Pre-Market IV Report August 24, 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.

Options with increasing option implied volatility: CXW RHT FDX WSM TBT TLT SPLK SHLD ULTA DG PVH LULU HPQ

Stocks and options expected to have increasing volume: TLT TBT WSM HPQ EXPR LZB INTU OSUR

Option implied volatility for company’s reporting this week

Splunk (SPLK) August weekly call option implied volatility is at 106, September is at 51; compared to its 52-week range of 34 to 101.

Sears Holdings (SHLD) August weekly call option implied volatility is at 106, September is at 71 compared to its 52-week range of 51 to 93.

Signet Jewelers (SIG) September call option implied volatility is at 48, October is at 39; compared to its 52-week range of 22 to 57.

Sanderson Farms (SAFM) September call option implied volatility is at 33, October is at 29; compared to its 52-week range of 27 to 46.

Patterson Companies (PDCO) September call option implied volatility is at 26, October is at 23; compared to its 52-week range of 18 to 35.

Tiffany (TIF) August weekly call option implied volatility is at 75, September is at 33; compared to its 52-week range of 21 to 59.

Titan (TITN) September call option implied volatility is at 56, October is at 45; compared to its 52-week range of 43 to 97.

Ultra (ULTA) August weekly call option implied volatility is at 98, September is at 47; compared to its 52-week range of 19 to 60.

Big Lots (BIG) August weekly call option implied volatility is at 56, September is at 36; compared to its 52-week range of 26 to 55.

Stocks with Implied Volatility Movement

lululemon athletica (LULU) implied volatility is above its IV index mean
HP, Inc. (HPQ) implied volatility is above its IV index mean
Teva Pharma (TEVA) implied volatility at upper end of index mean range
Activision Blizzard (ATVI) implied volatility at lower end of index mean range
LendingClub (LC) implied volatility has had increased movement
Monsanto (MON) implied volatility has had increased movement