Mid-session IV Report February 1, 2019

Mid-session IV Report February 1, 2019

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: LB CRON FL WTW ARNC SPLK BBY CAH TSN VALE OSTK DB APHA YUMC GOOG XLK FCX MCD

Options with increasing volume: CSCO V PZZA WMT XRX APHA MAR

Aphria (APHA) call put ratio 6.5 calls to 1 put with focus on February 10 calls

Aphria (APHA) February call option implied volatility is at 95, March is at 89; compared to its 52-week range of 90 to 212 after Citron Research says take profits. Call put ratio 4.6 calls to 1 put with focus on February 10 calls and puts.

Cronos Group (CRON) February weekly call option implied volatility is at 227, February is at 142; compared to its 52-week range of 70 to 165. Call put ratio 1 call to 1 put as shares rally 6%

Xerox Corp. (XRX) February call option implied volatility is at 33, March is at 30; compared to its 52-week range of 23 to 60 into a company hosted investor meeting on February 5. Call put ratio 1 call to 5.6 puts with focus on February 28 puts.

Novavax (NVAX) February call option implied volatility is at 135, March is at 233; compared to its 52-week range of 62 to 239 into Phase III PREPARE top-line data on ResVax this quarter, a vaccine for infants via maternal immunization. Call put ratio 1 call to 1.1 puts.

Papa John’s (PZZA) February weekly call option implied volatility is at 71, February weekly is at 38, February is at 37; compared to its 52-week range of 28 to 65. Call put ratio 1 call to 1.5 puts as shares sell off 6.8%.

Alphabet (GOOG) February weekly call option implied volatility is at 45, February is at 39; compared to its 52-week range of 16 to 41 into the expected release of EPS on February 4. Call put ratio 1.6 calls to 1 put.

Arconic (ARNC) February weekly call option implied volatility is at 55, February is at 51; compared to its 52-week range of 21 to 72 into the expected release of EPS on February 4. Call put ratio 4.4 calls to 1 put.

Clorox (CLX) February weekly call option implied volatility is at 38, February is at 29; compared to its 52-week range of 17 to 33 into the expected release of EPS on before the bell on February 4. Call put ratio 2.5 calls to 1 put.

Emerson (EMR) February weekly call option implied volatility is at 34, February is at 28; compared to its 52-week range of 15 to 40 into the expected release of EPS on February 4.

Gilead (GILD) February weekly call option implied volatility is at 39, February is at 32; compared to its 52-week range of 19 to 43 into the expected release of EPS after the bell on February 4.

Hartford (HIG) February weekly call option implied volatility is at 32, February is at 25; compared to its 52-week range of 15 to 49 into the expected release of EPS on February 4. March weekly calls are active.

Seagate (STX) February weekly call option implied volatility is at 74, February is at 57; compared to its 52-week range of 26 to 68 into the expected release of EPS after the bell on February 4.

Sysco (SYY) February weekly call option implied volatility is at 39, February is at 29; compared to its 52-week range of 14 to 27 into the expected release of EPS on before the bell on February 4. Call put ratio 7.6 calls to 1 put.

SNAP (SNAP) February weekly call option implied volatility is at 139, February is at 84; compared to its 52-week range of 36 to 99 into the expected release of EPS after the bell on February 5. Call put ratio 3 calls to 1 put.

Increasing unusual call option volume: NOV TGE DECK CTXS GRA CY ZYNE ATTU SE YUMC
Increasing unusual put option volume: NOV MAR CNAT YUMC SBAC CRON WU SNE SKT SLM MAS
Options with decreasing option implied volatility: PCG BOIL EXTR AXDX UNG CAT BMY PAH CAT XLNX LB
Active options: GE AAPL BAC AMZN FB AMD MU TSLA CRON SNAP NVDA INTC NFLX MSFT XOM BA BABA WMT CSCO V