Pre-Market IV Report September 11, 2019

Pre-Market IV Report September 11, 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: ZS ACB GDX SLV GME BBBY ZNGA TLRD GME RVNC VIAB OLED

Options expected to have increasing volume: AVGO KR ORCL MA USB TLRD GME RH FRAN PLAY

Apple (AAPL) September weekly call option implied volatility is at 24, September is at 23, October is at 25; compared to its 52-week range of 16 to 46 after announcing new iPhones, service products and into Apple TV+ to launch on November 1.

Option implied volatility for content providers into Apple (AAPL) TV+ launch on November 1

Roku (ROKU) 30 day option implied volatility is at 85; compared to its 52-week range 50 to 102
Verizon (VZ) 30 day option implied volatility is at 17; compared to its 52-week range of 14 to 35.
Microsoft (MSFT) 30 day option implied volatility is at 23; compared to its 52-week range 16 to 44.
Alphabet (GOOG) 30 day option implied volatility is at 20; compared to its 52-week range 18 to 41.
Facebook (FB) 30 day option implied volatility is at 25; compared to its 52-week range 23 to 53.
Amazon (AMZN) 30 day option implied volatility is at 22; compared to its 52-week range 20 to 55.
Netflix (NFLX) 30 day option implied volatility is at 33; compared to its 52-week range 29 to 79.
Alphabet (GOOGL) 30 day option implied volatility is at 20; compared to its 52-week range 18 to 42.
CBS (CBS) 30 day option implied volatility is at 25; compared to its 52-week range 21 to 41.
Disney (DIS) 30 day option implied volatility is at 20; compared to its 52-week range 17 to 60.
Comcast (CMCSA) 30 day option implied volatility is at 21; compared to its 52-week range 17 to 60.
AT&T (T) 30 day option implied volatility is at 20; compared to its 52-week range 15 to 39.

Financial Select Sector SPDR ETF (XLF) September weekly and September call option implied volatility is at 15, October is at 16; compared to its 52-week range of 13 to 35 as interest rates recently reversed higher.

Bank option implied volatility flat as interest rates recently reverse higher into ECB meeting as share prices increase

Citi (C) September weekly call option implied volatility is at 25, September is at 24, October is at 24; compared to its 52-week range of 17 to 55.
Goldman Sachs (GS) September weekly call option implied volatility is at 25, September is at 24, October is at 24; compared to its 52-week range of 16 to 50.
JPMorgan (JPM) September weekly call option implied volatility is at 21, September is at 21, October is at 20; compared to its 52-week range of 15 to 41.
Morgan Stanley (MS) September weekly call option implied volatility is at 26, September is at 27, October is at 26; compared to its 52-week range of 19 to 50.
Wells Fargo (WFC) September weekly call option implied volatility is at 23, September is at 22, October is at 23; compared to its 52-week range of 16 to 44.
PNC Financial Services (PNC) September weekly call option implied volatility is at 24, September is at 23, October is at 23; compared to its 52-week range of 16 to 43.
Bank of America (BAC) September weekly call option implied volatility is at 24, September is at 24, October is at 25; compared to its 52-week range of 17 to 47.
U.S. Bancorp (USB) September weekly call option implied volatility is at 20, September is at 19, October is at 20; compared to its 52-week range of 13 to 36 as interest rates recently reverse higher and investor meeting.

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) September weekly call option implied volatility is at 37, September is at 32, October is at 28; compared to its 52-week range of 15 to 33 as interest rates recently reversed higher.

iShares 20+ Year Treasury Bond ETF (TLT) September weekly call option implied volatility is at 19, September is at 17, October is at 14; compared to its 52-week range of 7 to 18.

Straddle prices for stocks expected to report quarterly results this week

Tailored Brand (TLRD) September 7 straddle priced for a move of 28% into the expected release of quarterly results today
Broadcom (AVGO) September weekly 295 straddle priced for a move of 5% into the expected release of quarterly results after the bell on September 12
Oracle (ORCL) September weekly 55.50 straddle priced for a move of 6% into the expected release of quarterly results after the bell on September 12
Kroger (KR) September weekly 26 straddle priced for a move of 8% into the expected release of quarterly results before the bell on September 12

Philip Morris International (PM) September weekly call option implied volatility is at 25, September is at 26, October is at 28; compared to its 52-week range of 18 to 37 after recently confirming talks with Altria (MO) regarding potential merger of equals.

Altria Group (MO) September weekly call option implied volatility is at 27, September and October is at 26; compared to its 52-week range of 17 to 39.

Options with decreasing option implied volatility: JWN VIX TPR TGT ULTA HOME MIK AABA SIG
Increasing unusual option volume: CNXM LC EYE TGP TAN CSTM RCII NLNK WEN
Increasing unusual call option volume: TGP CSTM RCII LKQ CNDT PSA OMI NICE QCOM MTSI AVEO JO TROX
Increasing unusual put option volume: FEZ TAN OMI TSEM VWO WEN BVN LL HGV SIG
Popular stocks with increasing unusual volume: CHK V T
Active options: AAPL BAC QCOM ROKU NFLX MSFT AMD GE FB SNAP T TSLA F CHK AMZN JPM V NVDA C MU

Global S&P Futures are recently up 2.25 from previous day. Nikkei 225 up 0.9%, DAX up 0.7%, WTI Crude oil is recently at $57.90, natural gas up 0.4%, gold at $1497 an ounce