Pre-Market IV Report September 24, 2018

Pre-Market IV Report September 24, 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: AMRN GERN ABT CSIQ ADT ESRX ATHN RESI ACAD SBUX MRNS NKE DTEA NBEV TGTX

Options expected to have increasing volume: AMRN CMCSA DIS FOX GERN NKE ABX

Oil producer option implied volatility flat, WTI above $72 oil producers decide against further rise in output and Iran tensions

Exxon Mobil (XOM) 30-day option implied volatility is at 13 compared to its 52-week range of 10 to 27

ConocoPhillips (COP) 30-day option implied volatility is at 18; compared to its 52-week range of 19 to 36

BP plc (BP) 30-day option implied volatility is at 15; compared to its 52-week range of 13 to 37

Occidental Petroleum (OXY) 30-day option implied volatility is at 19; compared to its 52-week range of 14 to 33

Aflac (AFL) September weekly call option implied volatility is at 12, October is at 13; compared to its 52-week range of 12 to 28 into hosting financial analysts briefing on September 25.

MetLife (MET) September weekly and October call option implied volatility is at 18; compared to its 52-week range of 17 to 34 into investor day to be held in Tokyo, Japan on September 27.

New Age Beverages (NBEV) October all option implied volatility is at 321, December is at 241; compared to its 52-week range of 80 to 367 on cannabis drink speculation.

DAVIDsTEA Inc. (DTEA) October call option implied volatility is at 308, November is at 263; compared to its 52-week range of 55 to 320 on cannabis drink speculation.

Marinus Pharma (MRNS) October call option implied volatility is at 161, November is at 200; compared to its 52-week range of 74 to 240 into upcoming data releases from multiple Phase 2 trials and earnings in late October.

Geron Corp (GERN) September weekly call option implied volatility is at 359, October is at 295; 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. Call put ratio 2.15 calls to 1 put.

Amarin Corp. (AMRN) September weekly call option implied volatility is at 566, October is at 300; compared to its 52-week range of 35 to 428 into the release of an 8,000 patient study started in 2011 for their omega3 pill Vascepa.

Barrick Gold (ABX) September weekly call option implied volatility is at 34, October is at 31; compared to its 52-week range of 21 to 49 into reached agreement on the terms of a recommended share-for-share merger of Barrick and Randgold Resources Limited (GOLD).

Randgold Resources Limited (GOLD) October call option implied volatility is at 24, December is at 28; compared to its 52-week range of 20 to 34 into merger with Barrick Gold (ABX).

Straddle prices for stocks expected to report results this week

Cintas (CTAS) October 210 straddle priced for move of 6% into the expected release of Q2 EPS on September 25
Jabil (JBL) September weekly 30 straddle priced for move of 7% into the expected release of Q1 EPS on September 25
KB Home (KBH) October 25 straddle priced for move of 10% into the expected release of EPS after the market close on September 25
Nike (NKE) September weekly 85.50 straddle priced for move of 6.8% into the expected release of EPS after the market close on September 25
Rite Aid (RAD) September 1.5 straddle priced for move of 44% into the expected release of EPS close on September 25
Bed Bath & Beyond (BBBY) September weekly 20 straddle priced for move of 11% into the expected release of Q2 EPS after the market close on September 26
CarMax (KMX) September weekly 78.50 straddle priced for move of 7% into the expected release of Q2 EPS before the market open on September 26
Accenture (ACN) September weekly 175 straddle priced for move of 5% into the expected release of Q4 EPS before the market open on September 27
Carnival (CCL) September weekly 67 straddle priced for move of 7% into the expected release of EPS before the market open on September 27
McCormick (MKC) October 130 straddle priced for move of 4% into the expected release of EPS before the market open on September 27
Progress Software (PRGS) October 40 straddle priced for move of 11% into the expected release of Q3 EPS after the market close on September 27
Vail Resorts (MTN) October 280 straddle priced for move of 6% into the expected release of EPS before the market open on September 28
BlackBerry (BB) September weekly 10.50 straddle priced for move of 7% into the expected release of EPS before the market open on September 28
H.B. Fuller (FUL) October 60 straddle priced for move of 8% into the expected release of Q3 EPS before the open on September 28
Vail Resorts (MTN) October 280 straddle priced for move of 6% into the expected release of EPS before the market open on September 28

Increasing unusual option volume: GTXI CCK BKLN NBEV CRBP ANAB IQV FTV MT DXD TRUE MCO UNFI
Increasing unusual call option volume: CCK NBEV CRBP TER EXPR MT IQV ANAB FTV ZION ACAD
Increasing unusual put option volume: NBEV BKLN MCO BMRN SOHU UNFI DUK AXTA FTV TRUP
Popular stocks with increasing unusual: MSFT SNAP PBR BABA
Options with decreasing option implied volatility: MU GERN MDXG CRON TGTX
Cboe Bitcoin October futures down 127 to 6600