Pre-Market IV Report September 24, 2019

Pre-Market IV Report September 24, 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 AABA NFLX IRBT ONCE SNAP SKX FLEX TTWTR FLEX CMG BB EROS SLV BBBY FIT NUGT GDX DOVA GME SOHU OSTK ROKU CMG
Options expected to have increasing volume: PM MO BTI NKE MU VSI BUD TAP

Proctor & Gamble (PG), Walmart (WMT), Dollar Tree (DLTR) option implied volatility is low as shares trade near record high as Netflix (NFLX) trends lower

Proctor & Gamble (PG) September weekly and October call option implied volatility is at 16; compared to its 52-week range of 13 to 30 as shares near record high.

Walmart (WMT) September weekly and October call option implied volatility is at 16; compared to its 52-week range of 14 to 30 as shares near record high.

Dollar Tree (DLTR) September weekly and October call option implied volatility is at 25; compared to its 52-week range of 19 to 49 as shares near record high.

Netflix (NFLX) September weekly call option implied volatility is at 45, October is at 55; compared to its 52-week range of 29 to 76. Quarter financial results are expected on October 16.

Roku (ROKU) September weekly call option implied volatility is at 95, October is at 70; compared to its 52-week range 50 to 103. Call put ratio 1 call to 1.2 puts.

AB InBev SA (BUD) September weekly call option implied volatility is at 19, October is at 20; compared to its 52-week range of 20 to 33 into pricing Hong Kong IPO of Asia unit at bottom of range, Bloomberg says. Call put ratio 2.9 calls to 1 put.

Vitamin Shoppe (VSI) October call option implied volatility is at 22, November is at 20; compared to its 52-week range of 22 to 119 into reports of ending talks with bidder.

Altria Group (MO) September call option implied volatility is at 28, October is at 29 compared to its 52-week range of 17 to 39 into Federal prosecutors in California conducting criminal probe of Juul, WSJ says. Call put ratio 1.8 calls to 1 put. Altria Group holds a 35% stake in Juul.

Philip Morris International (PM) September call option implied volatility is at 27, October is at 30; compared to its 52-week range of 18 to 37 into Federal prosecutors in California conducting criminal probe of Juul, WSJ says. Altria Group (MO) holds a 35% stake in Juul. Call put ratio 2.2 calls to 1 put.

Overstock.com (OSTK) September weekly call option implied volatility is at 160, October is at 98; compared to its 52-week range of 66 to 138 after share price pull back. Call put ratio 1.1 calls to 1 put.

Alibaba (BABA) September weekly call option implied volatility is at 42, October is at 32; compared to its 52-week range of 23 to 57 into day two of an investor conference. Call put ratio 1.9 calls to 1 put with focus on October calls.

Ishares Msci Germany Etf (EWG) September weekly call option implied volatility is at 12, October is at 13; compared to its 52-week range of 13 to 27. Call put ratio 1 call to 13 puts with focus on September weekly 27 and 27.50 puts.

Utilities Sel Sect Spdr Fd (XLU) September weekly call option implied volatility is at 12, October is at 13; compared to its 52-week range of 12 to 23 as shares at upper end of range.

Straddle prices for stocks expected to report quarterly results this week

Jabil (JBL) September weekly 31 straddle priced for a move of 8% into the expected release of quarter results today before the bell
Nike (NKE) September weekly 87.50 straddle priced for a move of 5% into the expected release of quarter results today after the bell
Nio (NIO) September weekly 3 straddle priced for a move of 16% into the expected release of quarter results on September 25
KB Home (KBH) October 32 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% into the expected release of quarter results before the bell on September 26
Conagra (CAG) October 29 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 49.50 straddle priced for a move of 8% into the expected release of quarterly results after the bell on September 26
Vail Resorts (MTN) October 240 straddle priced for a move of 8% into the expected release of quarterly results after the bell on September 26

Options with decreasing option implied volatility: WLL FDX TGT ULTA ZYNE KN UCO CHWY DRI FDX CBX
Increasing unusual option volume: CZZ DXJ NYT EPI JBL GEO SOHU
Increasing unusual call option volume: EPI DXJ NYT JBL OSTK SOHU
Increasing unusual put option volume: JBL TUP GEO CGNX OSTK FTI KMX
Popular stocks with increasing unusual volume: NIO BYND CRM
Active options: AMD AAPL NFLX ROKU FB MSFT BABA BAC NIO AMZN TSLA MU GE T BYND CRM SNAP NVDA SQ INTC

Global S&P Futures are recently up 7.00 from previous day. Nikkei 225 up 0.01%, DAX up 0.01%, WTI Crude oil is recently at $58.18, natural gas down 0.03%, gold at $1529 an ounce