Pre-Market IV Report September 4, 2019

Pre-Market IV Report September 4, 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: GGAL WORK SFIX WORK YPF ARCC PVTL MIK EGAN AABA HOME OSTK HOME CLF CLD ZM LULU GME SLV AUY MDR

Options expected to have increasing volume: TSN PBYI LULU AEO NAV COUP BOX LL

iShares China Large-Cap (FXI) IV into Communist China anniversary of 70 years

iShares China Large-Cap (FXI) September weekly call option implied volatility is at 24, October is at 21; compared to its 52-week range of 16 to 32 into China’s anniversary of 70 years since the founding of Communist China on October 1.

Tyson Foods (TSN) September weekly call option implied volatility is at 29, September is at 28; compared to its 52-week range of 19 to 36 into cutting FY19 guidance.

Pilgrims Pride (PPC) September call option implied volatility is at 75, October is at 67; compared to its 52-week range of 29 to 51 into Tyson Foods (TSN) cutting FY19 guidance.

Beyond Meat (BYND) September weekly call option implied volatility is at 67, September is at 55; compared to its 52-week range of 54 to 141 into Tyson Foods (TSN) cutting FY19 guidance.

Hormel Foods (HRL) September weekly call option implied volatility is at 40, September is at 33; compared to its 52-week range of 17 to 38 into Tyson Foods (TSN) cutting FY19 guidance.

Puma Biotechnology (PBYI) September weekly put option implied volatility is at 102, September is at 64; compared to its 52-week range of 57 to 168 into getting FDA orphan drug designation for Nerlynx.

Box (BOX) 30 day option implied volatility is at 39; compared to its 52-week range of 32 to 82 into disclosing 7.5% activist stake from Starboard.

Lumber Liquidators (LL) September weekly call option implied volatility is at 60, September is at 53; compared to its 52-week range of 41 to 99 into reported speculation that its founder seeks talks about possible Cabinets to Go combination.

Option implied volatility flat as copper near a two-year low

Freeport-McMoran (FCX) September weekly call option implied volatility is at 38, September is at 43; compared to its 52-week range of 35 to 67 as copper near a two-year low.
Southern Copper (SCCO) September call option implied volatility is at 27, October is at 29; compared to its 52-week range of 27 to 50 as copper at a two-year low.
Vale S.A. (VALE) September weekly call option implied volatility is at 43, September is at 40; compared to its 52-week range of 32 to 50 as shares at lower end of range.
Rio Tinto plc (RIO) September call option implied volatility is at 19, October is at 20; compared to its 52-week range of 21 to 40 as shares at lower end of range.
BHP Billiton Ltd. (BHP) September weekly call option implied volatility is at , September is at ; compared to its 52-week range of 21 to 54 after large share price sell off.

Walmart (WMT) September weekly call option implied volatility is at 18, September is at 19, October is at 19; compared to its 52-week range of 14 to 30 after announces new gun and ammo sale rules.

Gun maker stocks pulled back after Walmart announced new gun and ammo sale rules

American Outdoor Brands (AOBC) September weekly call option implied volatility is at 92, September is at 67, October is at 60; compared to its 52-week range of 33 to 83 after Walmart (WMT) announces new gun and ammo sale rules. Call put ratio 2 calls to 1 put.

Ruger & Company (RGR) September call option implied volatility is at 34, October is at 32; compared to its 52-week range of 26 to 56.

Vista Outdoor (VSTO) September call option implied volatility is at 36, October is at 51; compared to its 52-week range of 27 to 128.

Straddle prices for stocks expected to report quarter financial results this week

American Eagle (AEO) September weekly 16 straddle priced for a move of 13% into the expected release of quarterly results today
Palo Alto Networks (PANW) September weekly 200 straddle priced for a move of 8% into the expected release of quarterly results today
Slack Technologies (WORK) September 29 straddle 29 priced for a move of 15% into the expected release of quarterly results today
At Home (HOME) September 7 straddle priced for a move of 24% into the expected release of quarterly results today after the bell
Navistar (NAV) September weekly 22 straddle priced for a move of 11% into the expected release of quarterly results today before the bell
Ciena (CIEN) September weekly 41 straddle priced for a move of 11% into the expected release of quarterly results before the bell on September 5
Donaldson (DCI) September 45 straddle priced for a move of 8.5% into the expected release of quarterly results before the bell on September 5
Duluth Holdings (DLTH) December 10 straddle priced for a move of 17% into the expected release of quarterly results on September 5
Korn Ferry (KFY) September 40 straddle priced for a move of 11% into the expected release of quarterly results after the bell on September 5
Lands End (LE) September 7.5 straddle priced for a move of 15% into the expected release of quarterly results before the bell on September 5
Lululemon (LULU) September weekly 180 straddle priced for a move of 10% into the expected release of quarterly results after the bell on September 5
Signet Jewelers (SIG) September weekly 11 straddle priced for a move of 19% into the expected release of quarterly results on September 5
Zoom Video Communications (ZM) September weekly 92 straddle priced for a move of 12.5% into the expected release of quarterly results after the bell on September 5
Zumiez (ZUMZ) September 25 straddle priced for a move of 14% into the expected release of quarterly results after the bell on September 5
Cloudera (CLDR) September weekly 7 straddle priced for a move of 14% into the expected release of quarterly results before the bell on September 6
National Beverage (FIZZ) September 40 straddle priced for a move of 14% into the expected release of quarterly results before the bell on September 6

Options with decreasing option implied volatility: WLL ULTA TGT NTNX MDCO BIG ANF BILI COTY DLTR ADSK FIVE
Increasing unusual option volume: MIK ABEO REAL YPF OMI MTOR KDP AEO
Increasing unusual call option volume: MIK ABEO AERI HQY KDP ULTA SIX CONN APO
Increasing unusual put option volume: REAL ERI MIK PLAN GII YPF CTVA CX AEO PH
Popular stocks with increasing unusual volume: SQ ROKU NIO BABA HD
Active options: AAPL BAC HD AMZN CLF TWTR TSLA AMD ROKU NIO MSFT GE FB SNAP NFLX BABA BA SQ MU YPF

Global S&P Futures are recently up 26.50 from previous day after Hong Kong stocks soar on China extradition policy changes. Nikkei 225 up 0.12%, DAX up 1.2%, WTI Crude oil is recently at $54.37, natural gas down o.7%, gold at $1546 an ounce