Pre-Market IV Report September 26, 2018

Pre-Market IV Report September 26, 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: IRBT XON TWTR SIRI S HAS GRUB GE JD NKE NWL PM KMX BBBY NKE

Options expected to have increasing volume: SPY QQQ VXX NKE KBH NLSN CTAS AAR

Bed Bath & Beyond (BBBY) September weekly call option implied volatility is at 145, October is at 62; compared to its 52-week range of 30 to 72 into the expected release of Q2 today after the market close. Call put ratio 1 call to 1 put.

Salesforce (CRM) September weekly call option implied volatility is at 31, October is at 23; compared to its 52-week range of 17 to 43 into Dreamforce 2018 and annual investors day.

Caesars Entertainment (CZR) September weekly call option implied volatility is at 40, October is at 33; compared to its 52-week range of 28 to 55. Call put ratio 104 calls to 1 put with focus on December and January 11 calls.

SCANA Corp. (SCG) 30 day option implied volatility is at 23; compared to its 52-week range of 23 to 84. Call put ratio 14 calls to 1 put with focus on February 32.50 calls.

Intelsat S. A. (I) October call option implied volatility is at 79, November is at 95; compared to its 52-week range of 48 to 171. Call put ratio 3.5 calls to 1 put with focus on October 27 calls on sharp rally

Energy Select Sector SPDR ETF (XLE) September weekly call option implied volatility is at 15, October is at 16; compared to its 52-week range of 12 to 30. Call put ratio 3.7 calls to 1 put as WTI crude oil trades above $72.

Bank option implied volatility into Federal Reserve 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 25; compared to its 52-week range of 18 to 35
BNY Mellon (BK) 30-day option implied volatility is at 22; compared to its 52-week range of 15 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 23; 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

Financial Select Sector SPDR ETF (XLF) September weekly call option implied volatility is at 19, October is at 15; compared to its 52-week range of 13 to 28 into Fed policy decision. Call put ratio 4.2 calls to 1 put.

Straddle prices for stocks expected to report results this week

Bed Bath & Beyond (BBBY) September weekly 19 straddle priced for move of 11% into the expected release of Q2 EPS today after the market close
CarMax (KMX) September weekly 76 straddle priced for move of 8% into the expected release of Q2 EPS today before the market open
Accenture (ACN) September weekly 172.50 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
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 290 straddle priced for move of 6.5% into the expected release of EPS before the market open on September 28

BlackBerry (BB) September weekly 10.50 straddle priced for move of 7.8% 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

Increasing unusual option volume: SRCI CNP TRVN TD ADMP PLUG KMX CSR I
Increasing unusual call option volume: CNP PLUG ADMP TRU LYV KMX
Increasing unusual put option volume: SRCI MGA AMRN EBIX XOG JBL ADI
Popular stocks with increasing unusual: PBR CZR SNAP GE NKE
Options with decreasing option implied volatility: TGTX AMRN MDXG VSTM UA ESPR TLRY AMD OLED
Cboe Bitcoin October futures up 45 to 6415