Pre-Market IV Report October 1, 2018

Pre-Market IV Report October 1, 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: OMER I XON GPRO HCLP TWTR LL SNAP EW TMUS SHPG PRGO GLW TSLA AKRX IBM

Options expected to have increasing volume: TSLA FB HP

Tesla (TSLA) weekly option implied volatility elevated into Musk settles with SEC, will pay $20M and step down as Chairman

Tesla (TSLA) October weekly call option implied volatility is at 86, October is at 72, November is at 76; compared to its 52-week range of 32 to 71 into the Securities and Exchange Commission announced that Elon Musk, CEO and Chairman of Tesla, has agreed to settle the securities fraud charge brought by the SEC against him last week. Call put ratio 1 call to 1.4 puts with focus on October weekly puts into the expected release of production and delivery numbers.

Stitch Fix (SFIX) October weekly call option implied volatility is at 133, October is at 90, November is at 77; compared to its 52-week range of 57 to 122 into the expected release of Q1 results today after the market close.

Workday (WDAY) October weekly call option implied volatility is at 29. October is at 30; compared to its 52-week range of 26 to 52 into a company hosted analyst day on October 2.

HP Inc (HPQ) October weekly call option implied volatility is at 33, September is at 24; compared to its 52-week range of 17 to 43 into a company hosted analyst meeting on October 3.

JetBlue Airways (JBLU) October and November call option implied volatility is at 27; compared to its 52-week range of 21 to 39 into a company hosted investor day on October 2. Call put ratio 1 call to 4 puts.

Steelcase (SCS) October call option implied volatility is at 39, November is at 29; compared to its 52-week range of 25 to 50 into a company hosted analyst day on October 3. Call put ratio 1.9 calls to 1 put.

Bojangles’ (BOJA) October call option implied volatility is at 59, November is at 55; compared to its 52-week range of 25 to 65 after Reuters reported on September 28 the company is exploring a potential sale. Call put ratio 4.5 calls to 1 put with focus on October and November 12.50 calls.

Canopy Growth (CGC) October weekly call option implied volatility is at 84, October is at 82; compared to its 52-week range of 57 to 109. Call put ratio 2.2 calls to 1 put with focus on October weekly 50 calls.

Cronus Corporation (CRON) October weekly call option implied volatility is at 114, October is at 117; compared to its 52-week range of 71 to 166. Call put ratio 1.5 calls to 1 put.

Tilray, Inc. (TLRY) October weekly call option implied volatility is at 166, October is at 165; compared to its 52-week range of 68 to 313. Call put ratio 1 call to 1 put with focus on October 140 calls.

Straddle prices for stocks expected to report results this week

Cal Maine Foods (CALM) October weekly 48.50 straddle priced for move of 7% into the expected release of Q1 EPS today before the market open.

Stitch Fix (SFIX) October weekly 44 straddle priced for move of 14% into the expected release of Q1 EPS today after the market close.

Lamb Weston (LW) October 65 straddle priced for move of 6% into the expected release of EPS before the market open on October 2.

Paychex (PAYX) October 72.50 straddle priced for move of 4.5% into the expected release of Q1 EPS before the market open on October 2.

PepsiCo (PEP) October weekly 112 straddle priced for move of 2.2% into the expected release of Q3 EPS before the market open on October 2.

Lennar (LEN) October 47.50 straddle priced for move of 7% into the expected release of Q3 EPS before the market open on October 3.

Constellation Brands (STZ) October weekly 215 straddle priced for move of 5% into the expected release of Q2 EPS before the market open on October 4.

Increasing unusual option volume: VST EVRI TXRH DTEA SIRI BTU SNDX MCO TRQ TRI
Increasing unusual call option volume: VST EVRI BTU SIRI SBLK CNAT DXJ IOVA BOJA
Increasing unusual put option volume: SIRI MCO TRI EROS BTU ROK BRFS
Popular stocks with increasing unusual: SNAP SQ TLRY BB
Options with decreasing option implied volatility: AMRN TGTX NBEV TLRY VSTM BB AKRX AABA CTL
Cboe Bitcoin October futures down 35 to 6605