Pre-Market IV Report October 2, 2019

Pre-Market IV Report October 2, 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: BYND S SFIX DAL S EA NIO AMTD X ETFC SCHW IBKR XLNX SNDX AXSM W DDD GASL SNDX AXSM W

Options expected to have increasing volume: SFIX PAYX LEN LW COST PEP TSLA VHC UNFI AMTD SCHW IBKR ETFC

Financial Select Sector SPDR ETF (XLF) IV flat, November 24 and 26 puts active into election season and Senator Elizabeth Warren presidential polling data

Financial Select Sector SPDR ETF (XLF) October weekly call option implied volatility is at 20, October is at 19, November is at 17; compared to its 52-week range of 13 to 34. Call put ratio 1 all to 4.3 puts with focus on November 24 and 26 puts.

Tesla (TSLA) October weekly call option implied volatility is at 64, October is at 45; compared to its 52-week range of 42 to 87 into the expected release of sales data for Q3. Call put ratio 1 call to 1.1 puts.

Peloton (PTON) options expected to begin trading today

Straddle prices for stocks expected to report quarterly results this week

Bed Bath & Beyond (BBBY) October weekly 10 straddle priced for a move of 14% into the expected release of quarter results today after the bell
Lamb Weston (LW) October 75 straddle priced for a move of 7% into the expected release of quarter results today
Paychex (PAYX) October 82.50 straddle priced for a move of 4.5% into the expected release of quarter results today before the bell
Lennar (LEN) October 55 straddle priced for a move of 7% into the expected release of quarter results today before the bell
Constellation Brands (STZ) October weekly 210 straddle priced for a move of 5% into the expected release of quarter results before the bell on October 3
Costco (COST) October weekly 285 straddle priced for a move of 4% into the expected release of quarter results on October 3
PepsiCo (PEP) October weekly 135 straddle priced for a move of 2.5% into the expected release of quarter results before the bell on October 3

Option implied volatility for Health Care Select Sect Fd holdings into election season

XLV Health Care (XLV) 30-day option implied volatility is at 17; compared to its 52-week range of 11 to 33
Johnson & Johnson (JNJ) 30-day option implied volatility is at 20; compared to its 52-week range of 14 to 34
Pfizer (PFE) 30-day option implied volatility is at 24; compared to its 52-week range of 16 to 34
United Health Group (UNH) 30-day option implied volatility is at 30; compared to its 52-week range of 18 to 40
Merck (MRK) 30-day option implied volatility is at 23; compared to its 52-week range of 14 to 30
Abbott (ABT) 30-day option implied volatility is at 26; compared to its 52-week range of 16 to 37
Medtronic (MDT) 30-day option implied volatility is at 18; compared to its 52-week range of 15 to 33
AbbVie (ABBV) 30-day option implied volatility is at 28; compared to its 52-week range of 20 to 47
Thermo Fisher Scientific (TMO) 30-day option implied volatility is at 25; compared to its 52-week range of 17 to 36
Amgen (AMGN) 30-day option implied volatility is at 26; compared to its 52-week range of 21 to 39
Eli Lilly (LLY) 30-day option implied volatility is at 26; compared to its 52-week range of 18 to 32

Option implied volatility elevated for online brokers after Schwab (SCHW) eliminating stock trading commissions

E-Trade (ETFC) October weekly call option implied volatility is at 53, October is at 40; compared to its 52-week range of 23 to 47. Call put ratio 1.4 calls to 1 put.
Interactive Brokers (IBKR) October option implied volatility is at 38, November is at 35; compared to its 52-week range of 26 to 49. Call put ratio 1 call to 2.7 puts.
Charles Schwab (SCHW) October weekly call option implied volatility is at 44, October is at 39; compared to its 52-week range of 22 to 44. Call put ratio 1 call to 1.1 puts.
Ameritrade (AMTD) October weekly call option implied volatility is at 60, October is at 51, November is at 44; compared to its 52-week range of 22 to 53 announced eliminating stock trading commissions after the bell last night.

VirnetX (VHC) 30 day option implied volatility is at 97; compared to its 52-week range of 74 to 149 into reports of a positive patent court ruling.

Wayfair (W) October weekly call option implied volatility is at 61, October is at 50, November is at 60; compared to its 52-week range of 37 to 94 after mentioned Cautious at Citron Research. Call put ratio 1 call to 2.9 puts with focus on October weekly 105 puts.

Options with decreasing option implied volatility: BB FDX TGT ULTA USAT RAD NKE ACN
Increasing unusual option volume: DXJ TRP TW CQP MKC SPIKE SGH IBKR MAS AMTD
Increasing unusual call option volume: DXJ AMTD TRP ATH SPIKE HRTX MAS TW MKC ETFC
Increasing unusual put option volume: AMTD ARLP VIPS GDI TW AMRS MKC TMF SHY SFIX CXW
Popular stocks with increasing unusual volume: X HAL FCX AMTD
Active options: AAPL NIO FB AMD MSFT GE NFLX BABA TSLA AMZN BAC X ROKU MU HAL NVDA AMTD SNAP FCX T

Global S&P Futures are recently down 9.25 from previous day. Nikkei 225 up 0.5%, DAX down 1%, WTI Crude oil is recently at $54.03, natural gas up 0.1%, gold at $1485 an ounce