Mid-session IV Report February 5, 2019

Mid-session IV Report February 5, 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: ITUB CME URBN CARS CTL BA MRK ACB DIS PANW CRON GM SPOT CMG

Options with increasing volume: CQP EL CHD PBI CERN ETSY OPK

Disney (DIS) February weekly call option implied volatility is at 39, February is at 26; compared to its 52-week range of 15 to 34 into the expected release of EPS after the bell on February 5 and investor day on April 11. Call put ratio 1.2 calls to 1 put.

Viacom (VIAB) February weekly call option implied volatility is at 39, February is at 29; compared to its 52-week range of 22 to 99 into the expected release of EPS today after the bell. Call put ratio 2.3 calls to 1 put.

General Motors (GM) February weekly call option implied volatility is at 53, February is at 35; compared to its 52-week range of 20 to 46 into the expected release of EPS before the open on February 6. Call put ratio 5.5 calls to 1 put.

GlaxoSmithKline (GSK) February weekly call option implied volatility is at 29, February is at 21; compared to its 52-week range of 14 to 30 into the expected release of EPS on February 6. August 40 calls active.

Goodyear Tire (GT) February weekly call option implied volatility is at 63, February is at 44; compared to its 52-week range of 22 to 53 into the expected release of EPS after the close on February 6.

GoPro (GPRO) February weekly call option implied volatility is at 217, February is at 130; compared to its 52-week range of 42 to 78 into the expected release of EPS after the close on February 6. Call put ratio 7 calls to 1 put.

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Carlyle (CG) February call option implied volatility is at 28, March is at 25; compared to its 52-week range of 21 to 53 into the expected release of EPS before the open on February 6.

NXP Semiconductor (NXPI) February weekly call option implied volatility is at 78, February is at 48; compared to its 52-week range of 15 to 74 into the expected release of EPS after the close on February 6.

Spotify (SPOT) February weekly call option implied volatility is at 119, February is at 76; compared to its 52-week range of 30 to 67 into the expected release of EPS before the open on February 6. Call put ratio 2 calls to 1 put.

Zynga (ZNGA) February weekly call option implied volatility is at 110, February is at 65; compared to its 52-week range of 29 to 74 into the expected release of EPS before the open on February 6.

Humana (HUM) February weekly call option implied volatility is at 37, February is at 32; compared to its 52-week range of 15 to 34 into the expected release of EPS on February 6. Call put ratio 4 calls to 1 put.

Chipotle (CMG) February weekly call option implied volatility is at 99, February is at 59; compared to its 52-week range of 24 to 50 into the expected release of EPS on February 6. Call put ratio 1 call to 2.44 puts.

WellCare Health Plans (WCG) February weekly call option implied volatility is at 23, February is at 22; compared to its 52-week range of 19 to 50 into the expected release of EPS before the open on February 6. Call put ratio 4 calls to 1 put.

Large Pharmaceuticals option implied volatility into President Trump State of Union Address

Sanofi-Aventis (SNY) 30-day call option implied volatility is at 21, compared to its 52-week range of 15 to 31 into President Trump State of Union Address.
Amgen (AMGN) 30-day call option implied volatility is at 23, compared to its 52-week range of 16 to 38 into President Trump State of Union Address.
Eli Lilly (LLY) 30-day call option implied volatility is at 22, compared to its 52-week range of 15 to 32 into President Trump State of Union Address.
Allergan (AGN) 30-day call option implied volatility is at 30, compared to its 52-week range of 19 to 42 into President Trump State of Union Address.
AbbVie (ABBV) 30-day call option implied volatility is at 28, compared to its 52-week range of 20 to 47 into President Trump State of Union Address.
Celgene (CELG) 30-day call option implied volatility is at 26, compared to its 52-week range of 22 to 57 into President Trump State of Union Address.
Biogen (BIIB) 30-day call option implied volatility is at 27, compared to its 52-week range of 22 to 46 into President Trump State of Union Address.
Mylan (MYL) 30-day call option implied volatility is at 39, compared to its 52-week range of 27 to 49 into President Trump State of Union Address.
Teva (TEVA) 30-day call option implied volatility is at 47, compared to its 52-week range of 31 to 76 into President Trump State of Union Address.
Bausch Health Co. Inc. (BHC) 30-day call option implied volatility is at 53, compared to its 52-week range of 34 to 82 into President Trump State of Union Address. Call put ratio 2.4 calls to 1 put.
Mallinckrodt (MNK) 30-day call option implied volatility is at 75, compared to its 52-week range of 42 to 120 into President Trump State of Union Address.

Increasing unusual call option volume: EL CARS TGE CARS EL INSY MYGN
Increasing unusual put option volume: NCR PBI GLUU MDLZ EAF OPK STM EL CRON
Options with decreasing option implied volatility: PCG KEM AMD SYMC TSLA SYMC CLX SYY HON MS RL
Active options: AAPL AMD CRON FB VALE BA NFLX ACB AMZN GOOGL SQ BP GILD MSFT BABA TSLA DIS TWTR GOOG BAC