Pre-Market IV Report September 19, 2019

Pre-Market IV Report September 19, 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: MDR BKLN ZNGA BB DAL LQD BBBY WLL DXC HGV CLVS NFLX SGEN IBM SSO CVM CTST MGI OPK SFIX RIOT EROS APRN

Options expected to have increasing volume: MSFT X NEU MT DRI NAV MDR ROKU BYND

Beyond Meat (BYND) September call option implied volatility is at 48, October is at 49; compared to its 15-week range of 72 to 140 on wide price movement. Call put ratio 1 call to 1.3 puts with focus on September 150 and 152.50 puts.

Roku (ROKU) September call option implied volatility is at 83, October is at 62; compared to its 52-week range 50 to 102 after Facebook (FB) and Comcast (CMCSA) announced new products. Call put ratio 1.1 calls to 1 put with focus on ATM September 130 calls and puts.

Activision (ATVI) September call option implied volatility is at 31, October is at 32; compared to its 52-week range of 26 to 61 after announcing in collaboration with Tencent (TCEHY) that Call of Duty: Mobile will launch on October 1. Call put ratio 4.1 calls to 1 put with focus on September 55 and October 57 calls.

Microsoft (MSFT) September call option implied volatility is at 20, October is at 21; compared to its 52-week range of 16 to 44 into announcing a new $40B buyback and raising its dividend by 11%. Call put ratio 1.7 calls to 1 put.

U.S. Steel (X) September call option implied volatility is at 79, October is at 56; compared to its 52-week range of 35 to 64 into a negative Q3 pre-announcement. Call put ratio 1 call to 2 puts with focus on September 12 and 12.50 puts.

Option Implied Volatility for industrial metals

AK Steel (AKS) 30 day option implied volatility is at 71; compared to its 52-week range of 44 to 96
Nucor (NUE) 30 day option implied volatility is at 27; compared to its 52-week range of 22 to 46
Steel Dynamics (STLD) 30 day option implied volatility is at 40; compared to its 52-week range of 28 to 49
U.S. Steel (X) 30 day option implied volatility is at 56; compared to its 52-week range of 35 to 65
ArcelorMittal (MT) 30 day option implied volatility is at 44; compared to its 52-week range of 31 to 54
TimkenSteel (TMST) 30 day option implied volatility is at 57; compared to its 52-week range of 42 to 88
Alcoa (AA) 30 day option implied volatility is at 51; compared to its 52-week range of 34 to 65
Arconic (ARNC) 30 day option implied volatility is at 25; compared to its 52-week range of 21 to 119
Century Aluminum (CENX) 30 day option implied volatility is at 63; compared to its 52-week range of 46 to 94
Constellium (CSTM) 30 day option implied volatility is at 44; compared to its 52-week range of 39 to 107
Kaiser Aluminum (KALU) 30 day option implied volatility is at 30; compared to its 52-week range of 23 to 45

Straddle prices for stocks expected to report quarterly results this week

Darden (DRI) September 125 straddle priced for a move of 5% into the expected release of quarterly results today after the bell

Steelcase (SCS) September 15 straddle priced for a move of 9% into the expected release of quarterly results today

McDermott (MDR) 30 day option implied volatility is at 291; compared to its 52-week range of 36 to 292 after hiring financial advisors. Call put ratio 1.8 calls to 1 put.

DXC Technology (DXC) 30 day option implied volatility is at 50; compared to its 52-week range of 19 to 61 on renewed PE reports. Call put ratio 5.8 calls to 1 put with focus on September 32.50 calls.

Hilton Grand Vacations (HGV) 30 day option implied volatility is at 43; compared to its 52-week range of 25 to 54 on renewed PE reports. Call put ratio 1.9 calls to 1 put with focus on September 32 calls, September 33 calls and December 30 puts.

The FOMC announced an additional 25 basis point cut to the Fed Funds target rate. The CME Group FedWatch tool suggests that the Fed Funds futures markets thinks there’s a good 47% chance of another cut on the day before Halloween. What will be the FOMC’s longer-term monetary policy? Major events the last week of October: Britain is due to leave the European Union and Japan value-added tax.

Options with decreasing option implied volatility: FDX DXC TGT ULTA ALDR AIMT ADVM NVAX AVYA KN CHWY ACB KR
Increasing unusual option volume: ELY SKYY NSTG CDEV CRI PTCT LXRX MDR DXC FTI ALDR BCS
Increasing unusual call option volume: ELY NSTG CDEV ZTO LXRX SAM TIF APA MDR DXC FTI
Increasing unusual put option volume: BCS ALDR MGI APA INCY FDX MDR DXC FTI DRI BITA PGR CLVS
Popular stocks with increasing unusual volume: NIO APA JD FDX ADBE
Active options: AAPL ROKU BAC AMD FDX T MSFT NFLX NIO FB BABA AMZN SNAP APA ADBE MDR JD GE TSLA NVDA

Global S&P Futures are recently down 12.75 from previous day. Nikkei 225 down 0.1%, DAX up 0.1%, WTI Crude oil is recently at $58.15, natural gas down 0.3%, gold at $1502 an ounce