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: TRLY CRON CGC MJ SKX SHY GWPH FEYE MU BBT

Options expected to have increasing volume: MU RHT CRON TLRY CGC

Cannabis stocks option implied volatility and volume spikes

Tilray, Inc. (TLRY) 30-day option implied volatility is at 313; compared to its 52-week range of 68 to 313. Call put ratio 1.3 calls to 1 put.

Cronus Corporation (CRON) September call option implied volatility is at 265, October is at 217; compared to its 52-week range of 71 to 166. Call put ratio 2.4 calls to 1 put with focus on September 12.5 and 13 calls.

Canopy Growth (CGC) September call option implied volatility is at 159, October is at 122; compared to its 52-week range of 57 to 109. Call put ratio 1.92 calls to 1 put.

Micron (MU) September call option implied volatility is at 126, October is at 73; 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 2.3 calls to 1 put.

Comcast (CMCSA) September and October call option implied volatility is at 22; compared to its 52-week range 20 to 38 into Comcast, Disney (DIS)/Fox (FOXA) one-day auction for Sky on Saturday.

Disney (DIS) September and October call option implied volatility is at 16; compared to its 52-week range 14 to 34 into Disney, Comcast (CMCSA) one-day auction for Sky on Saturday.

Geron Corp (GERN) September call option implied volatility is at 302, October is at 279; compared to its 52-week range of 62 to 305 into Johnson & Johnson’s (JNJ) subsidiary Janssen making a continuation decision under its 2014 collaboration agreement with Geron.

Straddle prices for stocks expected to report results this week

Darden (DRI) September 120 straddle priced for move of 6% into the expected release of Q1 EPS on before the market open

Micron (MU) September 45 straddle priced for move of 7.8% 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 35 straddle priced for move of 11% into the expected release of EPS on September 20

Increasing unusual option volume: NBEV GPOR GGB HPR EWA KTOS MLHR
Increasing unusual call option volume: NBEV GPOR GGB PCRX AXTA WY WH REV CRON
Increasing unusual put option volume: KTOS GGB EWA VGR TRI EQT MJ
Popular stocks with increasing unusual: TLRY CRON CGC FTV GGB
Options with decreasing option implied volatility: PVTL TLRD GME PLAY SHPG ATHN ORCL FDX

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