Pre-Market IV Report September 12, 2019

Pre-Market IV Report September 12, 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: LBTYA ZNGA LL BBBY VIAV XRT NUGT KR TLRD ONCE AABA GOGO DLTH IQ

Options expected to have increasing volume: TLRD AVGO KR ORCL MA USB SPY RUT IWM QQQ LSTR T BHGI BUD GRPN YELP

Option implied volatility low into President Trump delays $250B China tariff increase to October 15th from October 1st, ECB meeting, Fed decision next week and 70th anniversary of the People’s Republic of China on October 1

S&P Dep Receipts (SPY) September weekly call option implied volatility is at 13, September and October is at 12; compared to its 52-week range of 9 to 32.

PowerShares QQQ Trust (QQQ) September weekly call option implied volatility is at 16, September and October is at 17; compared to its 52-week range of 14 to 37.

Oracle (ORCL) September weekly call option implied volatility is at 90, September is at 49, October is at 27; compared to its 52-week range of 15 to 40 into CEO Mark Hurd to take a leave of absence for health related reasons.

Yelp (YELP) September weekly call option implied volatility is at 33, September is at 30, October is at 31; compared to its 52-week range of 30 to 83 into WSJ say’s Yelp may be a target in Groupon (GRPN) acquisition plan. Call put ratio 3.4 calls to 1 put with focus on October 37 and 38 calls.

Groupon (GRPN) September weekly call option implied volatility is at 54, September is at 45, October is at 43; compared to its 52-week range of 36 to 104.

AB InBev SA (BUD) September weekly, September and October call option implied volatility is at 20; compared to its 52-week range of 19 to 33 into renewed reports of Hong Kong IPO fund raising.

Straddle prices for stocks expected to report quarterly results this week

Broadcom (AVGO) September weekly 297.5 straddle priced for a move of 4.5% into the expected release of quarterly results today after the bell
Kroger (KR) September weekly 25.50 straddle priced for a move of 8% into the expected release of quarterly results today before the bell

Philip Morris International (PM) September weekly call option implied volatility is at 27, September is at 25, October is at 26; compared to its 52-week range of 18 to 37 after recently confirming talks with Altria (MO) regarding potential merger of equals and reports the White House to remove FDA waiver allowing for flavored vaping.

Altria Group (MO) September weekly call option implied volatility is at 29, September is at 29, October is at 27; compared to its 52-week range of 17 to 39 after recently confirming talks with Altria (MO) regarding potential merger of equals and reports the White House to remove FDA waiver allowing for flavored vaping.

Bank option implied volatility into ECB meeting and Fed decision next week

Citi (C) 30 day option implied volatility is at 24; compared to its 52-week range of 17 to 55.
Goldman Sachs (GS) 30 day option implied volatility is at 23; compared to its 52-week range of 16 to 50.
JPMorgan (JPM) 30 day option implied volatility is at 19; compared to its 52-week range of 15 to 41.
Morgan Stanley (MS) 30 day option implied volatility is at 24; compared to its 52-week range of 19 to 50.
Wells Fargo (WFC) 30 day option implied volatility is at 21; compared to its 52-week range of 16 to 44.
PNC Financial Services (PNC) 30 day option implied volatility is at 23; compared to its 52-week range of 16 to 43.
Bank of America (BAC) 30 day option implied volatility is at 24; compared to its 52-week range of 17 to 47.
SunTrust Banks (STI) 30 day option implied volatility is at 23; compared to its 52-week range of 19 to 44
BB&T (BBT) 30 day option implied volatility is at 23; compared to its 52-week range of 18 to 37

Options with decreasing option implied volatility: TPR TGT ULTA HOME VIAB CLDR SIG
Increasing unusual option volume: VIAV ACHC LC EYE BHGE WPG KEX BANC DLTH NSTG
Increasing unusual call option volume: VIAV ACHC EYE DLR VFC VST PUMP IMGN KEX
Increasing unusual put option volume: LC BHGE YPF AIMT OMC TDOC LE PLAY
Popular stocks with increasing unusual volume: VALE SQ ROKU M T GILD
Active options: APPL TSLA AMD M MSFT T MU NFLX BAC BA ROKU GE FB VALE AMZN ACB GILD SQ BIDU NVDA

Global S&P Futures are recently up 6.25 from previous day. Nikkei 225 up 0.7%, DAX up 0.2%, WTI Crude oil is recently at $56.02, natural gas down 0.7%, gold at $1510 an ounce