Mid-session IV Report December 19, 2018

Mid-session IV Report December 19, 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: CZR HCA CAH SHOP XLV PEP HIIQ JNJ WPM P ENDP UNH

Options with increasing volume: GE ABX COP GM FDX MU NLSN PBR CMA

Citigroup (C) December call option implied volatility is at 52, January is at 37; compared to its 52-week range of 16 to 40. Call put ratio 1 call to 3.3 puts with focus on December 61, 62 and January 60 puts.

Bank of America (BAC) December call option implied volatility is at 44, January is at 38; compared to its 52-week range of 16 to 37. Call put ratio is 1.3 calls to 1 put with focus on December 25, December 26 calls and January 26 puts.

Bank option implied volatility elevated into FOMC rate decision

U.S. Bancorp (USB) 30-day option implied volatility is at 29; compared to its 52-week range of 13 to 30
Morgan Stanley (MS) 30-day option implied volatility is at 39; compared to its 52-week range of 18 to 41
BNY Mellon (BK) 30-day option implied volatility is at 34; compared to its 52-week range of 16 to 36
Wells Fargo (WFC) 30-day option implied volatility is at 37; compared to its 52-week range of 16 to 41
Comerica (CMA) 30-day option implied volatility is at 36; compared to its 52-week range of 18 to 38
BB&T (BBT) 30-day option implied volatility is at 31; compared to its 52-week range of 17 to 31
KeyCorp (KEY) 30-day option implied volatility is at 40; compared to its 52-week range of 19 to 40
PNC Financial Services (PNC) 30-day option implied volatility is at 34; compared to its 52-week range of 16 to 35
JP Morgan (JPM) 30-day option implied volatility is at 33; compared to its 52-week range of 15 to 35
Goldman Sachs (GS) 30-day option implied volatility is at 37; compared to its 52-week range of 15 to 38
Citigroup (C) 30-day option implied volatility is at 41; compared to its 52-week range of 16 to 40
Bank of America (BAC) 30-day option implied volatility is at 37; compared to its 52-week range of 16 to 37

Active bank options into FOMC

Comerica (CMA) call put ratio 14 calls to 1 put with focus on December 67.50 calls
KeyCorp (KEY) call put ratio 1 call to 2.4 puts with focus on January 15 puts
JPMorgan (JPM) call put ratio 1.3 calls to 1 put with focus on ATM January 100 calls and puts
U.S. Bancorp (USB) January 52.50 and February 52.50 calls active

Financial Select Sector SPDR ETF (XLF) December call option implied volatility is at 43, January is at 32; compared to its 52-week range of 13 to 30. Call put ratio 2 calls to 1 put with focus on December 24, January 24 and 26 calls.

Nike (NKE) December call option implied volatility is at 100, January is at 41; compared to its 52-week range of 17 to 41 into the expected release of EPS on December 20. December 72 straddle priced for a move of 6.3%. Call put ratio 1 call to 2.5 puts with focus on January 67.5 and 70 puts.

BlackBerry (BB) December call option implied volatility is at 157, January is at 62; 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 12%. Call put ratio 2.7 calls to 1 put with focus on December 8 and 8.50 calls.

Increasing unusual option volume: NLSN GM ABX HST UBS ACHN WGO RIO CMA UXIN
Increasing unusual call option volume: XAU ACHN NLSN RCII IYT GCO RIO LNC HP UXIN CMA
Increasing unusual put option volume: HST XRX UBS INFN WGO IBN WPX EWA SNV JBL
Options with decreasing option implied volatility: TLRD CLNY ACHC CIEN DRI ORCL ESRX ATHN XPO NLY COST TLRY GE
Popular stocks with increasing volume: UXIN GM ABX HST HP AGN
Active options: MU GE BAC AAPL FB MSFT AMD NFLX FDX BABA AMZN C TSLA PBR NVDA T GM SQ ABX NLSN