Pre-Market IV Report September 18, 2019

Pre-Market IV Report September 18, 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: CHWY BB BBBY BKLN NFLX LQD WLL NUGT GDX

Options expected to have increasing volume: FDX XPO AMZN UPS ADBE CHWY KLAC MAS GIS DRI NKE NAV STX

United States Oil Fund (USO) September call option implied volatility is at 55 compared to a level of 32 in September 13, October is at 42; compared to its 52-week range of 22 to 58 as WTI Crude Oil trades gives back recent gains and trades below $59.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) September call option implied volatility is at 55 compared to 35 from September 13, October is at 44; compared to its 52-week range of 22 to 58.

XPO Logistics (XPO) September call option implied volatility is at 45, October is at 39; compared to its 52-week range of 29 to 112 into FedEx (FDX) lowering fiscal 2020 earnings guidance.

UPS (UPS) September call option implied volatility is at 27, October is at 21; compared to its 52-week range of 16 to 42 into FedEx (FDX) lowering fiscal 2020 earnings guidance.

Boeing (BA) option implied volatility low into House panel invites Boeing CEO to testify on 737 MAX

Boeing (BA) September call option implied volatility is at 28, October is at 24, November is at 28; compared to its 52-week range of 22 to 45 into Chair of the House Committee on Transportation and Infrastructure formally inviting Boeing Chairman Dennis Muilenburg and Chief Engineer of Commercial Airplanes division John Hamilton to appear before the full committee for a hearing on October 30, 2019.

How will the markets long-short market-neutral strategy liquidity evolve on FOMC policy decision and outlook?

iShareiShares China Large-Cap (FXI) September call option implied volatility is at 21, October is at 19; compared to its 52-week range of 16 to 32 into Federal Reserve policy meeting decision and outlook on September 18. The National Day of the People’s Republic of China on October 1. Call put ratio 1 call to 1 put.

Db X-trackers Harvest Csi 300 China A – Shares Fund (ASHR) September call option implied volatility is at 25, October is at 24; compared to its 52-week range of 20 to 36. Call put ratio 57 calls to 1 put with focus on October weekly (4) 29 calls.

Option implied volatility for banks into FOMC policy decision

Citi (C) 30-day option implied volatility is at 19; compared to its 52-week range of 19 to 56
Goldman Sachs (GS) 30-day option implied volatility is at 25; compared to its 52-week range of 19 to 50
JPMorgan (JPM) 30-day option implied volatility is at 22; compared to its 52-week range of 15 to 41
Morgan Stanley (MS) 30-day option implied volatility is at 27; compared to its 52-week range of 19 to 50
U.S. Bancorp (USB) 30-day option implied volatility is at 21; compared to its 52-week range of 14 to 36
Wells Fargo (WFC) 30-day option implied volatility is at 23; compared to its 52-week range of 18 to 45
Bank of America (BAC) 30-day option implied volatility is at 26; compared to its 52-week range of 19 to 47
PNC Financial Services (PNC) 30-day option implied volatility is at 25; compared to its 52-week range of 18 to 43
State Street (STT) 30-day option implied volatility is at 34; compared to its 52-week range 20 to 47
Capital One Financial (COF) 30-day option implied volatility is at 23; compared to its 52-week range of 19 to 44
Northern Trust (NTRS) 30-day option implied volatility is at 27; compared to its 52-week range 18 to 40
Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 18; compared to its 52-week range of 13 to 35

Option implied volatility for global markets into FOMC policy decision

iShares MSCI Brazil (EWZ) September call option implied volatility is at 35, October is at 31; compared to its 52-week range of 22 to 58. Call put ratio 2.9 calls to 1 put.
Ishares Msci Mexico Capped Etf (EWW) 30 day option implied volatility is at 19; compared to its 52-week range of 17 to 43
Spdr S&P Emerging Markets Small Cap Etf (EWX) 30 day option implied volatility is at 14; compared to its 52-week range of 12 to 24
Ishares Msci Malaysia Etf (EWM) 30 day option implied volatility is at 13; compared to its 52-week range of 13 to 29
Ishares Msci Emerging Markets Etf (EEM) 30 day option implied volatility is at 17; compared to its 52-week range of 14 to 29
Ishares Msci Italy Capped Etf (EWI) 30 day option implied volatility is at 19; compared to its 52-week range of 15 to 34 into FOMC rate decision.

Straddle prices for stocks expected to report quarterly results this week

General Mills (GIS) September 55 straddle priced for a move of 4.5% into the expected release of quarterly results today
United Natural Foods (UNFI) September 12.5 straddle priced for a move of 7.5% into the expected release of quarterly results today
Darden (DRI) September 125 straddle priced for a move of 5% into the expected release of quarterly results after the bell on September 19
Steelcase (SCS) September 15 straddle priced for a move of 8.5% into the expected release of quarterly results on September 19

Options with decreasing option implied volatility: ZS YPF ADVM DXC ULTA
Options with increasing option implied volatility: CHWY BB BBBY BKLN NFLX LQD WLL NUGT GDX
Options expected to have increasing volume: FDX XPO AMZN UPS ADBE CHWY KLAC MAS GIS DRI NKE NAV STX
Increasing unusual option volume: VNQ ALDR LOGI BKLN AAWW CHS HOLX
Increasing unusual call option volume: LOGI AAWW HOLX MGM NGL FXB CBRL
Increasing unusual put option volume: VNQ ALDR BKLN DBD CHS WU AAWW JBLU BE
Popular stocks with increasing unusual volume: AAL CHK ACB NIO AMD
Active options: AAPL BAC NFLX AMD MSFT FB T ADBE BABA MGM NIO TSLA FDX AMZN ACB ROKU AAL NVDA CHK

Global S&P Futures are recently down 2.25 from previous day. Nikkei 225 down 0.1%, DAX up 0.1%, WTI Crude oil is recently at $59.02, natural gas up 0.3%, gold at $1508 an ounce

[email protected] 312 932 8013