Pre-Market IV Report September 5, 2018

Pre-Market IV Report September 5, 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: GERN SGMO VKTX TLRY CGC CRON GGAL INSY SCO YPF MJ P EXTR AMRN RH AKRX SGMO TECK CZR AAPL WDAY JD RH BKS

Options expected to have increasing volume: FB TWTR RH WDAY JD TM K

Facebook (FB) September weekly call option implied volatility is at 31, September is at 24; compared to its 52-week range of 16 to 44 into COO Sheryl Sandberg testifying before Congress.

Twitter (TWTR) September weekly call option implied volatility is at 44, September is at 41; compared to its 52-week range of 33 to 84 into co-founder and CEO Jack Dorsey testifying before Congress.

Amazon (AMZN) September weekly call option implied volatility is at 24, September is at 24, October is at 26; compared to its 52-week range of 18 to 51 as shares valued above $1 Trillion. Call put ratio 1.3 calls to 1 put with focus on September weekly 2040 and September 2050 calls.

JD.com (JD) September weekly call option implied volatility is at 49, September is at 37; compared to its 52-week range of 26 to 60 after shares decrease on founder arrest and release.

iShares China Large-Cap (FXI) September weekly call option implied volatility is at 28, September is at 24; compared to its 52-week range of 15 to 33 as shares trade lower in the premarket. Call put ratio 2.3 calls to 1 put.

Canopy Growth (CGC) September weekly call option implied volatility is at 108, September is at 91, October is at 86; compared to its 52-week range of 57 to 97 amid large share price movement in cannibas names. Call put ratio 3 calls to 1 put.

Cronus Corporation (CRON) September weekly call option implied volatility is at 190, September is at 152, October is at 138; compared to its 52-week range of 71 to 154 amid large share price movement in cannibas names. Call put ratio 2 calls to 1 put.

Tilray, Inc. (TLRY) September weekly call option implied volatility is at 199, September is at 153, October is at 123; compared to its 52-week range of 68 to 139 amid large share price movement in cannibas names.

National Beverage (FIZZ) September call option implied volatility is at 55, October is at 41; compared to its 52-week range of 31 to 61 into the expected release of EPS on September 10.

Straddle prices for stocks expected to report results this week

Guidewire Software (GWRE) September 100 straddle priced for move of 8% into the expected release of EPS after the close on September 5
HD Supply (HDS) September 45 straddle priced for move of 6.7% into the expected release of EPS on September 5
Broadcom (AVGO) September weekly 220 straddle priced for move of 5.5% into the expected release of EPS after the close on September 6

Five Below (FIVE) September weekly 120 straddle priced for move of 9% into the expected release of EPS after the close on September 6
GameStop (GME) September weekly 13.50 straddle priced for move of 14% into the expected release of EPS after the close on September 6
Marvell Technology (MRVL) September weekly 20.50 straddle priced for move of 7% into the expected release of EPS after the close on September 6
Navistar (NAV) September weekly 42 straddle priced for move of 9% into the expected release of EPS before the open on September 6
Palo Alto Networks (PANW) September weekly 230 straddle priced for move of 7.4% into the expected release of EPS after the close on September 6

Increasing unusual option volume: FTV EWC FTV ADNT IWD AIMC EMLC OMER
Increasing unusual call option volume: FTV AIMC OMER VIAB MNKD AGIO MCO AOBC XRT DBD
Increasing unusual put option volume: EWC FTV ADNT EMLC IDTI AIMC MNKD FITB
Popular stocks with increasing unusual option volume: SNAP SQ F DVN JD
Options with decreasing option implied volatility: EXPR ZUO SIG FOXA CHS BOX WMT LULU AOBC AMBA BIG ULTA
Cboe Bitcoin September futures up 25 to 7375