Mid-session IV Report December 18, 2018

Mid-session IV Report December 18, 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: TLRY SAGE RESI PG JNJ TSRO SHOP WPM FDX MU GIS

Options with increasing volume: ORCL PWR PPG NCR NTAP UXIN AEL NAV

Index implied volatility is near 12-month highs and approaching the levels we saw in February during what some refer to as the “vixplosion” period of market volatility.

Micron (MU) December call option implied volatility is at 111, January is at 61; compared to its 52-week range of 34 to 63 into the expected release of EPS on December 18. December 35 straddle priced for a move of 8%. Call put ratio 1 call to 1 put with focus on December 34 calls and puts.

FedEx (FDX) December call option implied volatility is at 77, January is at 39; compared to its 52-week range of 16 to 39 into the expected release of EPS on December 18. December 182.50 straddle priced for a move of 5%. Call put ratio 3 calls to 1 put with focus on December 187.50 and 190 calls.

BlackBerry (BB) call put ratio 2.1 calls to 1 put with focus on December 8 and 8.50 calls. December call option implied volatility is at 128, January is at 56; compared to its 52-week range of 31 to 62 into the expected release of EPS on December 20. December 7.50 straddle priced for a move of 9%.

Financial Select Sector SPDR ETF (XLF) call put ratio 1 call to 2.6 puts with focus on March 22 and June 29 puts. December call option implied volatility is at 35, January is at 29; compared to its 52-week range of 13 to 30. Financial Select Sector SPDR ETF (XLF) puts active into FOMC meeting.

Noble Energy (NBL) December call option implied volatility is at 50, January is at 44; compared to its 52-week range of 28 to 68. Call put ratio 4 calls to 1 put as shares sell off 2% as WTI trades below $50.

Halliburton (HAL) December call option implied volatility is at 51, January is at 45; compared to its 52-week range of 21 to 43. Call put ratio 1.9 calls to 1 put as shares at multi-year low.

Schlumberger Ltd. (SLB) December call option implied volatility is at 53, January is at 46; compared to its 52-week range of 19 to 43 as shares at nine-year low
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Marathon Oil (MRO) December call option implied volatility is at 66, January is at 56; compared to its 52-week range of 32 to 57.

Freeport-McMoran (FCX) call put ratio 9 calls to 1 put with focus on December 11, 11.50 and 12 calls

Morgan Stanley (MS) call put ratio 1 call to 7 puts with focus on December 38, 38.50 and 39 calls

Increasing unusual option volume: RCII AEL XAU NAV FCX
Increasing unusual call option volume: RCII NAV UXIN ACHN HP FCX
Increasing unusual put option volume: RCII BHF XAU NGG PPL NCR MS
Options with decreasing option implied volatility: ORCL XPO NLY RAMP NBEV JNK RAMP BKLN
Popular stocks with increasing volume: AMZN FCX JNJ FCX MS
Active options: GE AAPL BAC AMD MU FB TSLA AMZN BABA NVDA MSFT FCX ORCL NFLX JNJ PBR BA SQ XOM T