Pre-Market IV Report October 15, 2018

Pre-Market IV Report October 15, 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: DLTR CTRP AFL P NXPI DVMT HEAR ARWR CTRP FLR CSIQ FTR PTE BX ROKU

Options expected to have increasing volume: VMW DVMT BX BKS JPM HRS LLL BAC

Straddle prices for stocks expected to report results this week

Adtran (ADTN) October 17 straddle priced for move of 10% into the expected release of EPS after the market close on October 16

Blackrock (BLK) October 427.50 straddle priced for move of 4% into the expected release of EPS before the market open on October 16

Comerica (CMA) October 85 straddle priced for move of 3.3% into the expected release of EPS before the market open on October 16

Cree (CREE) October 33.50 straddle priced for move of 11% into the expected release of EPS after the market close on October 16

CSX (CSX) October 70 straddle priced for move of 6% into the expected release of EPS after the market close on October 16

Domino’s Pizza (DPZ) October 280 straddle priced for move of 6% into the expected release of EPS before the market open on October 16

Goldman Sachs (b) October 212.50 straddle priced for move of 5% into the expected release of EPS before the market open on October 16

Infosys (INFY) October 9.5 straddle priced for move of 8% into the expected release of EPS before the market open on October 16

Interactive Brokers (b) October 50 straddle priced for move of 6.5% into the expected release of EPS before the market open on October 16

IBM (IBM) October 141 straddle priced for move of 5% into the expected release of EPS after the market close on October 16

Johnson & Johnson (JNJ) October 134 straddle priced for move of 3.7% into the expected release of EPS before the market open on October 16

Morgan Stanly (MS) October 43.50 straddle priced for move of 5% into the expected release of EPS before the market open on October 16

Netflix (NFLX) October 340 straddle priced for move of 9% into the expected release of EPS after the market close on October 16

United Continental (UAL) October 80 straddle priced for move of 6.2% into the expected release of EPS after the market close on October 16

United Health Group (UNH) October 260 straddle priced for move of 3.5% into the expected release of EPS before the market open on October 16

Abbott Laboratories (ABT) October 70 straddle priced for move of 3.7% into the expected release of EPS before the market open on October 17

Alcoa (AA) October 36 straddle priced for move of 7.6% into the expected release of EPS before the market open on October 17

athenahealth (ATHN) October 127 straddle priced for move of 4.7% into the expected release of EPS before the market open on October 17

Northern Trust (NTRS) October 100 straddle priced for move of 5% into the expected release of EPS before the market open on October 17

Steel Dynamics (STLD) October 42 straddle priced for move of 5.8% into the expected release of EPS before the market open on October 17

Winnebago (WGO) October 30 straddle priced for move of 11.5% into the expected release of EPS on October 17

Harris (HRS) call put ratio 2.2 calls to 1 put into combining with L3 Technologies in merger of equals

Harris Corporation (HRS) October call option implied volatility is at 32, November is at 29; compared to its 52-week range of 15 to 37 into combining with L3

Technologies (LLL) in an all stock merger of equals. Under the terms of the merger agreement, which was unanimously approved by the boards of directors of both companies, L3 shareholders will receive a fixed exchange ratio of 1.30 shares of Harris common stock for each share of L3 common stock, consistent with the 60-trading day average exchange ratio of the two companies. Upon completion of the merger, Harris shareholders will own approximately 54% and L3 shareholders will own approximately 46% of the combined company on a fully diluted basis.

L3 Technologies (LLL) October call option implied volatility is at 29, November is at 28; compared to its 52-week range of 16 to 31.

Adobe Systems (ADBE) October call option implied volatility is at 43, November is at 34; compared to its 52-week range of 19 to 43 into a company hosted analyst meeting today.

Marvell (MRVL) October call option implied volatility is at 55, November is at 39; compared to its 52-week range of 24 to 54 into a company hosted investor day on October 16. Call put ratio 1 call to 5.7 puts.

General Electric (GE) October call option implied volatility is at 47, November is at 46; compared to its 52-week range of 19 to 46 into the expected release of Q3 results on October 30. Call put ratio 1 call to 1.8 puts.

Increasing unusual option volume: NYCB CRMD CTB TEN SSRM ELF GNTX GPRE REN BPT
Increasing unusual call option volume: FHN CRMD BPT ETM MXWL GPRE HIG RES RAMP
Increasing unusual put option volume: NYCB CTB UNM SOHU MDR KRE VRSN BGS
Popular stocks with increasing unusual: F INTC GE
Options with decreasing option implied volatility: TIVO WFC C JPM SPY AAPL DIA GOOG GOOGL UPRO SSO
Active options: BAC AAPL GE AMD AMZN FB BABA NFLX MSFT MU TSLA NVDA JPM SNAP C WFC SQ F INTC

Cboe Bitcoin October futures up 192 to 6395