Pre-Market IV Report October 8, 2018

Pre-Market IV Report October 8, 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: CSIQ EBAY BKLN TSLA PENN ALXN NWL COL ASHR CORT BKS VIX W WTW

Options expected to have increasing volume: F GM EWZ PBR BBD VALE PBR TBT TLT FAST SJM PEIX GPRE

General Electric (GE) October weekly call option implied volatility is at 38, October is at 35, November is at 37; compared to its 52-week range of 19 to 46 into upgraded to Overweight from Equal Weight at Barclays and the expected release of Q3 results on October 25.

Ford Motor (F) October weekly call option implied volatility is at 24, October is at 30, November is at 28; compared to its 52-week range of 15 to 33 as shares at low end of nine-year range.

General Motors (GM) October weekly call option implied volatility is at 28, October is at 27, November is at 30; compared to its 52-week range of 20 to 40.

Pacific Ethanol (PEIX) October call option implied volatility is at 100, November is at 85; compared to its 52-week range of 44 to 102 into President Trump is expected to announce the lifting of a federal ban on summer sales of higher-ethanol blends of gasoline on October 9 ahead of a trip to Iowa the same day, according to Reuters, citing two sources familiar with the matter. Call put ratio 57 calls to 1 put.

Green Plains (GPRE) October call option implied volatility is at 38, November is at 44; compared to its 52-week range of 33 to 62 into President Trump is expected to announce the lifting of a federal ban on summer sales of higher-ethanol blends of gasoline on October. Call put ratio 6 calls to 1 put.

J.M. Smucker (SJM) October call option implied volatility is at 28, November is at 24; compared to its 52-week range of 18 to 39 into hosting an investor day on October 9.

Straddle prices for stocks expected to report results this week

Fastenal (FAST) October 57.50 straddle priced for move of 8% into the expected release of Q3 EPS before the market open on October 10.

Delta Airlines (DAL) October weekly 52.50 straddle priced for move of 4.2% into the expected release of Q3 EPS before the market open on October 11

Walgreens Boots Alliance (WBA) October weekly 72.50 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 straddle priced for move of 3.2% into the expected release of Q3 EPS before the market open on October 12

OPTIONS: Brazilian Option Implied Volatility into Shares up on Elections

iShares MSCI Brazil (EWZ) 30-day call option implied volatility is at 64, compared to its 52-week range of 24 to 59
Banco Bradesco (BBD) 30-day call option implied volatility is at 70, compared to its 52-week range of 29 to 67
Gerdau SA (GGB) 30-day call option implied volatility is at 53, compared to its 52-week range of 32 to 58
Vale (VALE) 30-day call option implied volatility is at 54, 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 64, compared to its 52-week range of 27 to 60
Petrobras (PBR) 30-day call option implied volatility is at 92, compared to its 52-week range of 30 to 75

Increasing unusual option volume: JBGS EC DLPH SGH DVY GOV BKS DDR ASGN
Increasing unusual call option volume: BKS SGH GOV NTRS GTXI MAT CP APTV MDR ERI
Increasing unusual put option volume: EC CX APO PBF PENN FMC KKR
Popular stocks with increasing unusual: COST T PBR
Options with decreasing option implied volatility: COST DLTR SDS AMLP AMRN HPE COST FEYE AKRX INSM STZ
Cboe Bitcoin October futures up 7 to 6545