Pre-Market IV Report October 9, 2018

Pre-Market IV Report October 9, 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: XOG UVXY SNAP TWLO MNK VXX ROKU TSLA CSIQ EBAY BKLN TSLA PENN NWL COL ASHR VFC AMJ CC

Options expected to have increasing volume: PZZA FAST SJM TBT TLT PPG VXX VIX UVXY SPY IWM QQQ RUT WMT

Option implied volatility increases as interest rates trend higher as share prices move lower

iPath S&P 500 VIX ST Futures ETN (VXX) October weekly call option implied volatility is at 88, October is at 85, November is at 88; compared to its 52-week range of 51 to 154.

Proshares Ultra Vix Short-term Futures Etf (UVXY) October weekly call option implied volatility is at 134, October is at 125, November is at 122; compared to its 52-week range of 85 to 306.

ProShares Short VIX Short Term Futures ETF (SVXY) October weekly call option implied volatility is at 54, October is at 43, November is at 38; compared to its 52-week range of 27 to 156.

Walmart (WMT) October weekly call option implied volatility is at 19, October is at 27, November is at 26; compared to its 52-week range of 15 to 37 into Deutsche Bank upgraded Walmart to Buy and raised its price target for the shares to $113 from $89.

Papa John’s (PZZA) October weekly call option implied volatility is at 45, October is at 41, November is at 43; compared to its 52-week range of 25 to 65 flat into WSJ report of Trian considering possible bid.

PPG Industries (PPG) October weekly call option implied volatility is at 23, October is at 27, November is at 21; compared to its 52-week range of 15 to 34 into guiding Q3 and Q4 earnings below consensus on higher raw material costs.

Gaming and Entertainment Company’s option implied volatility into 2018 G2E Expo

MGM Resorts (MGM) 30-day option implied volatility is at 39; compared to its 52-week range of 21 to 50

Las Vegas Sands (LVS) 30-day option implied volatility is at 32; compared to its 52-week range of 19 to 37

Wynn Resorts (WYNN) 30-day option implied volatility is at 46; compared to its 52-week range of 22 to 49

Caesars Entertainment (CZR) 30-day option implied volatility is at 49; compared to its 52-week range of 28 to 55

Penn National Gaming (PENN) 30-day option implied volatility is at 53; compared to its 52-week range of 26 to 53

Boyd Gaming (BYD) 30-day option implied volatility is at 40; compared to its 52-week range of 45

Pinnacle Entertainment (PNK) 30-day option implied volatility is at 21; compared to its 52-week range of 13 to 56

Eldorado Resorts (ERI) 30-day option implied volatility is at 44; compared to its 52-week range of 27 to 52

Monarch Casino & Resort (MCRI) 30-day option implied volatility is at 30; compared to its 52-week range of 21 to 34

Straddle prices for stocks expected to report results this week

Walgreens Boots Alliance (WBA) October weekly 74.50 straddle priced for move of 4.2% 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 140 straddle priced for move of 2.6% 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 3.3% into the expected release of Q3 EPS before the market open on October 12
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

Increasing unusual option volume: GPOR GOV RDC EBIX LBTYK CXW PYX COL SUN XRX
Increasing unusual call option volume: GPOR GOV RDC SUN XRX TDC DAN PYX ESV GPRE ARIncreasing unusual put option volume: EBIX TZA COL EWT FXB IWF ABEO QID TSM UBS
Popular stocks with increasing unusual: VZ XOM PYPL VXX VIX UVXY SPY IWM QQQ RUT
Options with decreasing option implied volatility: ESRX STZ COST DLTR SDS AMLP AMRN HPE COST FEYE AG
Cboe Bitcoin October futures down 30 to 6595