Pre-Market IV Report September 28, 2018

Pre-Market IV Report September 28, 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: ALLY GWPH RCL LULU IRBT STX XON TWTR GPRO SIRI EXPE NOK HAS AKRX XLI IBM CCK USO

Options expected to have increasing volume: TSLA BB JCP BA LLY GOOGL GOOG

Option implied volatility has been bid into last trading day of quarter

Tesla (TSLA) September weekly call option implied volatility is at 49, October is at 56; compared to its 52-week range of 32 to 71 into SEC sues Tesla CEO Elon Musk.

J.C. Penney (JCP) September weekly call option implied volatility is at 185, October is at 81; compared to its 52-week range of 48 to 113 into CFO Jeffrey Davis to resign, Jerry Murray named interim CFO. Call put ratio 3 calls to 1 put with focus on October and November 2 calls.

DAVIDsTEA Inc. (DTEA) October call option implied volatility is at 288, November is at 233; compared to its 52-week range of 55 to 320 on cannabis drink speculation. Call put ratio 34 calls to 1 put with focus on October 2.5 and 3 calls.

Straddle prices for stocks expected to report results the week of October 1

Cal Maine Foods (CALM) October weekly 47.50 straddle priced for move of 5.5% into the expected release of Q1 EPS before the market open on October 1.
Stitch Fix (SFIX) October weekly 42 straddle priced for move of 14% into the expected release of Q1 EPS on October 1.
Lamb Weston (LW) October 65 straddle priced for move of 6% into the expected release of EPS before the market open on October 2.
Paychex (PAYX) October 72.50 straddle priced for move of 5% into the expected release of Q1 EPS before the market open on October 2.
PepsiCo (PEP) October weekly 111 straddle priced for move of 2.2% into the expected release of Q3 EPS before the market open on October 2.
Lennar (LEN) October 47 straddle priced for move of 7% into the expected release of Q3 EPS before the market open on October 3.
Constellation Brands (STZ) October weekly 215 straddle priced for move of 5% into the expected release of Q2 EPS before the market open on October 4.

Increasing unusual option volume: NWSA BHGE ARAY BBBY CHGG EYPT
Increasing unusual call option volume: HLT AU CHGG BBBY JBL TMF VAC ACXM TRVN CLI DTEA AUPH
Increasing unusual put option volume: BHGE SGYP OPK BBBY ACXM YPF
Popular stocks with increasing unusual: BBBY TLRY SQ JCP
Options with decreasing option implied volatility: KMX NKE SAN GERN NKE BBBY AMRN
Cboe Bitcoin October futures up 25 to 6800