Pre-Market IV Report September 27, 2019

Pre-Market IV Report September 27, 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 NOK IRBT VKTX SDC SNDX S SNAP TWTR SKX LRCX DXC GDX BBBY XLNX CNX

Options expected to have increasing volume: MU SMH TXN INTC AMD NVDA INFN GOL LVS CAMP LYFT NKE FXI MT

iShareiShares China Large-Cap (FXI) September call option implied volatility is at 20, October is at 19; compared to its 52-week range of 16 to 32 into The National Day of the People’s Republic of China on October 1 and Golden Week. Call put ratio 1 call to 1.9 puts.

Db X-trackers Harvest Csi 300 China A – Shares Fund (ASHR) September weekly call option implied volatility is at 20, October is at 24; compared to its 52-week range of 20 to 36 into The National Day of the People’s Republic of China on October 1 and Golden Week. Call put ratio 1.7 calls to 1 put.

Micron (MU) September weekly call option implied volatility is at 175, October is at 55; compared to its 52-week range of 36 to 65 into reporting Q4 earnings, giving Q1 guidance and sees ongoing uncertainty with U.S.-China trade.

Las Vegas Sands (LVS) September weekly call option implied volatility is at 36, October is at 30; compared to its 52-week range 23 to 64 into being added to S&P 500.

Interactive Brokers (IBKR) option implied volatility after announces commission-free trades

E-Trade (ETFC) September weekly call option implied volatility is at 40, October is at 35; compared to its 52-week range of 23 to 47. Call put ratio 1 call to 2.2 puts with focus on September weekly puts.

TD Ameritrade (AMTD) September weekly call option implied volatility is at 37, October is at 28; compared to its 52-week range of 22 to 39. Call put ratio 1 call to 3.2 with focus on October weekly 44.5 puts.

Charles Schwab (SCHW) September weekly call option implied volatility is at 30, October is at 31; compared to its 52-week range of 23 to 43. Call put ratio 1 call to 2.7 puts with focus on October 42 puts.

Straddle prices for stocks expected to report quarterly results next week

Cal Maine Foods (CALM) October weekly 45.50 straddle priced for a move of 5% into the expected release of quarter results before the bell on September 30
McCormick (MKC) October 160 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on October 1
Stitch Fix (SFIX) October weekly 18.50 straddle priced for a move of 22% into the expected release of quarter results after the bell on October 1
United Natural Foods (UNFI) October 12.50 straddle priced for a move of 20% into the expected release of quarter results after the bell on October 1
Bed Bath & Beyond (BBBY) October weekly 10 straddle priced for a move of 16% into the expected release of quarter results after the bell on October 2
Lamb Weston (LW) October 75 straddle priced for a move of 7% into the expected release of quarter results on October 2
Paychex (PAYX) October 82.50 straddle priced for a move of 3.5% into the expected release of quarter results before the bell on October 2
Lennar (LEN) October 55 straddle priced for a move of 7% into the expected release of quarter results before the bell on October 2
Constellation Brands (STZ) October weekly 205 straddle priced for a move of 10% into the expected release of quarter results before the bell on October 3
Costco (COST) October weekly 287.50 straddle priced for a move of 4.5% into the expected release of quarter results on October 3
PepsiCo (PEP) October weekly 135 straddle priced for a move of 3% into the expected release of quarter results before the bell on October 3

Russel 2000 (RUT) call put ratio 1 call to 1.5 puts with focus on December and June 1400 puts. October weekly (4) 1590 calls active.

Options with decreasing option implied volatility: BB FDX TPR TGT ULTA CRC KMX CAG AZO ACN NKE
Increasing unusual option volume: AMTD SCHW ETFC TOL RUN STWD IWN MSGN EIX CNX WPC
Increasing unusual call option volume: EIX MSGN SDC TWO USB TROX RUN VER
Increasing unusual put option volume: CNX MSGN SAN DO HL RDFN TUR AYI
Popular stocks with increasing unusual volume: NIO CNX GE NKE
Active options: TSLA MU AAPL FB AMD BYND AMZN NFLX DIS MSFT ROKU SQ NIO NVDA BAC BABA NKE GE CNX