Pre-Market IV Report September 5, 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: RAD ORCL QCOM NTNX YNDX FRAN KR GGP JUNO PTCT EROS BBRY ACN GILD GIS

Options expected to have increasing volume: COL UTX PZZA BX BA

Apple (AAPL) calls stay active into September 12 product event

Apple (AAPL) September weekly call option implied volatility is at 16, September and October is at 23; compared to its 52-week range of 13 to 28 into an Apple scheduled product event on September 12.
Call put ratio 2.44 calls to 1 put.

General Mills (GIS) call put ratio 25 to 1 as shares rallied into close

General Mills (GIS) September 55, 57.50 and 60 calls are active on total call volume of 11,972 contracts (469 puts).September 50 call option implied volatility is at 24, September is at 23; compared to its 52-week range of 16 to 28.

Rockwell Collins (COL) September volatility up into United Technologies (UTX) acquiring for $30B

Rockwell Collins (COL) September call option implied volatility is at 28, October is a 19; compared to its 52-week range of 15 to 39 into United Technologies (UTX) and Rockwell Collins (COL) has announced that they have reached a definitive agreement under which United Technologies will acquire Rockwell Collins for $140 per share.

United Technologies (UTX) September weekly and September call option implied volatility is at 18, October is a 17; compared to its 52-week range of 12 to 22.

General Electric (GE) September weekly call option implied volatility is at 14, September and October is at 18; compared to its 52-week range of 12 to 22 after shares traded up for the 2nd day after trading to a 23-month low.

Straddle prices for companies reporting financial results this week

Duluth Holdings (DLTH) September 20 straddle priced for movement of 14.5%
At Home Group (ATHM) September 65 straddle priced for movement of 6%
Hewlett Packard Enterprises (HPE) September weekly 14 straddle priced for movement of 50%
Dave & Busters (PLAY) September 60 straddle priced for movement of 9.9%
Freds (FRED) September 5 straddle priced for movement of 19%
HD Supply (HDS) September 32.50 straddle priced for movement of 9.8%

Increasing unusual call option volume: GIS LGIH JNK ODFL QVCA PAGP

Increasing unusual put option volume: BKS XL LEA KITE JNK FNV