Pre-Market IV Report October 16, 2018

Pre-Market IV Report October 16, 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: COL MYL X XLK NTRI CRON CLVS UNFI ADBE CGC UNH AAPL NFLX

Options expected to have increasing volume: UNH GS UAL NFLX CSX PYPL ADBE JBHT SLB

Netflix (NFLX) October call option implied volatility is at 118, November is at 57; compared to its 52-week range of 23 to 67 into the expected release of EPS today after the market close. Call put ratio 1.4 call to 1 put.

IBM (IBM) October call option implied volatility is at 57, November is at 30; compared to its 52-week range of 12 to 34 into the expected release of EPS after the market close. Call put ratio 1.65 calls to 1 put.

Cree (CREE) October call option implied volatility is at 114, November is at 55; compared to its 52-week range of 28 to 71 into the expected release of EPS today after the market close.

United Natural Foods (UNFI) October call option implied volatility is at 65, November is at 49; compared to its 52-week range of 27 to 59 as shares trend lower.

Straddle prices for stocks expected to report results this week

Cree (CREE) October 35 straddle priced for move of 11% into the expected release of EPS after the market close 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
Netflix (NFLX) October 332.50 straddle priced for move of 9.5% into the expected release of EPS after the market close on October 16
Alcoa (AA) October 35.50 straddle priced for move of 7.5% 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 4% into the expected release of EPS before the market open on October 17
Abbott Laboratories (ABT) October 69 straddle priced for move of 3.5% into the expected release of EPS before the market open on October 17
Steel Dynamics (STLD) October 41 straddle priced for move of 5.5% 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
Alliance Data (ADS) October 210 straddle priced for move of 6.5% into the expected release of EPS on before the open on October 18
American Express (AXP) October 102 straddle priced for move of 4% into the expected release of EPS on October 18
Bank of OZK (OZK) October 36 straddle priced for move of 7% into the expected release of EPS on October 18
BB&T (BBT) October 47 straddle priced for move of 2.2% into the expected release of EPS on October 18
Blackstone (BX) October 35 straddle priced for move of 4% into the expected release of EPS on October 18
Canadian Pacific Railway (CP) October 210 straddle priced for move of 4% into the expected release of EPS on October 18
Danaher (DHR) October 100 straddle priced for move of 4.5% into the expected release of EPS on October 18
E*TRADE (ETFC) October 49.50 straddle priced for move of 6% into the expected release of EPS on October 18
Intuitive Surgical (ISRG) October 520 straddle priced for move of 7.5% into the expected release of EPS on after the close on October 18
KeyCorp (KEY) October 18.50 straddle priced for move of 2.2% into the expected release of EPS before the open on October 18
Nucor (NUE) October 59 straddle priced for move of 4% into the expected release of EPS before the open on October 18
PayPal (PYPL) October 77 straddle priced for move of 5.8% into the expected release of EPS before the open on October 18
Skechers (SKX) October 25.50 straddle priced for move of 14% into the expected release of EPS after the close on October 18
Snap-On (SNA) October 170 straddle priced for move of 6.4% into the expected release of EPS before the open on October 18
Textron (TXT) October 65 straddle priced for move of 4.6% into the expected release of EPS before the open on October 18
Tile Shop (TTS) October 5 straddle priced for move of 18% into the expected release of EPS before the open on October 18

Increasing unusual option volume: HUBG S EMLC AMWC INFY ACRX EROS SBLK
Increasing unusual call option volume: S SBLK ACRX GFI HBAN INFY PLD WGO LLNW
Increasing unusual put option volume: HUBG EROS UNFI RRC EMLC INFY CL STLD
Popular stocks with increasing unusual: MS S CGC
Options with decreasing option implied volatility: TLRY AFL DVMT BAC SCHW COL XLF CAG FSLR WFC SNAP LB
Cboe Bitcoin October futures up 60 to 6420