Pre-Market IV Report September 19, 2018

Pre-Market IV Report September 19, 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: ABBV AMRN GERN MU BBY CTL TSLA TGTX TLRY TNDM ATHN IBM RHT SGMS

Options expected to be active: RHT MU SMRT TRVG RACE BBY ABBV TBT

Micron Technology (MU) September call option implied volatility is at 104, October is at 55; compared to its 52-week range of 34 to 63 into EPS. Call put ratio 2.3 calls to 1 put.

Tesla (TSLA) September call option implied volatility is at 70, October is at 64; compared to its 52-week range of 32 to 71 into SEC subpoenaed Goldman, Silver Lake in Tesla probe, NY Times reports.

Best Buy (BBY) September call option implied volatility is at 27, October is at 26; compared to its 52-week range 23 to 61 into the expected release of Q2 EPS before the market open on August 28. Call put ratio 1 call to 5.2 put with focus on September weekly puts.

Geron Corp (GERN) September call option implied volatility is at 230, October is at 290; compared to its 52-week range of 64 to 330 into Johnson & Johnson’s (JNJ) subsidiary Janssen making a continuation decision under its 2014 collaboration agreement with Geron.

iShares China Large-Cap (FXI) September call option implied volatility is at 25, October is at 22; compared to its 52-week range of 15 to 33. Call put ratio 3 calls to 1 put with focus on ATM September and October calls as shares trade near low end of range.

Straddle prices for stocks expected to report results this week

Red Hat (RHT) September 143 straddle priced for move of 8.9% into the expected release of Q2 EPS today after the market close

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 7.9% into the expected release of Q4 EPS after the market close on September 20

Aero-space & aviation stock option implied volatility is low, however BA & GE are bid

Boeing (BA) 30-day option implied volatility of 23 compares to its 52-week range of 16 to 43
Embraer (ERJ) 30-day option implied volatility of 39 compares to its 52-week range of 27 to 72
General Dynamics (GD) 30-day option implied volatility of 17 compares to its 52-week range of 14 to 29
General Electric (GE) 30-day option implied volatility of 27 compares to its 52-week range of 18 to 46
Honeywell (HON) 30-day option implied volatility of 16 compares to its 52-week range of 11 to 28
Huntington Ingalls (HII) 30-day option implied volatility of 22 compares to its 52-week range of 18 to 38
Harris (HRS) 30-day option implied volatility of 17 compares to its 52-week range of 14 to 37
L-3 Communications (LLL) 30-day option implied volatility of 17 compares to its 52-week range of 16 to 30
Lockheed Martin (LMT) 30-day option implied volatility of 17 compares to its 52-week range of 12 to 28
Northrop Grumman (NOC) 30-day option implied volatility of 19 compares to its 52-week range of 14 to 30
Spirit AeroSystems (SPR) 30-day option implied volatility of 20 compares to its 52-week range of 18 to 42
Textron (TXT) 30-day option implied volatility of 25 compares to its 52-week range of 18 to 37
United Technologies (UTX) 30-day option implied volatility of 20 compares to its 52-week range of 13 to 31

Increasing unusual option volume: NBEV TMF CCK VKTX KOS FBHS VAC
Increasing unusual call option volume: TMF NBEV EPI CCK FBHS VAC CCJ GIS
Increasing unusual put option volume: VKTX SEAS KOS DXJ FTV CBRL GGB GOV TGTX
Popular stocks with increasing unusual option volume: TLRY T TEVA
Options with decreasing option implied volatility: PVTL PTE TLRD ZS PLAY GOGO AIMC ORCL
Cboe Bitcoin October futures up 27 to 6330