Pre-Market IV Report October 4, 2018

Pre-Market IV Report October 4, 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: SRPT CENX ESRX TBT XLU STZ NVEV WTW LL W SNAP PBR XO UVXY VIX SPY QQQ COST

Options expected to have increasing volume: SPY VXX QQQ RUT IWM COST BKS PIR TLRY CGC CRON HPQ CLDR HDP

Option implied volatility is at low end of historic range as share prices at high end of historic range as interest rates trend higher, with full employment into corporate guidance

Bank option implied volatility as rates spike higher into employment report

Citigroup (C) 30-day option implied volatility is at 24; compared to its 52-week range of 16 to 32
Bank of America (BAC) 30-day option implied volatility is at 22; compared to its 52-week range of 16 to 36
Morgan Stanley (MS) 30-day option implied volatility is at 26; compared to its 52-week range of 18 to 35
BNY Mellon (BK) 30-day option implied volatility is at 23; compared to its 52-week range of 15 to 32
Wells Fargo (WFC) 30-day option implied volatility is at 23; compared to its 52-week range of 16 to 33
Comerica (CMA) 30-day option implied volatility is at 24; compared to its 52-week range of 18 to 36
BB&T (BBT) 30-day option implied volatility is at 22; compared to its 52-week range of 17 to 29
KeyCorp (KEY) 30-day option implied volatility is at 24; compared to its 52-week range of 19 to 38
PNC Financial Services (PNC) 30-day option implied volatility is at 21; compared to its 52-week range of 16 to 33
JP Morgan (JPM) 30-day option implied volatility is at 20; compared to its 52-week range of 15 to 35
Goldman Sachs (GS) 30-day option implied volatility is at 22; compared to its 52-week range of 15 to 34

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) option implied volatility spikes as Ten Year at highest level since 2011

Proshares Ultra Short 20 Year Treasury ETF (TBT) October weekly call option implied volatility is at 32, October is at 22, November is at 21; compared to its 52-week range of 17 to 30.

iShares 20+ Year Treasury Bond Fund (TLT) October weekly call option implied volatility is at 15, October is at 11, November is at 11; compared to its 52-week range of 8 to 16.

Ishares Core Total U.s. Bond Market Etf (AGG) call put ratio 1 call to 1.29 puts with focus on October 105 puts.

Spdr Barclays High Yield Bond Etf (JNK) call put ratio 1 call to 5.9 puts as rates increase

Ishares Iboxx $ High Yield Corporate Bond Etf (HYG) call put ratio 1 call to 4.2 puts with focus on October weekly and October weekly 86 puts.

Brazilian option implied volatility increases into elections

iShares MSCI Brazil (EWZ) 30-day call option implied volatility is at 61, compared to its 52-week range of 24 to 59
Banco Bradesco (BBD) 30-day call option implied volatility is at 64, compared to its 52-week range of 29 to 67

Gerdau SA (GGB) 30-day call option implied volatility is at 50, compared to its 52-week range of 32 to 58
Vale (VALE) 30-day call option implied volatility is at 48, compared to its 52-week range of 30 to 46
Embraer (ERJ) 30-day call option implied volatility is at 45, compared to its 52-week range of 27 to 72

Itau Unibanco (ITUB) 30-day call option implied volatility is at 58, compared to its 52-week range of 27 to 60
Petrobras (PBR) 30-day call option implied volatility is at 83, compared to its 52-week range of 30 to 75

Tilray, Inc. (TLRY) October weekly call option implied volatility is at 205, October is at 188; compared to its 52-week range of 68 to 313 into announces $400M offering of convertible senior notes due 2023 and Q3 revenue guidance. Call put ratio 1 calls to 1 put.

Increasing unusual option volume: CENX FBNC HOS ABEV TRVN
Increasing unusual call option volume: CENX ABEV WGO BHGE TRVN
Increasing unusual put option volume: VRAY MRTX SFLY CENX TRI AYI
Popular stocks with increasing unusual: BA T GM PBR
Options with decreasing option implied volatility: TRI LEN SFIX SEAS NKE AKRX INSM EDIT
Cboe Bitcoin October futures up 122 to 6550