Pre-Market IV Report June 3, 2019

Pre-Market IV Report June 3, 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: UCO HOME TEVA BBBY JCI STZ USO CY DVA KHC NLSN CZR ORCL JCI BB MYL KHC CNC

Options expected to have increasing volume: AAPL FDX GOOGL INFN CY NVDA MU INTC FDX UPS AMZN AVGO KHC CPB SJM CRM NKTR CELG NVS AMGN CRVS ZIOP SPPI MYGN MRK AZN PBYI GILD GTHX CLDX DVAX IMV VCYT FPRX SRRA BPMC REPL CTMX IOVA

Apple (AAPL) June weekly call option implied volatility is at 31, June is at 30; compared to its 52-week range of 16 to 46 into WWDC Keynote and possibly providing some details about its Apple TV streaming service.

Alphabet (GOOGL) June weekly and June call option implied volatility is at 23; compared to its 52-week range of 18 to 41 into Justice Department preparing antitrust investigation of Google, WSJ reports.

FedEx (FDX) June weekly call option implied volatility is at 32, June is at 31; compared to its 52-week range of 17 to 42 into China to probe FedEx after Huawei claims parcels diverted, Reuters reports.

Micron Technology (MU) June weekly call option implied volatility is at 48, June is at 46; compared to its 52-week range of 34 to 64.

Salesforce (CRM) May call option implied volatility is at 61, June is at 44; compared to its 52-week range of 19 to 56 into the expected release of EPS after the bell on June 4. Call put ratio 1.7 calls to 1 put.

Chipotle (CMG) June weekly and June call option implied volatility is at 28, June is at 29; compared to its 52-week range of 22 to 50 after Trump tweets U.S. to impose 5% tariff on all goods coming from Mexico in June.

Kraft Heinz (KHC) June weekly call option implied volatility is at 41, June is at 44; compared to its 52-week range of 18 to 44 as shares continued their slide this past week after hitting their lowest level since the merger of Kraft Foods and H.J. Heinz in 2015, Barron’s says.

Iovance Biotherapeutics (IOVA) 30-day option implied volatility is at 74; compared to its 52-week range of 61 to 169 into updates from cohort 2 of lifileucel’s melanoma study and LN-145’s cervical cancer trial at 2019 Annual Meeting of the American Society of Clinical Oncology, or ASCO.

Nektar (NKTR) 30-day option implied volatility is at 64; compared to its 52-week range of 52 to 106 into 2019 Annual Meeting of the American Society of Clinical Oncology, or ASCO.

Infineon (INFN) 30 day option implied volatility is at 68; compared to its 52-week range of 36 to 93 into acquiring Cypress Semiconductor (CY) for $23.85 per share.

Cypress Semiconductor (CY) June call option implied volatility is at 43, July is at 49; compared to its 52-week range of 26 to 58 into Infineon (INFN) acquiring for $23.85 per share.

Straddle prices for stocks expected to report quarterly results this week

Box (BOX) June 18 straddle priced for move of 12% into the expected release of quarterly results today after the bell.

Ambarella (AMBA) June weekly 38 straddle priced for move of 13.5% into the expected release of quarterly results after the bell on June 4.

Cracker Barrel (CBRL) June 155 straddle priced for move of 6% into the expected release of quarterly results before the bell on June 4.

Donaldson (DCI) June 45 straddle priced for move of 8% into the expected release of quarterly results after the bell on June 4.

GameStop (GME) June weekly 7.5 straddle priced for move of 13% into the expected release of quarterly results after the bell on June 4.

Lands End (LE) June 12.50 straddle priced for move of 14% into the expected release of quarterly results before the bell on June 4.

Navistar (NAV) June weekly 31 straddle priced for move of 9% into the expected release of quarterly results before the bell on June 4.

Salesforce (CRM) June weekly 152.5 straddle priced for move of 7% into the expected release of quarterly results after the bell on June 4.

Kraft Heinz (KHC) June weekly 27.50 straddle priced for move of 5% into the expected release of quarterly results before the bell on June 4.

Tiffany (TIF) June weekly 90 straddle priced for move of 8% into the expected release of quarterly results before the bell on June 4.

American Eagle (AEO) June weekly 17.50 straddle priced for move of 12% into the expected release of quarterly results before the bell on June 5.

Campbell Soup (CPB) June weekly 36.50 straddle priced for move of 5.5% into the expected release of quarterly results before the bell on June 5.

Cloudera (CLDR) June weekly 9 straddle priced for move of 13% into the expected release of quarterly results after the bell on June 5.

Stich Fix (SFIX) June weekly 23 straddle priced for move of 15% into the expected release of quarterly results after the bell on June 5.

United Natural Foods (UNFI) June 10 straddle priced for move of 18% into the expected release of quarterly results after the bell on June 5.

At Home (ATHM) June 85 straddle priced for move of 11% into the expected release of quarterly results before the bell on June 5.

Beyond Meat (BYND) June weekly 104 straddle priced for move of 15% into the expected release of quarterly results after the bell on June 6.

Ciena (CIEN) June weekly 35 straddle priced for move of 9% into the expected release of quarterly results before the bell on June 6.

Signet Jewelers (SIG) June weekly 19 straddle priced for move of 16% into the expected release of quarterly results before the bell on June 6.

The J.M. Smucker Company (SJM) June 120 straddle priced for move of 5.5% into the expected release of quarterly results before the bell on June 6.

Vail Resorts (MTN) June straddle priced for move of 7% into the expected release of quarterly results after the bell on June 6.

Zoom Video (ZM) June 80 straddle priced for move of 16% into the expected release of quarterly results after the bell on June 6.

Zumiez (ZUMZ) June 20 straddle priced for move of 10% into the expected release of quarterly results after the bell on June 6.

Increasing unusual option volume: CBAY AYI CNXM STAR BPMC JCI MUR FNSR WPX GWR GDS IOVA
Increasing unusual call option volume: CBAY AYI GDS WPX JCI INVA LYB IOVA NEO CRZO CORN BIG
Increasing unusual put option volume: FNSR AYI JCI MT GEL FLEX KBE UNFI INFY VWO CP AVYA MAT
Popular stocks with increasing unusual volume: UBER X JCI
Options with decreasing option implied volatility: CARA NTNX CPRI ZS DBI MOMO GOOS FL ANF BZUN PANW BIG DLTR XLNX GOOS
Active options: AAPL TSLA AMD FB JCI AMZN BAC T BABA NVDA VZ MU MSFT GE NFLX QCOM UBER CNC X JPM