Pre-Market IV Report October 3, 2019

Pre-Market IV Report October 3, 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 STZ PEP COST S EA NOK GPRO FEYE TSLA XLNX X RIG CNX AXSM W FLR TEVA INFN GPRO

Options expected to have increasing volume: TSLA GPRO PUMA BBBY BA CAT

Peloton (PTON) October call option implied volatility is at 70, November is at 79. Call put ratio 2.8 calls to 1 put with focus on October 28 calls.

IV increases as shares pull back into economic data, trade talks, EPS season, demand commodity outlook…

PowerShares QQQ Trust (QQQ) October weekly call option implied volatility is at 25, October is at 24, November is at 23; compared to its 52-week range of 14 to 37 into September employment report.

S&P Dep Receipts (SPY) October weekly call option implied volatility is at 22, October is at 20, November is at 19; compared to its 52-week range of 9 to 32 into September employment report. Call put ratio 1 call to 1.8 puts.

Costco (COST) October weekly call option implied volatility is at 75, October is at 34; compared to its 52-week range of 14 to 33 into the expected release of quarter results today.

PepsiCo (PEP) October weekly call option implied volatility is at 53, October is at 26; compared to its 52-week range of 13 to 30 into the expected release of quarter results today before the bell.

Option implied volatility for banks into September Employment Report

Citi (C) 30-day option implied volatility is at 33; compared to its 52-week range of 19 to 56
Goldman Sachs (GS) 30-day option implied volatility is at 31; compared to its 52-week range of 19 to 50
JPMorgan (JPM) 30-day option implied volatility is at 24; compared to its 52-week range of 15 to 41
Morgan Stanley (MS) 30-day option implied volatility is at 34; compared to its 52-week range of 19 to 50
U.S. Bancorp (USB) 30-day option implied volatility is at 23; compared to its 52-week range of 14 to 36
Wells Fargo (WFC) 30-day option implied volatility is at 26; compared to its 52-week range of 18 to 45
Bank of America (BAC) 30-day option implied volatility is at 31; compared to its 52-week range of 19 to 47
PNC Financial Services (PNC) 30-day option implied volatility is at 28; compared to its 52-week range of 18 to 43
State Street (STT) 30-day option implied volatility is at 40; compared to its 52-week range 21 to 47
Capital One Financial (COF) 30-day option implied volatility is at 33; compared to its 52-week range of 19 to 44
Northern Trust (NTRS) 30-day option implied volatility is at 32; compared to its 52-week range 18 to 40
Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 22; compared to its 52-week range of 13 to 35

Straddle prices for stocks expected to report quarterly results this week
Constellation Brands (STZ) October weekly 205 straddle priced for a move of 10% into the expected release of quarter results before the bell on October 3
Costco (COST) October weekly 287.50 straddle priced for a move of 4.5% into the expected release of quarter results on October 3
PepsiCo (PEP) October weekly 135 straddle priced for a move of 3% into the expected release of quarter results before the bell on October 3

Tesla (TSLA) October weekly call option implied volatility is at 75, October is at 47; compared to its 52-week range of 42 to 87 into the release of less than expected Q3sales data. Call put ratio 1 call to 1.7 puts with focus on October weekly puts.

GoPro (GPRO) October weekly call option implied volatility is at 100, October is at 69, November is at 70; compared to its 52-week range of 40 to 109 into announcing product delays and financial outlook.

Boeing (BA) October weekly call option implied volatility is at 37, October is at 31; compared to its 52-week range of 23 to 46 into U.S. widens trade tariffs on European planes.

Options with decreasing option implied volatility: BB TGT AMTD ULTA FDX USAT SFIX CCL
Increasing unusual option volume: BTU IWN KEX EWG SAGE FLT ROK AMTD FUN KBE
Increasing unusual call option volume: IWN COG AMTD MIDD FUN ETFC
Increasing unusual put option volume: BTU EWG SFIX ROK KBE YUMC
Popular stocks with increasing unusual volume: GM BBBY SFIX NIO
Active options: AAPL MSFT AMD FB B BAC F NIO BABA AMZN TSLA MU NFLX SNAP JPM GE SFIX ROKU CSCO GM BBBY

Global S&P Futures are recently up 9.25 from previous day. Nikkei 225 down 2%, DAX 0%, WTI Crude oil is recently at $52.71, natural gas up 1.2%, gold at $1504 an ounce