Pre-Market IV Report October 16, 2019

Pre-Market IV Report October 16, 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 NFLX IBM S FIT UBER APA AMRN UAL NOK MT HEXO OMI TGTX ADT

Options expected to have increasing volume: BAC ABT USB PNC BK CMA NFLX IBM MCK ABC CAH TEVA MYL JNJ X UAL MGM IBKR

Netflix (NFLX) October call option implied volatility is at 138, November is at 51; compared to its 52-week range of 29 to 76 into the expected release of financial results after the bell on October 16. Call put ratio 1.2 calls to 1 put.

IBM (IBM) October call option implied volatility is at 63, November is at 26; compared to its 52-week range of 14 to 42 into the expected release of financial results after the bell on October 16. Call put ratio 2.8 calls to 1 put with focus on November 140 calls.

Lyft (LYFT) October call option implied volatility is at 46, November is at 48; compared to its 52-week range of 43 to 79 amid reports of shareholder activism. Call put ratio 10 calls to 1 put with focus on October 41 calls.

Bausch Health Co. Inc. (BHC) October call option implied volatility is at 48, November is at 49; compared to its 52-week range of 31 to 73 after positive mention at Citron Research. Call put ratio 10 calls to 1 put with focus on October 21 calls.

McKesson (MCK) October call option implied volatility is at 28, November is at 32; compared to its 52-week range of 21 to 43 into WSJ speculation of potential $18B opioid litigation settlement. Call put ratio 1 call to 2.9 puts.

AmerisourceBergen (ABC) October call option implied volatility is at 24, November is at 32; compared to its 52-week range of 23 to into WSJ speculation of potential $18B opioid litigation settlement.

Cardinal Health (CAH) October call option implied volatility is at 22, November is at 31; compared to its 52-week range of 21 to 43 into WSJ speculation of potential $18B opioid litigation settlement.

MGM Resorts (MGM) October call option implied volatility is at 30, November is at 31; compared to its 52-week range of 25 to 58 into selling Bellagio to Blackstone (BX) for $4.25B.

Financial Select Sector SPDR ETF (XLF) October call option implied volatility is at 18, November is at 17; compared to its 52-week range of 13 to 35 into banks releasing financial results this week. Call put ratio 1.4 calls to 1 put.

Straddle prices for stocks expected to report quarterly results this week

Alcoa (AA) October 19 straddle priced for a move of % into the expected release of financial results today after the bell

Bank of America (BAC) October 29 straddle priced for a move of 3.5% into the expected release of financial results today before the bell

Bank of New York Mellon (BK) October straddle 44 priced for a move of 4% into the expected release of financial results today before the bell

Comerica (CMA) October 65 straddle priced for a move of 4% into the expected release of financial results today before the bell

CSX Corp (CSX) October 69 straddle priced for a move of 3.5% into the expected release of financial results today after the bell

IBM (IBM) October 143 straddle priced for a move of 4.5% into the expected release of financial results today after the bell

Netflix (NFLX) October 285 straddle priced for a move of 9.5% into the expected release of financial results today after the bell

PNC Financial (PNC) October 142 straddle priced for a move of 2.5% into the expected release of financial results today before the bell

U.S. Bancorp (USB) October 53.5 straddle priced for a move of 2.5% into the expected release of financial results today before the bell

United Rental (URI) October 120 straddle priced for a move of 7% into the expected release of financial results today after the bell

Bank of OZK (OZK) October 25 straddle priced for a move of 7% into the expected release of financial results after the bell on October 17

BB&T (BBT) October 50 straddle priced for a move of 4.5% into the expected release of financial results before the bell on October 17

E*Trade (ETFC) October 40 straddle priced for a move of 4.5% into the expected release of financial results after the bell on October 17

Genuine Parts (GPC) October 96.50 straddle priced for a move of 4% into the expected release of financial results before the bell on October 17

Honeywell (HON) October 162.50 straddle priced for a move of 2.5% into the expected release of financial results before the bell on October 17

Intuitive Surgical (ISRG) October 530 straddle priced for a move of 4% into the expected release of financial results before the bell on October 17

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

Morgan Stanley (MS) October 42.50 straddle priced for a move of 3.5% 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

Texton (TXT) October 50 straddle priced for a move of 6.5% into the expected release of financial results before the bell on October 17

American Express (AXP) October straddle 117 priced for a move of 3% into the expected release of financial results before the bell on October 18

Coca-Cola (KO) October 53.50 straddle priced for a move of 3% into the expected release of financial results before the bell on October 18

Kansas City Southern (KSU) October 134 straddle priced for a move of 4% into the expected release of financial results before the bell on October 18

Schlumberger (SLB) October 32.50 straddle priced for a move of 4% into the expected release of financial results before the bell on October 18

State Street (STT) October 60 straddle priced for a move of 3% into the expected release of financial results before the bell on October 18

Synchrony Financial (SYF) October 33.50 straddle priced for a move of 5.5% into the expected release of financial results before the bell on October 18

iShares MSCI Turkey ETF (TUR) 30 day option implied volatility is at 36; compared to its 52-week range of 28 to 52 after Trump enacts trade sanctions on Turkey. Call put ratio 1 call to 1.6 puts.

Options with decreasing option implied volatility: SCHW FDX FAST BB AMTD ADVM BHVN FAST
Increasing unusual option volume: CNXM SNBR AUPH RETA IBKR RBS EWU
Increasing unusual call option volume: EWU AUPH SAGE SNBR ZEN AXL IBKR
Increasing unusual put option volume: CNXM SNBR RETA FRO BGS IBKR
Popular stocks with increasing unusual volume: UNH GS DIS
Active options: BAC AAPL JPM FB ROKU NVDA AMD TSLA BABA AMZN C WFC NFLX MU T GE UNH DIS GS

Global S&P Futures are recently down 8.50 from previous day. Nikkei 225 up 1.2%, DAX down 0.02%, WTI Crude oil is recently at $52.90, natural gas down 0.2%, gold at $1487 an ounce