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 implied volatility: PNRA KMX TMUS AA NFLX WTW LL YELP FIT CF DATA MNST CBS PCLN ATVI SHLD AZN
Options expected to have Increasing volume: KMX BBBY PNRA WBA
Option implied volatility is low into China President visit and current temporary spending bill expiring on April 28.
iShares FTSE Xinhua China 25 Index (FXI) option implied volatility low into Trump hosting China president
iShares FTSE Xinhua China 25 Index (FXI) April weekly call option implied volatility is at 17, April is at 16, May is at 17; compared to its 52-week range of 15 to 30 into President Donald Trump hosting Chinese President XI in Palm Beach, Florida.
China Petroleum (SNP) 30-day implied volatility is at 22, compared to its 52-week range of 20 to 52 as WTI oil trades near one-month high.
S&P Dep Receipts (SPY) volatility at low end of range
SPDR S&P 500 ETF Trust (SPY) April weekly and April call option implied is at 9, May is at 10; compared to its 52-week range of 8 to 21.
Panera Bread (PNRA) volatility at upper end of range into acquired by JAB for $315 per share
Panera Bread (PNRA) April call option implied volatility is at 33, May is at 38; compared to its 52-week range of 16 to 36 into announcing a definitive merger agreement under which JAB will acquire Panera for $315 per share in cash, in a transaction valued at approximately $7.5B, including the assumption of approximately $340M of net debt.
Straddle prices for companies reporting financial results this week
Bed Bath & Beyond (BBBY) April weekly 39 straddle priced for movement of 6.6%
Monsanto (MON) April weekly 115 straddle priced for movement of 3%
Yum China Holdings (YUMC) April 27.50 straddle priced for movement of 6.3%
CarMax (KMX) April 55 straddle priced for movement of 9.5%
Constellation Brands (STZ) April 160 straddle priced for movement of 4.5%
Lamb Weston (LW) April 40 straddle priced for movement of 9.4%
Walgreens Boots Alliance (WBA) April 82.50 straddle priced for movement of 4%
Rite Aid (RAD) April 4 straddle priced for movement of 9.5%
Ruby Tuesday (RT) April 3 straddle priced for movement of 18%
WD-40 Company (WDFC) April 110 straddle priced for movement of 7%
Options with decreasing implied volatility: CRBP ACOR ALR VRTX RH CAB NKE ORCL TGT LULU PAYX
Options with increasing unusual call volume: AFSI SPLS DD PRTK ST FLT FH RCII NXPI FINL CONN SIMO
Options with increasing unusual put volume: AYI GNTX CREE LB RCII SYY FLT KATE JDST PRTK DD NVO