Pre-Market IV Report September 23, 2019

Pre-Market IV Report September 23, 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: ITCI EROS FIT BKLN NFLX BB FDX ALDR ULTA ROKU NFLX UPRO SIRI S SDS CVM TEUM RIOT SFIX BBBY NIO

Options expected to have increasing volume: MU NKE

Netflix (NFLX) September weekly call option implied volatility is at 93, October is at 73; compared to its 52-week range of 29 to 76 as shares trend lower. Quarter financial results are expected on October 16.

Roku (ROKU) September weekly call option implied volatility is at 94, October is at 73; compared to its 52-week range 50 to 103 as shares trend lower. Call put ratio 1 call to 1.2 puts.

McDermott (MDR) October call option implied volatility is at 226, November is at 230; compared to its 52-week range of 36 to 324 after wide price movement.

California Resources (CRC) October call option implied volatility is at 126, November is at 130; compared to its 52-week range of 65 to 198 after wide price movement.

PG&E Corp. (PCG) September weekly call option implied volatility is a 97, October is at 112, January is at 119; compared to its 52-week range of 28 to 202.

Fitbit (FIT) September weekly call option implied volatility is at 136, October 82, November is at 77; compared to its 52-week range of 38 to 96 after Reuters reported Fitbit hires bankers. Call put ratio 5.1 calls to 1 put.

Fluor Corp. (FLR) September weekly call option implied volatility is at 47, October is at 48; compared to its 52-week range of 20 to 68. Call put ratio 1 call to 2.9 puts.

Travel stock option implied volatility into Thomas Cooks halts operations

Delta (DAL) September call option implied volatility is at 22, October 24; compared to its 52-week range of 21 to 46. Delta is expected to release financial results on October 9.
Southwest Airlines (LUV) September call option implied volatility is at 22, October 23; compared to its 52-week range of 22 to 46.
American Airlines (AAL) September weekly call option implied volatility is at 32, October is at 34; compared to its 52-week range of 29 to 65.
United Airlines (UAL) September weekly call option implied volatility is at 24, October is at 29; compared to its 52-week range of 22 to 48.
Expedia (EXPE) September weekly and October call option implied volatility is at 20; compared to its 52-week range of 20 to 50.
Booking Holdings (BKNG) September weekly and October call option implied volatility is at 19; compared to its 52-week range of 18 to 44.
TripAdvisor (TRIP) September weekly and October call option implied volatility is at 36; compared to its 52-week range of 50 to 108.
trivago (TRVG) October call option implied volatility is at 44, January is at 57; compared to its 52-week range of 50 to 108.

Straddle prices for stocks expected to report quarterly results this week

AutoZone (AZO) September weekly 1160 straddle priced for a move of 5.5% into the expected release of quarter 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 quarter results on September 24
CarMax (KMX) September weekly 84.50 straddle priced for a move of 7% into the expected release of quarter results before the bell on September 24
Cintas (CTAS) September weekly 250 straddle priced for a move of 6.5% into the expected release of quarter results after the bell on September 24
Jabil (JBL) September weekly 31 straddle priced for a move of 7.5% into the expected release of quarter results before the bell on September 24
Nike (NKE) September weekly 86.50 straddle priced for a move of 5% into the expected release of quarter results after the bell on September 24
Nio (NIO) September weekly 3 straddle priced for a move of 13% into the expected release of quarter results on September 25
KB Home (KBH) October 31 straddle priced for a move of 8% into the expected release of quarter results before the bell on September 25
Accenture (ACN) September weekly 192.5 straddle priced for a move of 4.5% into the expected release of quarter results before the bell on September 26
Conagra (CAG) October 30 straddle priced for a move of 8.5% into the expected release of quarter results before the bell on September 26
Micron (MU) September weekly 49 straddle priced for a move of 7.5% into the expected release of quarterly results after the bell on September 26
Vail Resorts (MTN) October 230 straddle priced for a move of 8.5% into the expected release of quarterly results after the bell on September 26

Options with decreasing option implied volatility: FDX DXC ULTA ALDR TGT CVM OSTK KN CHWY ADBE
Increasing unusual option volume: BLDR SM SCS VICI NSTG INXN DISCA MDR EL
Increasing unusual call option volume: BLDR SM NLSN VICI NSTG MDR NVO PLD HOLX
Increasing unusual put option volume: SONO AXTA USAT CERN DISCA SNBR EL SCS
Popular stocks with increasing unusual volume: CRM X ROKU NFLX
Active options: ROKU NFLX AAPL BAC AMZN MSFT TSLA FB AMD BABA MDR T MU BMY SNAP DIS CRM X NVDA SQ

Global S&P Futures are recently down 5.00 from previous day. Nikkei 225 up 0.1%, DAX down 1.1%, WTI Crude oil is recently at $58.26, natural gas down 1.3%, gold at $1526 an ounce