Pre-Market IV Report October 12, 2017

Pre Market Iv Report

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: VHC WTW VRX OCN HPQ MAR MBI SHOP GE ILG RAD WBA HPQ JCP ABBV MBI MYL

Options expected to have increasing volume: JPM C BAC WFC HLF LUV JILL JNPR T XL

iShares FTSE Xinhua China 25 Index (FXI) volatility flat into China’s Communist Party Congress

iShares FTSE Xinhua China 25 Index (FXI) October weekly call option implied volatility is at 18, October and November is at 17; compared to its 52-week range of 14 to 26 into China’s Communist Party Congress on October 18.

Well Fargo (WFC) October weekly call option implied volatility is at 37, October 23. November is at 20; compared to its 52-week range of 15 to18 into the expected release of Q3 results on October 13.

PNC Financial (PNC) October call option implied volatility is at 22, November is at 19; compared to its 52-week range of 17 to 26 into the expected release of Q3 results on October 13.

Del Frisco Restaurant (DFRG) October call option implied volatility is at 53, November is at 34; compared to its 52-week range of 25 to 53 into the expected release of Q3 results on October 13.

J.B. Hunt Transport (JBHT) October call option implied volatility is at 35, November is at 25; compared to its 52-week range of 18 to 29 into the expected release of Q3 results on October 13.

General Electric (GE) October weekly call option implied volatility is at 23, October is at 31, November is at 26, January is at 22; compared to its 52-week range of 12 to 24 as shares trade near two-year low.

Straddle prices for companies reporting financial results this week

Citigroup (C) October weekly 75 straddle priced for movement of 2.1%
Domino’s Pizza (DPZ) October 210 straddle priced for movement of 7%
Bank of America (BAC) October weekly 26 straddle priced for movement of 2.2%
Del Frisco Restaurant (DFRG) October 15 straddle priced for movement of 7.8%
JPMorgan (JPM) October weekly 97 straddle priced for movement of 2%
J.B. Hunt Transport (JBHT) October weekly 105 straddle priced for movement of 4.8%
PNC Financial (PNC) October weekly 135 straddle priced for movement of 3.3%
Well Fargo (WFC) October weekly 55.50 straddle priced for movement of 2.1%

Increasing unusual call option volume: ABT ABBV GGB CMC MOH DXJ

Increasing unusual put option volume: IPG PAYX SBH KR ACRX AU

Options with decreasing implied volatility: FLXN EROS WMT COST OSTK