Pre-Market IV Report October 11, 2019

Pre-Market IV Report October 11, 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: AMD BYND EA AMRN FIT UBER PBYI SDC STMP Z TPR ET BKLN FIT X XLNX YPF

Options expected to have increasing volume: SAP INFY FAST AAPL XOM CVX

Stocks are higher in the premarket on reports less escalation of China USA trade risks

Financial Select Sector SPDR ETF (XLF) October weekly call option implied volatility is at 26, October is at 21, November is at 21; compared to its 52-week range of 13 to 35 into banks releasing financial results next week. Call put ratio 1 call to 1.9 puts.

SAP AG (SAP) October call option implied volatility is at 21, November is at 26; compared to its 52-week range of 17 to 43 into CEO Bill McDermott to step down.

Skyworks Solutions (SWKS) October weekly call option implied volatility is at 52, October is at 39, November is at 40; compared to its 52-week range of 26 to 54 after shares rally.

Interxion (INXN) 30 day call option implied volatility is at 36; compared to its 52-week range of 21 to 45. Call put ratio 10.5 calls to 1 put with focus on October 80 calls amid unconfirmed M&A speculation.

Caterpillar (CAT) October weekly call option implied volatility is at 42, October is at 31, November is at 31; compared to its 52-week range of 20 to 50 after recent PG&E (PCG) customer power shut downs for safety. Call put ratio 1.8 calls to 1 put into expected results on October 23.

Roku (ROKU) October weekly call option implied volatility is at 75, October is at 71, November is at 85; compared to its 52-week range of 49 to 103 into upgraded to Outperform from Sector Perform at RBC Capital. Call put ratio 1.9 calls to 1 put with focus on October 117 and 118.

iRobot Corp. (IRBT) October weekly call option implied volatility is at 53, October is at 43, November is at 67; compared to its 52-week range of 36 to 87. Call put ratio 1 call to 1.3 puts.

Zoom Video (ZM) October weekly call option implied volatility is at 47, October is at 54, November is at 48; compared to its 52-week range of 46 to 86 into hosting an analyst meeting on October 15. Call put ratio 1 call to 1.1 puts.

Nordic American Tanker (NAT) October call option implied volatility is at 92, November is at 93; compared to its 52-week range of 44 to 114 after sharp rally. Call put ratio 1.35 calls to 1 put.

Teekay Tankers Ltd (TNK) 30 day option implied volatility is at 98; compared to its 52-week range of 97 to 144 after sharp rally. Call put ratio 39 calls to 1 put.

Straddle prices for stocks expected to report quarterly results next week

Blackrock (BLK) October 420 straddle priced for a move of 3.5% into the expected release of financial results before the bell on October 165

Citigroup (C) October 68.50 straddle priced for a move of 4% into the expected release of financial results before the bell on October 15

Goldman Sachs (GS) October 200 straddle priced for a move of 4% into the expected release of financial results before the bell on October 15

Interactive Brokers (IBKR) October 47 straddle priced for a move of 6% into the expected release of financial results after the bell on October 15

J.B. Hunt Transport (JBHT) October 110 straddle priced for a move of 6.5% into the expected release of financial results after the bell on October 15

Johnson & Johnson (JNJ) October 129 straddle priced for a move of 2.5% into the expected release of financial results before the bell on October 15

JPMorgan Chase (JPM) October 114 straddle priced for a move of 3% into the expected release of financial results before the bell on October 15

Kinder Morgan (KMI) October 20 straddle priced for a move of 3% into the expected release of financial results on October 15

Schwab (SCHW) October 36 straddle priced for a move of 4% into the expected release of financial results before the bell on October 15

United Airlines (UAL) October 87.50 straddle priced for a move of 5.5% into the expected release of financial results before the bell on October 15

Unitedhealth Group (UNH) October 222.50 straddle priced for a move of 4.5% into the expected release of financial results before the bell on October 15

Wells Fargo (WFC) October 48 straddle priced for a move of 3.5% into the expected release of financial results before the bell on October 15

