Fw: Mid-session IV Report September 25, 2018

Mid-session IV Report September 25, 2018

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: AMRN SIRI XON FOLD KORS GE PM NWL KMX AET

Active options with increasing volume: SQ PEG XRX JBL ASN AMRN SONC KMX BSX SNAP

Financial Select Sector SPDR ETF (XLF) September weekly call option implied volatility is at 18, October is at 15; compared to its 52-week range of 13 to 28 into Fed two-day policy meeting. Call put ratio 1.8 calls to 1 put.

Geron Corp (GERN) September weekly call option implied volatility is at 290, October is at 251; compared to its 52-week range of 62 to 305 into Johnson & Johnson’s (JNJ) subsidiary Janssen making a continuation decision under its 2014 collaboration agreement with Geron. Call put ratio 1.8 calls to 1 put.

Amarin Corp. (AMRN) September weekly call option implied volatility is at 190, October is at 120; compared to its 52-week range of 35 to 428 day after the release of an 8,000 patient study started in 2011 for their omega3 pill Vascepa. Shares are up 19% to $14.30.

Verastem (VSTM) October call option implied volatility is at 169, November is at 140; compared to its 52-week range of 82 to 176 ahead of the FDA action date of October 5. Call put ratio 6.2 calls to 1 put with focus on October 10 calls.

Omeros (OMER) October call option implied volatility is at 101, November is at 99, February is at 84; compared to its 52-week range of 64 to 120 into the completion of the Phase 1 single-ascending- and multiple-ascending-dose trial for OMS527 is expected in the first half of 2019.

Marinus Pharma (MRNS) October call option implied volatility is at 116, November is at 163; compared to its 52-week range of 74 to 240 into upcoming data releases from multiple Phase 2 trials and earnings in late October.

Facebook (FB) September weekly call option implied volatility is at 27, October is at 24; compared to its 52-week range of 15 to 44 after Instagram co-founders Kevin Systrom and Mike Krieger are departing the company they built. Call put ratio 1.1 calls to 1 put.

Bed Bath & Beyond (BBBY) September weekly call option implied volatility is at 139, October is at 61; compared to its 52-week range of 30 to 72 into the expected release of Q2 after the market close on September 26. Call put ratio 1.6 calls to 1 put.

CarMax (KMX) September weekly call option implied volatility is at 75, October is at 34; compared to its 52-week range of 20 to 42 into the expected release of Q2 before the market open on September 26. Call put ratio 2 calls to 1 put.

BlackBerry (BB) September weekly call option implied volatility is at 102, October is at 51; compared to its 52-week range of 28 to 59 into the expected release of Q2 on September 28.

United States Oil Fund (USO) September weekly call option implied volatility is at 32, October is at 27; compared to its 52-week range of 17 to 28 as WTI crude trades near four-year highs. Call put ratio 2.5 calls to 1 put with focus on October 15 and 16 calls.

Increasing unusual call option volume: CNP ADMP PEG XRX ASNA JBL HST HOLX TRVN
Increasing unusual put option volume: EBIX ADI BWA AMRN KGC ING JBL TTWO SONC SA FMC FDS NBEV
Popular stocks with increasing unusual option volume: SNAP SQ AMRN
Options with decreasing option implied volatility: MDXG TWTR FEYE NIO MU QCOM AAPL ABT CMCSA SBUX ALGN DG AMZN
Active options: GE FB AMD MU AAPL BAC FTV SQ INTC AMZN AMRN BABA NFLX SNAP NVDA MSFT PBR T TSLA XRX