Pre-Market IV Report September 27, 2018

Pre-Market IV Report September 27, 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: PZZA BBBY GPRO P PTE RCL GOOS TEVA BB IRBT EDIT TWTR ATHN

Options expected to have increasing volume: BBBY BB GERN

Geron Corp (GERN) September weekly call option implied volatility is at 262, October is at 179; 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 1.4 calls to 1 put.

Papa John’s (PZZA) September weekly call option implied volatility is at 67, October is at 44; compared to its 52-week range of 25 to 66 after buyout reports. Call put ratio 2.3 calls to 1 put.

BlackBerry (BB) September weekly call option implied volatility is at 130, October is at 53; compared to its 52-week range of 28 to 59 into the expected release of Q2 on September 28.

Technology option implied volatility at lower level of range

Alphabet (GOOG) 30-day option implied volatility is at 26, compared to its 52-week range of 14 to 38
Nvidia (NVDA) 30-day option implied volatility is at 28, compared to its 52-week range of 25 to 61
Garmin (GRMN) 30-day option implied volatility is at 16, compared to its 52-week range of 15 to 40
Intel (INTC) 30-day option implied volatility is at 31, compared to its 52-week range of 17 to 43
Apple (AAPL) 30-day option implied volatility is at 22, compared to its 52-week range of 16 to 33
Cisco (CSCO) 30-day option implied volatility is at 17, compared to its 52-week range of 14 to 38
Microsoft (MSFT) 30-day option implied volatility is at 24, compared to its 52-week range of 14 to 36

Straddle prices for stocks expected to report results this week

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

BlackBerry (BB) September weekly 10.50 straddle priced for move of 8% into the expected release of EPS before the market open on September 28

Vail Resorts (MTN) October 290 straddle priced for move of 5.5% into the expected release of EPS before the market open on September 28

Increasing unusual option volume: VNQ LYG INFI MRTX ETR FTV
Increasing unusual call option volume: INFI ETR FTV KMX PZZA IP
Increasing unusual put option volume: VNQ ACXM FTV SKT ASNA LQD
Popular stocks with increasing unusual: GRPO DIS SQ NKE

Options with decreasing option implied volatility: KMX NKE CZR NLSN
Cboe Bitcoin October futures down 40 to 6425