Pre-Market IV Report September 20, 2019

Pre-Market IV Report September 20, 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: BYND ITCI NFLX WLL PM BKLN BBBY CRC ONCE S CY PM SCHL MDR USAT NEWM XONE VGR

Options expected to have increasing volume: AAPL MU NKE XLNX MCD TXN

Apple (AAPL) September call option implied volatility is at 23, October is at 22; compared to its 52-week range of 16 to 46 into iPhone 11 release. Call put ratio 1.5 calls to 1 put with focus on November 235 and 240 calls as shares near record high.

Micron (MU) September call option implied volatility is at 34, September weekly is at 67, October is at 46; compared to its 52-week range of 36 to 65 into the expected release of quarter results on September 24.

Western Union (WU) October and November call option implied volatility is at 20; compared to its 52-week range of 18 to 40 into a company hosted to host investor day on September 24.

LyondellBasell (LYB) October call option implied volatility is at 25; compared to its 52-week range of 22 to 42 into a company hosted to host investor day on September 24.

Best Buy (BBY) September call option implied volatility is at 24, September weekly is at 37, October is at 34; compared to its 52-week range of 23 to 57 into a company hosted biennial investor update on September 27.

Yelp (YELP) September call option implied volatility is at 33, October is at 32; compared to its 52-week range of 30 to 83. Call put ratio 3.8 calls to 1 put with focus on November 30 calls.

DaVita (DVA) September call option implied volatility is at 34, October is at 31; compared to its 52-week range of 26 to 70 after Jim Chanos discussed his years long short position. Call put ratio 1.5 calls to 1 put with focus on October 62.50 calls.

GrubHub (GRUB) September call option implied volatility is at 52, October is at 46; compared to its 52-week range of 38 to 79 after Jim Chanos announces short position. Call put ratio 1 call to 3.6 puts with focus on October weekly 56 puts.

Philip Morris International (PM) September call option implied volatility is at 30, October is at 33; compared to its 52-week range of 18 to 37 after recently confirming talks with Altria (MO) regarding potential merger of equals. Call put ratio 2.4 calls to 1 put.

Altria Group (MO) September call option implied volatility is at 33, October is at 29 compared to its 52-week range of 17 to 39. Call put ratio 1 call to 1.4 puts.

Straddle prices for stocks expected to report quarterly results next week

AutoZone (AZO) September weekly 1160 straddle priced for a move of 5.5% into the expected release of quarterly results before the bell on September 24
BlackBerry (BB) September weekly 7.5 straddle priced for a move of 9% into the expected release of quarterly results on September 24
CarMax (KMX) September weekly 86 straddle priced for a move of 7% into the expected release of quarterly results before the bell on September 24
Cintas (CTAS) September weekly 250 straddle priced for a move of 6% into the expected release of quarterly results after the bell on September 24
Jabil (JBL) September weekly 31 straddle priced for a move of 6.5% into the expected release of quarterly results before the bell on September 24
Nike (NKE) September weekly 87.50 straddle priced for a move of 5% into the expected release of quarterly results after the bell on September 24
Nio (NIO) September weekly 3 straddle priced for a move of 13% into the expected release of quarterly results on September 25
KB Home (KBH) October 31 straddle priced for a move of 8% into the expected release of quarterly results before the bell on September 25
Accenture (ACN) September weekly 195 straddle priced for a move of 4% into the expected release of quarterly results before the bell on September 26
Conagra (CAG) October 29 straddle priced for a move of 8.5% into the expected release of quarterly results before the bell on September 26
Micron (MU) September weekly 50 straddle priced for a move of 8% into the expected release of quarterly results after the bell on September 26
Vail Resorts (MTN) October 230 straddle priced for a move of 9.5% into the expected release of quarterly results after the bell on September 26

Options with decreasing option implied volatility: AIMT CSCO FDX TGT ULTA ALDR ADVM KN CHWY GIS ADBE
Increasing unusual option volume: SCS BTU MLHR BAM LGND CDEV UNFI
Increasing unusual call option volume: NSLSN CDEV DVA BAM EROS NEWM OGI XLU
Increasing unusual put option volume: LGND UNFI NVO CARB MJ
Popular stocks with increasing unusual volume: MO X GM DIS
Active options: MSFT AAPL ROKU BABA FB NFLX T TSLA AMD BAC X AMZN DIS SNAP MDR MU VZ NVDA MO GM

Global S&P Futures are recently up 5.00 from previous day. Nikkei 225 down 0.1%, DAX down 0.05%, WTI Crude oil is recently at $58.70, natural gas up 0.1%, gold at $1511 an ounce