Pre-Market IV Report September 26, 2019

Pre-Market IV Report September 26, 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 TWTR SNAP NLSN CAG CCL XLNX GDX IRBT CHRS SKX

Options expected to have increasing volume: MU CAG PIR ACN

Micron (MU) September weekly call option implied volatility is at 133, October is at 52; compared to its 52-week range of 36 to 65 into the expected release of quarter results today.

British American Tobacco (BTI) October call option implied volatility is at 27, November is at 23; compared to its 52-week range of 24 to 52 into weak Imperial Brands EPS and outlook.

Philip Morris International (PM) September weekly call option implied volatility is at 33, September is at 30; compared to its 52-week range of 19 to 39 after ending talks with

Altria Group (MO) September weekly call option implied volatility is at 30, October is at 29; compared to its 52-week range of 18 to 39 after ending talks with Philip Morris International (PM) regarding potential merger of equals.

Straddle prices for stocks expected to report quarterly results this week

Accenture (ACN) September weekly 190 straddle priced for a move of 4.5% into the expected release of quarter results today before the bell

Conagra (CAG) October 30 straddle priced for a move of 10% into the expected release of quarter results today before the bell

Micron (MU) September weekly 49.50 straddle priced for a move of 7% into the expected release of quarterly results today after the bell

Vail Resorts (MTN) October 240 straddle priced for a move of 7% into the expected release of quarterly results today after the bell

Option implied volatility for gold stocks

Yamana Gold (AUY) 30 day option implied volatility is at 57; compared to its 52-week range of 39 to 73
SPDR Gold Trust (GLD) 30 day option implied volatility is at 15; compared to its 52-week range of 8 to 18
Market Vectors Gold Miners ETF (GDX) 30 day option implied volatility is at 33; compared to its 52-week range of 21 to 36
Kinross Gold (KGC) 30 day option implied volatility is at 46; compared to its 52-week range of 37 to 58

Options with decreasing option implied volatility: FDX BB TPR TGT ULTA ZNGA KMX
Increasing unusual option volume: MPC CZZ VER MSGN BIP
Increasing unusual call option volume: EUFN VER CZZ MSGN NUE
Increasing unusual put option volume: CZZ MSGN ITB AVP BERY HL DO
Popular stocks with increasing unusual volume: BYND X NIO GE
Active options: AAPL AMD NFLX FB NKE MSFT TSLA ROKU MPC AMZN BAC MU NIO GE SNAP BYND BA BABA X NVDA

Global S&P Futures are recently down 1.00 from previous day. Nikkei 225 down 0.1%, DAX down 0.02%, WTI Crude oil is recently at $56.25, natural gas up 0.72%, gold at $1513 an ounce