Pre-Market IV Report October 5, 2018

Pre-Market IV Report October 5, 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: NBEV SNAP AMRN PBR WTW W OSTK UVXY VXX CLDR SHOP SPY SSO

Options expected to have increasing volume: TSLA COST SPY VXX QQQ RUT IWM

Straddle prices for stocks expected to report results the week of October 8

Fastenal (FAST) October 57.50 straddle priced for move of 7% into the expected release of Q3 EPS before the market open on October 10.

Delta Airlines (DAL) October weekly 53.50 straddle priced for move of 4% into the expected release of Q3 EPS before the market open on October 11

Walgreens Boots Alliance (WBA) October weekly 73.50 straddle priced for move of 4.1% into the expected release of Q4 EPS before the market open on October 11

Citigroup (C) October 72.50 straddle priced for move of 3.4% into the expected release of Q3 EPS before the market open on October 12

JPMorgan Chase (JPM) October weekly 115 straddle priced for move of 2.4% into the expected release of Q3 EPS before the market open on October 12

PNC Financial (PNC) October weekly 139 straddle priced for move of 3% into the expected release of Q3 EPS before the market open on October 12

Wells Fargo (WFC) October weekly 53.50 straddle priced for move of 2% into the expected release of Q3 EPS before the market open on October 12

Brazilian option implied volatility increases into elections

iShares MSCI Brazil (EWZ) 30-day call option implied volatility is at 63, compared to its 52-week range of 24 to 59

Banco Bradesco (BBD) 30-day call option implied volatility is at 68, compared to its 52-week range of 29 to 67

Gerdau SA (GGB) 30-day call option implied volatility is at 52, compared to its 52-week range of 32 to 58

Vale (VALE) 30-day call option implied volatility is at 51, compared to its 52-week range of 30 to 46

Embraer (ERJ) 30-day call option implied volatility is at 43, compared to its 52-week range of 27 to 72

Itau Unibanco (ITUB) 30-day call option implied volatility is at 62, compared to its 52-week range of 27 to 60

Petrobras (PBR) 30-day call option implied volatility is at 93, compared to its 52-week range of 30 to 75

Increasing unusual option volume: MFC BREW SEE SNX CIG ACHC HDB CVE MFC ITG
Increasing unusual call option volume: XAU BREW CVE SEE TEX CIG BKS LSCC ZNGA
Increasing unusual put option volume: MFC SEE EMB TRI HDP PGR S TSS QSR IEF VGK
Popular stocks with increasing unusual: GE STZ C AMRN HD
Options with decreasing option implied volatility: AKRX INSM EVHC BB STZ HPQ TLRY
Cboe Bitcoin October futures down 22 to 6520