Pre-Market IV Report September 18, 2018

Pre-Market IV Report September 18, 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: FDX MU ORCL DVMT IBM WDC TNDM AMD BKS FTV RLGY AMRN GERN ORCL TLRY

Options expected to have increasing volume: FDX ORCL MU AVP

Apple (AAPL) September option implied volatility elevated at 33

Apple (AAPL) September call option implied volatility is at 33, October is at 24; compared to its 52-week range of 16 to 34.

Avon Products (AVP) 30-day option implied volatility is at 63; compared to its 52-week range of 48 to 122 into Brazil’s Natura approached Avon Products about a takeover, according to the Wall Street Journal and the company hosting an investor day on September 21.

Kimberly-Clark (KMB) and Procter & Gamble (PG) option implied volatility flat into report Amazon (AMZN) Launches Premium Diaper Brand

Kimberly-Clark (KMB) September call option implied volatility is at 20, October is at 19; compared to its 52-week range of 15 to 28 into Amazon (AMZN) has added a new, exclusive premium diapers brand, TechCrunch reported.

Procter & Gamble (PG) September call option implied volatility is at 14, October is at 15; compared to its 52-week range of 11 to 24.

Alibaba (BABA) September call option implied volatility is at 49, October is at 35; compared to its 52-week range of 24 to 43 into a company hosted investor meeting today.

Ferrari (RACE) September call option implied volatility is at 46, October is at 28; compared to its 52-week range of 21 to 36 into hosting Capital Markets Day in Maranello, Italy today.

BorgWarner (BWA) September call option implied volatility is at 36, October is at 28; compared to its 52-week range of 21 to 37 into a company hosted investor meeting today. Call put ratio 8.8 calls to 1 put.

Dell Technologies Inc. (DVMT) September call option implied volatility is at 27, October is at 25; compared to its 52-week range of 16 to 57 into a company hosted investor meeting today. Call put ratio 2.8 calls to 1 put.

Danaher (DHR) September call option implied volatility is at 15, October is at 17; compared to its 52-week range of 13 to 28 into a company hosted investor meeting on September 18. Call put ratio 1 call to 4 puts.

Straddle prices for stocks expected to report results this week

Red Hat (RHT) September 145 straddle priced for move of 9% into the expected release of Q2 EPS on September 19
Darden (DRI) September 120 straddle priced for move of 5.6% into the expected release of Q1 EPS on before the market open on September 20
Micron (MU) September 43.50 straddle priced for move of 8.7% into the expected release of Q4 EPS after the market close on September 20

Increasing unusual option volume: AFSI GOV KTOS UPL CBRL SALT MFC AR FTV NOG
Increasing unusual call option volume: AFSI GOV UPL SALT AR EMB FTV WAB TDC RDNT NBL

Increasing unusual put option volume: AFSI KTOS NOG CBRL DM PGNX ALL ODFL FTV
Popular stocks with increasing unusual: ORCL CI TRV FDX BBBY NI
Options with decreasing option implied volatility: PVTL SONO TLRD ZS GE HYG DOCU TLRD ADBE FDC FIT MSFT XRT
Cboe Bitcoin October futures up 7.50 to 6225