Mid-session IV Report August 8, 2018

Mid-session IV Report August 8, 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 implied volatility: ROKU MYL JACK JNK GGP REGN

Stocks with increasing unusual option volume: FCAU PDCE DBD EXTR HDP CARS ADT WCG YNDX TSM NLSN EXT

Tesla (TSLA) call put ratio 1.25 calls to 1 put with focus on August weekly 375 calls and puts a day after Musk tweets

Tesla (TSLA) August weekly call option implied volatility is at 65, August is at 54; compared to its 52-week range of 32 to 71.

Roku (ROKU) August weekly call option implied volatility is at 255, August is at 132, September is at 75; compared to its 52-week range of 52 to 123 into the expected release of EPS today after the close. Call put ratio 1.3 calls to 1 put.

Canadian Goose (GOOS) August weekly call option implied volatility is at 199, August is at 108; compared to its 52-week range of 36 to 69 into the expected release of EPS before the open on August 8. Call put ratio 2.5 calls to 1 put.

Regeneron (REGN) August weekly call option implied volatility is at 41, August is at 33, September is at 30; compared to its 52-week range of 27 to 43 after CMS unveils changes to Medicare Part B plans.

Amgen (AMGN) August weekly call option implied volatility is at 21, August and September is at 19; compared to its 52-week range of 16 to 31 after CMS unveils changes to Medicare Part B plans.

Johnson & Johnson (JNJ) August weekly call option implied volatility is at 14, August and September is at 12; compared to its 52-week range of 11 to 28 after CMS unveils changes to Medicare Part B plans.

Southwest (LUV) August weekly call option implied volatility is at 22, August is at 20; compared to its 52-week range of 21 to 43 after says Morgan Stanley say’s would be good strategic fit for Berkshire. Call put ratio 2 calls to 1 put.

Salesforce (CRM) August weekly call option implied volatility is at 22, August is at 23, September is at 27; compared to its 52-week range of 16 to 43 after appointing Keith Block as its co-chief executive officer.

Mylan (MYL) August weekly call option implied volatility is at 43, August is at 34; compared to its 52-week range of 26 to 49 after board forms review committee, ‘evaluating’ wide range of alternatives’.

Wynn Resorts Ltd (WYNN) call put ratio 10.4 calls to 1 put with focus on August weekly 155, 157.50 and 160 calls. August weekly call option implied volatility is at 34, August and September is at 29; compared to its 52-week range of 22 to 49.

21st Century Fox (FOXA) August weekly call option implied volatility is at 30, August and September is at 15; compared to its 52-week range of 15 to 52 into the expected release of EPS and updates on Sky. Comcast is still attempting to gain control of the European pay-TV operator, and currently has the lead with a bid that values Sky at $34B, or about 5% higher than Fox’s most recent offer. Call put ratio 1.69 calls to 1 put.

Comcast (CMCSA) August weekly call option implied volatility is at 23, August and September is at 21; compared to its 52-week range of 18 to 37 into 21st Century Fox (FOXA) release of EPS and updates on Sky. Comcast is still attempting to gain control of the European pay-TV operator, and currently has the lead with a bid that values Sky at $34B, or about 5% higher than Fox’s most recent offer. Call put ratio 1 call to puts 4.7 puts.

Extreme Networks (EXTR) call put ratio 10.3 calls to 1 put with focus on August 5 and September 7.5 calls as shares sell off 30%.

Increasing unusual call option volume: NFLX BAC AMD EXTR CARS HDP TDOC KLIC NPTN
Increasing unusual put option volume: FCAU DBD ADT JEF DY BLDR MXL
Options with decreasing implied volatility: KORS SNAP W FIT EXAS TWLO YRCW CROX MNK CRC
Active options: TSLA AAPL SNAP FB FCAU BABA BAC BABA BAC AMZN AMD DIS MU NVDA TWTR NFLX GE CVX MSFT T X CELG