Abbott Laboratories (ABT) October 80 straddle priced for a move of 3.6% into the expected release of financial results before the bell on October 16

Alcoa (AA) October 18.50 straddle priced for a move of 8.5% into the expected release of financial results after the bell on October 16

Bank of America (BAC) October 28.50 straddle priced for a move of 3.5% into the expected release of financial results before the bell on October 16

Bank of New York Mellon (BK) October straddle 43.50 priced for a move of 4.5% into the expected release of financial results before the bell on October 16

Comerica (CMA) October 62.50 straddle priced for a move of 4.5% into the expected release of financial results before the bell on October 16

CSX Corp (CSX) October 67 straddle priced for a move of 5% into the expected release of financial results after the bell on October 16

IBM (IBM) October 141 straddle priced for a move of 5.5% into the expected release of financial results after the bell on October 16

Kinder Morgan (KMI) October 20 straddle priced for a move of 3% into the expected release of financial results after the bell on October 16

Netflix (NFLX) October 280 straddle priced for a move of 10.5% into the expected release of financial results after the bell on October 16

Steel Dynamics (STLD) October 29 straddle priced for a move of 3.5% into the expected release of financial results on October 16

PNC Financial (PNC) October 138 straddle priced for a move of 3.5% into the expected release of financial results before the bell on October 16

U.S. Bancorp (USB) October 53 straddle priced for a move of 3% into the expected release of financial results before the bell on October 16

United Rental (URI) October 113 straddle priced for a move of 7.5% into the expected release of financial results after the bell on October 16

Bank of OZK (OZK) October 25 straddle priced for a move of 8.5% into the expected release of financial results after the bell on October 17

BB&T (BBT) October 50 straddle priced for a move of 4% into the expected release of financial results before the bell on October 17

E*Trade (ETFC) October 39 straddle priced for a move of 5.5%into the expected release of financial results after the bell on October 17

Genuine Parts (GPC) October 94.50 straddle priced for a move of 5% into the expected release of financial results before the bell on October 17

Honeywell (HON) October 160 straddle priced for a move of 3.5% into the expected release of financial results before the bell on October 17

Intuitive Surgical (ISRG) October 510 straddle priced for a move of 5% into the expected release of financial results before the bell on October 17

KeyCorp (KEY) October 17 straddle priced for a move of 4% into the expected release of financial results before the bell on October 17

Morgan Stanley (MS) October 41 straddle priced for a move of 4% into the expected release of financial results before the bell on October 17

Philip Morris (PM) October 77.50 straddle priced for a move of 4% into the expected release of financial results before the bell on October 17

Snap-On (SNAP) October 14 straddle priced for a move of 5.5% into the expected release of financial results before the bell on October 17

Texton (TXT) October 45 straddle priced for a move of 8% into the expected release of financial results before the bell on October 17

V.F. Corp (VFC) October 88 straddle priced for a move of 3% into the expected release of financial results on October 17

APEX meeting in Argentina in mid November.

Options with decreasing option implied volatility: BB AMTD FDX ULTA AVYA VHC DPZ ZNGA COST STZ FSCT IDT ANAB
Increasing unusual option volume: JE UUUU ANAB QGEN PUMP ABBV FSCT
Increasing unusual call option volume: JE UUUU ABBV QGEN KBH TSM WETF INSP LGIH INXN
Increasing unusual put option volume: PUMP ANAB EIX GGB OPK MJ EAF
Popular stocks with increasing unusual volume: ABBV ROKU PCG DAL X CSCO FCX
Active options: AAPL ABBV ROKU AMD NFLX BAC TSLA BABA MSFT PCG FB BBBY DAL AMZN T X CSCO FCX NVDA MU

Global S&P Futures are recently up 27.50 from previous day. Nikkei 225 up 1%, DAX up 1%, WTI Crude oil is recently at $54.78, natural gas up 0.1%, gold at $1505 an ounce