Pre-Market IV Report September 10, 2018

Pre-Market IV Report September 10, 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: CMCSA CRTO SNE ATUS TSLA EBAY WMB ORCL GERN OPK

Options expected to have increasing volume: BABA T OPK CBS VIAB ORCL SNAP

Alibaba (BABA) September weekly call option implied volatility is at 34, September is at 39, October is at 45; compared to its 52-week range of 24 to 43 into chairman Jack Ma stepping down in September 2019.

iShares China Large-Cap (FXI) September weekly and September call option implied volatility is at 25, October is at 22; compared to its 52-week range of 15 to 33.

CBS Corp. (CBS) September weekly call option implied volatility is at 19, September is at 24; compared to its 52-week range of 22 to 42 into announces resolution of governance disputes, Leslie Moonves stepping down.

Tesla (TSLA) September weekly call option implied volatility is at 62, September is at 63, October is at 63; compared to its 52-week range of 32 to 71.

AT&T (T) September weekly call option implied volatility is at 19, September and October is at 17; compared to its 52-week range of 14 to 30 into discussing the company’s recently released pro-forma financial information reflecting the Time Warner acquisition on a conference call to be held today at 11:30 am.

Oracle (ORCL) September weekly call option implied volatility is at 17, September is at 37, October is at 26; compared to its 52-week range of 13 to 31 into the expected release of Q1 EPS after the market close on September 12.

UPS (UPS) September weekly and September call option implied volatility is at 19, October is at 18; compared to its 52-week range of 12 to 31 into upcoming “Transformation Conference” analyst day on September 13.

Allegiant Travel (ALGT) September and October call option implied volatility is at 28; compared to its 52-week range of 26 to 49 into hosting an investor day on September 13.

Proshares Ultra Short 20 Year Treasury ETF (TBT) September weekly, September and October call option implied volatility is at 16; compared to its 52-week range of 17 to 30 as rates trend higher.

Straddle prices for stocks expected to report results this week
Oracle (ORCL) September weekly 48 straddle priced for move of 6% into the expected release of EPS after the market close on September 12
Pivotal (PVTL) September 27 straddle priced for move of 14% into the expected release of EPS after the market close on September 12
Adobe (ADBE) September weekly 260 straddle priced for move of 5.5% into the expected release of EPS after the market close on September 13
Kroger (KR) September weekly 32 straddle priced for move of 6% into the expected release of EPS before the market open on September 13

Increasing unusual option volume: GFI INFO KLXI VGR BCO
Increasing unusual call option volume: USAT ANAB EXP BUD MTW DOMO BKE
Increasing unusual put option volume: SAN CRR OPK FDC AMJ SONC VGK
Popular stocks with increasing unusual option volume: AVGO SQ PBR
Options with decreasing option implied volatility: FIVE GME PANW MRVL FNSR