Pre-Market IV Report June 7, 2019

Pre-Market IV Report June 7, 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: PCG S BBBY BB NIO HOME DELL TLT MLNX DOCU ZAYO BYND ZM ZUMZ

Options expected to have increasing volume: BYND ZUMZ ZM DOCU CZR ERI PCG BKS WMT

Ishares Msci Mexico Capped Etf (EWW) June weekly call option implied volatility is at 30, June is at 23, July is at 21; compared to its 52-week range of 17 to 43 into talks to resolve the U.S. imposing a 5% tariff on all goods coming from Mexico.

Walmart (WMT) June weekly call option implied volatility is at 18, June and July is at 16; compared to its 52-week range of 14 to 30 into President & CEO McMillon holds a Q&A session today with the investment community in Fayetteville, Arkansas.

Caesars Entertainment (CZR) June weekly call option implied volatility is at 43, June and July is at 38; compared to its 52-week range of 33 to 83 into WSJ speculation company is near deal to merge with Eldorado Resorts (ERI).

Eldorado Resorts (ERI) June call option implied volatility is at 37, July is at 36; compared to its 52-week range of 30 to 85.

Barnes & Noble (BKS) June call option implied volatility is at 77, July is at 44; compared to its 52-week range of 44 to 124 after WSJ says going private deal could come in days. Call put ratio 3.1 calls to 1 put with focus on June calls.

PG&E Corp. (PCG) call put ratio 1 call to 1.4 puts with June weekly IV above 100

Ishares Russell 2000 Etf (IWM) June weekly call option implied volatility is at 22, June and July is at 19; compared to its 52-week range of 12 to 34. The Dow and S&P 500 was up 0.71% and 0.61% respectively into the release of the May employment report. Tech stocks rallied too as the Nasdaq was up 0.53%. Ishares Russell 2000 Etf (IWM) was down on the day, lagging other indexes for a couple of days and YTD is about 250 basis points behind the S&P 500 in performance.

Russell 2000 Index (RUT) June weekly call option implied volatility is at 20, June and July is at 18; compared to its 52-week range of 11 to 34. RUT call put ratio is 1 call to 1.4 puts with focus on June 1200, 1400 and 1490 puts. June 1490, 1500 and 1700 calls were active on June 6.

PowerShares QQQ Trust (QQQ) June weekly call option implied volatility is at 21, June and July is at 19; compared to its 52-week range of 13 to 37.

S&P Dep Receipts (SPY) June weekly call option implied volatility is at 17, June and July is at 14; compared to its 52-week range of 9 to 32.

Straddle prices for stocks expected to report quarterly results next week

Ascena Retail Group (ASNA) June 1 straddle priced for move of 35% into the expected release of quarterly results after the bell on June 10.

Chicos (CHS) June 3 straddle priced for move of 28% into the expected release of quarterly results before the bell on June 11.

Dave and Busters Entertainment (PLAY) June weekly 49.50 straddle priced for move of 10% into the expected release of quarterly results after the bell on June 11.

H&R Block (HRB) June 27 straddle priced for move of 8.5% into the expected release of quarterly results before the bell on June 11.

HD Supply (HDS) June 42.50 straddle priced for move of 5% into the expected release of quarterly results before the bell on June 11.

Kraft Heinz (KHC) June weekly 29 straddle priced for move of 7.5% into the expected release of quarterly results before the bell on June 11.

RH (RH) June weekly 88 straddle priced for move of 19% into the expected release of quarterly results after the bell on June 12.

Broadcom (AVGO) June weekly 272.50 straddle priced for move of 6.5% into the expected release of quarterly results after the bell on June 13.

Bank option implied volatility into May employment report

U.S. Bancorp (USB) 30-day option implied volatility is at 20; compared to its 52-week range of 13 to 36
Fifth Third Bancorp (FITB) 30-day option implied volatility is at 27; compared to its 52-week range of 20 to 43
Huntington Bancshares (HBAN) 30-day option implied volatility is at 26; compared to its 52-week range of 17 to 43
TCF Financial Corp. (TCF) 30-day option implied volatility is at 28; compared to its 52-week range of 20 to 45

Increasing unusual option volume: FTCH BKS GLD JNK DD FLT ZUMZ BYND EROS GES HOME NI CME CLDR BKS
Increasing unusual call option volume: HOME CME CPE FTCH AXGT CNQ EVH EROS DD BKS CIEN DOCU DK
Increasing unusual put option volume: ASNA FLT JNK NYCB GES EROS ZUMZ CLDR FDS CIEN
Popular stocks with increasing unusual volume: ROKU VZ NIO T
Options with decreasing option implied volatility: CIEN CLDR CY VIX WSM SFIX
Active options: AMD TSLA AAPL SNAP FB BAC BABA NVDA AMZN MSFT BYND CLDR T ROKU NFLX UBER GE VZ QCOM NIO