Pre-Market IV Report October 7, 2019

Pre-Market IV Report October 7, 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: EA RIG CNX XLNX X MDR AMRN BYND NOK BKLN

Options expected to have increasing volume: UBER DPZ DAL

Straddle prices for stocks expected to report quarterly results this week

Dominos Pizza (DPZ) October weekly 242.50 straddle priced for a move of 7% into the expected release of financial results on October 8
Levi Strauss (LEVI) October weekly 19 straddle priced for a move of 8.5% into the expected release of financial results on October 8
Delta (DAL) October weekly 54 straddle priced for a move of 5% into the expected release of financial results before the bell on October 10
Fastenal (FAST) October weekly 32.50 straddle priced for a move of 7% into the expected release of financial results before the bell on October 10.
Infosys (INFY) October 11 straddle priced for a move of 7% into the expected release of financial results before the bell on October 10.

Oil index/ETF IV flat as WTI Crude trends to $53

United States Oil Fund (USO) October weekly call option implied volatility is at 35, October is at 37, November is at 36; compared to its 52-week range of 23 to 62 after WTI Crude Oil prices fell by over 5% on the week.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) October weekly call option implied volatility is at 39, October is at 39, November is at 38; compared to its 52-week range of 28 to 58

General Motors (GM) October weekly call option implied volatility is at 28, October is at 27, October is at 31; compared to its 52-week range of 21 to 46 into 4th week of UAW strike.

Levi Strauss (LEVI) October call option implied volatility is at 51, November is at 42; compared to its 52-week range of 31 to 53 into the expected release of financial results on October 8.

Option implied volatility for semiconductor stocks into Trade Talks

Western Digital (WDC) 30-day option implied volatility is at 53; compared to its 52-week range of 37 to 73
Texas Instruments (TXN) 30-day option implied volatility is at 30; compared to its 52-week range of 20 to 45
Broadcom (AVGO) 30-day option implied volatility is at 30; compared to its 52-week range of 21 to 48
NVIDIA (NVDA) 30-day option implied volatility is at 38; compared to its 52-week range of 33 to 86
NXP Semiconductors (NXPI) 30-day option implied volatility is at 41; compared to its 52-week range of 27 to 56
Maxim Integrated Devices (MXIM) 30-day option implied volatility is at 31; compared to its 52-week range of 24 to 47
Xilinx (XLNX) 30-day option implied volatility is at 48; compared to its 52-week range of 24 to 53
Skyworks (SWKS) 30-day option implied volatility is at 37; compared to its 52-week range of 26 to 54
Analog Devices (ADI) 30-day option implied volatility is at 29; compared to its 52-week range of 22 to 43
Lam Research (LRCX) 30-day option implied volatility is at 39; compared to its 52-week range of 28 to 54
KLA-Tencor (KLAC) 30-day option implied volatility is at 33; compared to its 52-week range of 25 to 65
Micron (MU) 30-day option implied volatility is at 39; compared to its 52-week range of 36 to 65
AMD (AMD) 30-day option implied volatility is at 61; compared to its 52-week range of 42 to 97
Intel (INTC) 30-day option implied volatility is at 33; compared to its 52-week range of 20 to 45
TSMC (TSM) 30-day option implied volatility is at 29; compared to its 52-week range of 20 to 40
Qualcomm (QCOM) 30-day option implied volatility is at 34; compared to its 52-week range of 25 to 44
Marvell (MRVL) 30-day option implied volatility is at 36; compared to its 52-week range of 29 to 58
Microchip (MCHP) 30-day option implied volatility is at 33; compared to its 52-week range of 25 to 57
Applied Materials (AMAT) 30-day option implied volatility is at 34; compared to its 52-week range of 29 to 55

Options with decreasing option implied volatility: AVYA BB FDX AMTD ULTA
Increasing unusual option volume: HEDJ VNO PFNX FIZZ CHRS MUX DHT CIO QGEN RNG
Increasing unusual call option volume: VNO CHRS MUX DHT RNG QGEN CIO AMTD
Increasing unusual put option volume: HEDJ FIZZ AM CFG ARNC HBAN CHK HPQ NAT
Popular stocks with increasing unusual volume: COST F PCG HPQ CHK
Active options: AAPL TSLA NFLX AMD MSFT ROKU FB AMZN BAC CHK SNAP BABA COST MU NVDA F PCG HPQ GE T

Global S&P Futures are recently down 14.50 from previous day. Nikkei 225 down 0.1%, DAX -0.1%, WTI Crude oil is recently at $53.13, natural gas down 1.6%, gold at $1507 an ounce