Pre-Market IV Report September 17, 2018

Pre-Market IV Report September 17, 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: AMRN FOXA FTV GERN FLEX ICPT WMB RACE MGM GBT TGT GME EW JNPR NI

Options expected to have increasing volume: FDX ORCL MU

FedEx (FDX) September call option implied volatility is at 30, October is at 22; compared to its 52-week range of 15 to 34 into the expected release of Q1 results today after the market close. Call put ratio 1.2 calls to 1 put.

Oracle (ORCL) September call option implied volatility is at 79, October is at 54; compared to its 52-week range of 34 to 64 into the expected release of Q1 results today after the market close. Call put ratio 1 call to 1 put.

Alibaba (BABA) September call option implied volatility is at 38, October is at 33; compared to its 52-week range of 24 to 43 into a company hosted investor meeting today thru Tuesday.

Micron (MU) September call option implied volatility is at 77, October is at 55; compared to its 52-week range of 34 to 63 into the expected release of Q4 results after the market close on September 20. Call put ratio 2.5 calls to 1 put.

Wynn Resorts Ltd (WYNN) September weekly call option implied volatility is at 31, October is at 32; compared to its 52-week range of 22 to 49 into typhoon Mangkhut.

MGM Resorts (MGM) September and October call option implied volatility is at 29; compared to its 52-week range of 21 to 50 into typhoon Mangkhut.

Las Vegas Sands (LVS) September call option implied volatility is at 21, October is at 24; compared to its 52-week range of 19 to 37 into typhoon Mangkhut.

Melco Resorts & Entertainment (MLCO) September call option implied volatility is at 41, October is at 40; compared to its 52-week range of 29 to 47 into typhoon Mangkhut.

NiSource (NI) September call option implied volatility is at 42, October is at 47; compared to its 52-week range of 13 to 28 after gas explosions near Boston. Call put ratio 1 call to 6.1 puts with focus on September 24 puts.

Straddle prices for stocks expected to report results this week

FedEx (FDX) September 255 straddle priced for move of 3.5% into the expected release of EPS after the market close on September 17
Oracle (ORCL) September 49 straddle priced for move of 5.3% into the expected release of EPS after the market close on September 17

Apogee Enterprises (APOG) September 50 straddle priced for move of 9% into the expected release of EPS on September 18
AutoZone (AZO) September 750 straddle priced for move of 5.6% into the expected release of EPS on September 18

Cracker Barrel (CBRL) September 150 straddle priced for move of 5% into the expected release of Q4 EPS on September 18
General Mills (GIS) September 47.50 straddle priced for move of 5% into the expected release of EPS on September 18

Red Hat (RHT) September 147 straddle priced for move of 8.7% into the expected release of Q2 EPS on September 19

Darden (DRI) September 120 straddle priced for move of 6% into the expected release of Q1 EPS on before the market open on September 20
Micron (MU) September 44.50 straddle priced for move of 8.8% into the expected release of Q4 EPS after the market close on September 20

Steelcase (SCS) September 15 straddle priced for move of 8% into the expected release of EPS after the market close on September 20
United Natural (UNFI) September 30 straddle priced for move of 11% into the expected release of EPS on September 20

Increasing unusual option volume: WAB OI BVN AMRS ACXM NTRI JNK THO AIMC EZA EWA CAMP
Increasing unusual call option volume: OI AMRS HSIC THO DXJ KNDI AIMC ACXM EDU PLAY
Increasing unusual put option volume: NTRI IBN EXTR SEAS EWA WAB EWA JNK
Popular stocks with increasing unusual: TLRY ADBE DVN MRVL
Options with decreasing option implied volatility: PLAY ADBE UUP PVTL AKRX AABA GE TLRD
Active options: AMD AAPL BABA AMZN FB TSLA MU GE TLRY NVDA SNAP BAC MSFT NFLX FTV PBR ADBE DVN MRVL JD
Cboe Bitcoin October futures +1 to 126.81