the market close
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 7.5% into the expected release of Q2 results after the market close on June 29

Increasing unusual option volume: SHY DAR RMP PTEN CAG CARA DRRX DERM GBT
Increasing unusual call option volume: BBD PTEN DERM CARA GBT BLMN WWE AU KKR INAP
Increasing unusual put option volume: SHY CAG SONC RMP EWH FOX CARA ASHR IRM MJ
Popular stocks with increasing unusual option volume: PBR IQ TMUS CMG
Options with decreasing option implied volatility: PF GBT CARA GIS ARRY PAYX DPS CBOE SHOP AEO HOG
Cboe Bitcoin July futures down 15 to 6175