Pre-Market IV Report September 25, 2018

Pre-Market IV Report September 25, 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: XON IRBT GWPH ATHN SIRI HAS CMG EXPE XLNX TGTX GERN EBAY IBM MAT JD BBBY PYPL

Options expected to have increasing volume: FB NKE ASNA PBR SBUX

Facebook (FB) September weekly call option implied volatility is at 26, October is at 24; compared to its 52-week range of 15 to 44 into Instagram co-founders Kevin Systrom and Mike Krieger are departing the company they built.

Geron Corp (GERN) September weekly call option implied volatility is at 306, October is at 259; 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 1.1 calls to 1 put.

Amarin Corp. (AMRN) September weekly call option implied volatility is at 186, October is at 129; compared to its 52-week range of 35 to 428 after the release of an 8,000 patient study started in 2011 for their omega3 pill Vascepa.

Bank option implied volatility into Federal Reserve two-day policy meeting

Citigroup (C) 30-day option implied volatility is at 22; compared to its 52-week range of 16 to 32
Bank of America (BAC) 30-day option implied volatility is at 20; compared to its 52-week range of 16 to 36
Morgan Stanley (MS) 30-day option implied volatility is at 24; compared to its 52-week range of 18 to 35
BNY Mellon (BK) 30-day option implied volatility is at 23; compared to its 52-week range of 14 to 32
Wells Fargo (WFC) 30-day option implied volatility is at 20; compared to its 52-week range of 16 to 33
Comerica (CMA) 30-day option implied volatility is at 22; compared to its 52-week range of 18 to 36
BB&T (BBT) 30-day option implied volatility is at 20; compared to its 52-week range of 17 to 29
KeyCorp (KEY) 30-day option implied volatility is at 23; compared to its 52-week range of 19 to 38
PNC Financial Services (PNC) 30-day option implied volatility is at 21; compared to its 52-week range of 16 to 33
JP Morgan (JPM) 30-day option implied volatility is at 19; compared to its 52-week range of 15 to 35
Goldman Sachs (GS) 30-day option implied volatility is at 21; compared to its 52-week range of 15 to 34

Straddle prices for stocks expected to report results this week

KB Home (KBH) October 25 straddle priced for move of 10% into the expected release of EPS today after the market close
Nike (NKE) September weekly 84.50 straddle priced for move of 6.5% into the expected release of EPS today after the market close

Increasing unusual option volume: JBL MAC TRU INFO HPR ASNA ANAB
Increasing unusual call option volume: MAC TRU HPR ANAB JBL ADMP XON INFO SIRI
Increasing unusual put option volume: JBL ASNA HPR NBEV PRTA FXB KMX ICE
Popular stocks with increasing unusual: T PBR WFC JD
Options with decreasing option implied volatility: VKTX KR M DLTR AMRN DIS CRON MU ABT BA GPRO
Cboe Bitcoin October futures down 215 to 6395