Pre-Market IV Report September 25, 2019

Pre-Market IV Report September 25, 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: MU USAT IRBT TWTR SNAP SKX ALGN XLNX CMG ORC UVXY INFN S BYND XLU NFLX TWTR NUGT SLV BBBY NKE WLL

Options expected to have increasing volume: NKE UAA UA SKX LULU UAA UA CTAS HDS MU HDS

Micron Technology (MU) September weekly option implied volatility is at 100, October is at 51; compared to its 52-week range of 36 to 65 into quarter results and outlook on September 26.

AMD (AMD) September weekly call option implied volatility is at 59, October is at 48; compared to its 52-week range of 36 to 97 into its expected quarter release and EPYC Rome 7NM server CPU sales outlook on October 22. Call put ratio 1.9 calls to 1 put.

Market Vectors Semiconductor ETF (SMH) September weekly call option implied volatility is at 30, October is at 27; compared to its 52-week range of 21 to 40. Call put ratio 1 call to 2 puts.

Apple (AAPL) September weekly call option implied volatility is at 26, October is at 25; compared to its 52-week range of 16 to 46. Call put ratio 1.1 calls to 1 put.

Netflix (NFLX) September weekly call option implied volatility is at 58, October is at 59; compared to its 52-week range 29 to 79 into the expected release of quarter results on October 16. Call put ratio 1 to 1 as shares trend lower.

Roku (ROKU) September weekly call option implied volatility is at 104, October is at 74; compared to its 52-week range 50 to 102. Call put ratio 1 call to 1.6 puts with focus on September weekly 100 puts.

Tesla (TSLA) September weekly call option implied volatility is at 57, October is at 50; compared to its 52-week range of 42 to 87 after Chinese electric car maker Nio Inc (NIO) earnings miss. Call put ratio 1 call to 1.2 puts.

Activision (ATVI) September weekly call option implied volatility is at 39, October is at 33; compared to its 52-week range of 26 to 61 after ATVI says ‘Modern Warfare’ beta biggest ever in ‘Call of Duty’ history. Call put ratio 2.7 calls to 1 put with focus on September weekly 54 calls.

Vanguard Reit Etf (VNQ) 30 day call option implied volatility is at 14; compared to its 52-week range of 12 to 27 after WeWork Neumann steps down as CEO.

Skechers USA (SKX) 30 day option implied volatility is at 30; compared to its 52-week range of 30 to 78 into better than expected Nike (NKE) quarter results and outlook.

Under Armour (UA) 30 day option implied volatility is at 37; compared to its 52-week range of 32 to 73 into better than expected Nike (NKE) quarter results and outlook.

lululemon athletica (LULU) 30 day option implied volatility is at 29; compared to its 52-week range of 24 to 63 into better than expected Nike (NKE) quarter results and outlook.

HD Supply (HDS) October call option implied volatility is at 22, November is at 23; compared to its 52-week range of 18 to 40 into announcing plan to separate into two public companies. Call put ratio 47 calls to 1 put with focus on December 40 and 42.50 calls.

PagerDuty, Inc. (PD) 30 day option implied volatility is at 74; compared to its 16-week range of 57 to 103 PagerDuty Summit 2019 will be held in San Francisco today.

Straddle prices for stocks expected to report quarterly results this week

Accenture (ACN) September weekly 190 straddle priced for a move of 5% into the expected release of quarter results before the bell on September 26
Conagra (CAG) October 30 straddle priced for a move of 9.5% into the expected release of quarter results before the bell on September 26
Micron (MU) September weekly 48.50 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

Earnings, interest rates, economy, China trade…Softbank

Options with decreasing option implied volatility: BB FDX TPR TGT ULTA ZYNE CHWY GIS DRI ARMK
Increasing unusual option volume: HDS MSGN SAN BAM NYT DVAX PEG ETR GIII EEFT
Increasing unusual call option volume: HDS SAN BAM NYT MSGN PEG CENX DVAX WES ATH
Increasing unusual put option volume: NBL ITB GIII SHY STLD BB SONO AER
Popular stocks with increasing unusual volume: NIO NKE SHOP TPR SQ BB
Active options: AAPL NIO AMD NFLX TSLA SNAP ROKU MSFT FB BABA AMZN GE T NKE MU SQ TWTR BB SHOP

Global S&P Futures are recently down 6.70 from previous day. Nikkei 225 down 0.3%, DAX down 1%, WTI Crude oil is recently at $56.50, natural gas down 0.04%, gold at $1538 an ounce