Pre-Market IV Report October 10, 2018

Pre-Market IV Report October 10, 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: SNAP YUM SBUX TTM TGTX CSIQ MYL IP KR EBAY SBUX MYL PEIX ZNGA PYX BOJO

Options expected to have increasing volume: DAL FAST C BAC JPM PNC WFC PPG IP SHLD MU MCD

Sears Holdings (SHLD) 30-day option implied volatility is at 232; compared to its 52-week range of 75 to 239 as shares trades below 60c.

Pacific Ethanol (PEIX) October call option implied volatility is at 170, November is at 135; compared to its 52-week range of 44 to 102 after sharp rally. Call put ratio 10 calls to 1 put.

Bojangles’ (BOJA) October call option implied volatility is at 77, November is at 50; compared to its 52-week range of 25 to 66 after recent takeover reports.

Pyxus International (PYX) October call option implied volatility is at 216, November is at 180; compared to its 52-week range of 54 to 199 after was recently mentioned as a speculative long by short seller Citron Research. Call put ratio 1.8 calls to 1 put.

Zynga (ZNGA) October weekly call option implied volatility is at 125, October is at 92, November is at 67; compared to its 52-week range of 28 to 74 after Bloomberg reports on takeover interest.

Starbucks Corp (SBUX) October weekly call option implied volatility is at 28, October is at 22, November is at 23; compared to its 52-week range of 14 to 29 after Bill Ackman discloses $900M stake.

Option implied volatility into Hurricane Michael

Chubb (CB) 30-day call option implied volatility of 18 compares to its 52-week range of 14 to 28
AIG (AIG) 30-day call option implied volatility of 24 compares to its 52-week range of 15 to 58
Allstate (ALL) 30-day call option implied volatility of 20 compares to its 52-week range of 14 to 30
Everest Re (RE) 30-day call option implied volatility of 24 compares to its 52-week range of 18 to 32
Travelers (TRV) 30-day call option implied volatility of 22 compares to its 52-week range of 14 to 28
Hartford Financial (HIG) 30-day call option implied volatility of 23 compares to its 52-week range of 15 to 50
Duke Energy (DUK) 30-day call option implied volatility of 20 compares to its 52-week range of 12 to 24
St. Joe Company (JOE) 30-day call option implied volatility of 27 compares to its 52-week range of 18 to 32
Louisiana-Pacific Corp. (LPX) 30-day call option implied volatility of 38 compares to its 52-week range of 22 to 42
Home Depot (HD) 30-day call option implied volatility of 20 compares to its 52-week range of 13 to 41
Lowe’s Cos. (LOW) 30-day call option implied volatility of 24 compares to its 52-week range of 16 to 42
Generac Holdings (GNRC) 30-day call option implied volatility of 37 compares to its 52-week range of 22 to 49
Dollar Tree (DLTR) 30-day call option implied volatility of 26 compares to its 52-week range of 21 to 50
Dollar General (DG) 30-day call option implied volatility of 23 compares to its 52-week range of 19 to 40

Straddle prices for stocks expected to report results this week

Fastenal (FAST) October 57.50 straddle priced for move of 8.4% into the expected release of Q3 EPS before the market open on October 10.
Delta Airlines (DAL) October weekly 52.50 straddle priced for move of 4% into the expected release of Q3 EPS before the market open on October 11
Walgreens Boots Alliance (WBA) October weekly 73.50 straddle priced for move of 4.5% into the expected release of Q4 EPS before the market open on October 11
Citigroup (C) October 72.50 straddle priced for move of 2.9% into the expected release of Q3 EPS before the market open on October 12
JPMorgan Chase (JPM) October weekly 115 straddle priced for move of 2.2% into the expected release of Q3 EPS before the market open on October 12
PNC Financial (PNC) October weekly 139 straddle priced for move of 2.5% into the expected release of Q3 EPS before the market open on October 12
Wells Fargo (WFC) October weekly 53.50 straddle priced for move of 3% into the expected release of Q3 EPS before the market open on October 12

Increasing unusual option volume: PEIX ETR PYX CC CDEV SRE SBH SSNC TRVN COL ACRX CBLK
Increasing unusual call option volume: PEIX SRE CDEV APTV SSNC PYX TRVN ACRX LEA XXII CAG D IMGN
Increasing unusual put option volume: CC SBH EBIX IVZ COL AMCX PEGI TRVN ZNGA KKR MRTX FMC PPG
Popular stocks with increasing unusual: SNAP CMG SBUX F
Options with decreasing option implied volatility: COL UUP AKRX CBS SQ AMRN SJM PENN HYG NBEV GOV SFIX BBBY AMRN
Cboe Bitcoin October futures down 99 to 6481