Pre-Market IV Report August 16, 2016

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.

Stocks and options expected to have increasing volume: HAIN VIPS MS HD LOW URBN TJX LMT DKS WMT TGT SPLS

Twilio (TWLO) August call option implied volatility is at 128, September is at 87; compared to its 52-week range of 55 to 101 as the cloud communication company closed at record high.

Hain Celestial (HAIN) is recently down $13.27 to $40.13 in the premarket after delaying the release of its fourth quarter earnings results. August call option implied volatility is at 67, September is at 55; compared to its 52-week range of 24 to 56.

Intel (INTC) August and September call option implied volatility is at 19, compared to its 52-week range of 16 to 38 into today start of Intel Developer Forum in San Francisco.

Buffalo Wild Wings (BWLD) August call option implied volatility is at 44, September is at 29; compared to its 52-week range of 22 to 64 into hosting an analyst meeting with investors today.

Morgan Stanley (MS) is recently up 32c to $29.98 in the premarket on activist investor ValueAct Capital has built a roughly 2% stake in Morgan Stanley, reports the Wall Street Journal, citing sources and a filing. The fund doesn’t plan to call for major changes and supports CEO James Gorman, the sources told the publication. August call option implied volatility is at 22, September is at 21; compared to its 52-week range of 20 to 56.

Urban Outfitters (URBN) August call option implied volatility is at 105, September is at 51; compared to its 52-week range of 27 to 65 into the expected release of Q2 results today after the market close.

Cree (CREE) August call option implied volatility is at 86, September is at 39; compared to its 52-week range of 29 to 60 into the expected release of Q4 results today after the market close.

Line Corp (LINE) August call option implied volatility is at 68, September is at 67; compared to its 52-week range of 52 to 65 as the Japanese portal company trades near a record high.

Stocks with Implied Volatility Movement

salesforce.com (CRM), Ctrip.com (CTRP) implied volatility is above its IV index mean

Kohl’s Corp. (KSS), Merck (MRK) implied volatility is below its IV index mean

Twilio (TWLO) implied volatility at upper end of index mean range

Lockheed Martin (LMT) implied volatility at lower end of index mean range

Hain Celestial (HAIN) implied volatility has had increased movement

GoPro (GPRO) implied volatility has had increased movement

Stocks with increasing call volume on August 15: LMT TRQ MTOR HMY ON TXT VIPS GPOR LN RDUS

Stocks with increasing put volume on August 15: LMT EWC CAB HAIN PII TWLO MEET PBCT VWO CREE

Straddles into quarterly results and outlook

Cree (CREE) August 28 straddle priced for 7% movement
Dicks Sporting Goods (DKS) August 55 straddle priced for 5.8% movement
Advanced Auto Parts (AAP) August 170 straddle priced for 5.9% movement
Home Depot (HD) August 137 straddle priced for 2.6% movement
Urban Outfitters (URBN) August 31 straddle priced for 9.5% movement
TJX (TJX) August 82.50 straddle priced for 4.3% movement
NetEase (NTES) August 212.5 straddle priced for 6.1% movement
Staples (SPLS) August 9 straddle priced for 5.4% movement
Target (TGT) August 75.50 straddle priced for 4.4% movement
Walmart (WMT) August 73.5 straddle priced for 3.8% movement