Mid-session IV Report January 11, 2019

Mid-session IV Report January 11, 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: TRLY FLEX CRBP IMGN CZR ATVI BBT D BUD HYG PCG IRBT

Options with increasing volume: MTN TLRY ATVI PCG SLB GM CZR

General Motors (GM) January weekly call option implied volatility is at 87, January is at 35, February is at 34; compared to its 52-week range of 20 to 45 after raises guidance. Call put ratio 1.7 calls to 1 put.

Caesars Entertainment (CZR) January weekly call option implied volatility is at 102, January is at 61, February is at 62; compared to its 52-week range of 30 to 83 after CNBC says Carl Icahn building stake. Call put ratio 3.1 calls to 1 put with focus on January 9 calls.

Citigroup (C) January call option implied volatility is at 44, February is at 33; compared to its 52-week range of 15 to 56 into the expected release of quarterly results before the open on January 14. Call put ratio 1.8 calls to 1 put.

JPMorgan (JPM) January call option implied volatility is at 33, February is at 23; compared to its 52-week range of 15 to 41 into the expected release of EPS before the open on January 15. Call put ratio 1 call to 1.4 puts with focus on February 95 puts.

Wells Fargo (WFC) January call option implied volatility is at 39, February is at 30; compared to its 52-week range of 16 to 45 into the expected release of EPS before the open on January 15. Call put ratio 1 call to 1.7 puts.

Delta (DAL) January call option implied volatility is at 44, February is at 34; compared to its 52-week range of 20 to 46 into the expected release of EPS before the open on January 15. Call put ratio 2.5 calls to 1 put.

Schwab (SCHW) January call option implied volatility is at 38, February is at 30; compared to its 52-week range of 22 to 45 into the expected release of EPS before the open on January 15.

Unitedhealth Group (UNH) January call option implied volatility is at 33, February is at 27; compared to its 52-week range of 14 to 40 into the expected release of EPS before the open on January 15. Call put ratio 2.3 calls to 1 put with focus on February 260 calls.

United Continental (UAL) January call option implied volatility is at 52, February is at 36; compared to its 52-week range of 22 to 48 into the expected release of EPS before the open on January 15. Call put ratio 2.7 calls to 1 put with focus on January 75 puts.

Tilray, Inc. (TLRY) February 100 calls active as shares rally 23%

Option implied volatility into North American International Auto Show

Johnson Controls (JCI) 30-day implied volatility is at 32, compared to its 52-week range of 20 to 44
Aptiv (APTV) 30-day implied volatility is at 30, compared to its 52-week range of 29 to 39
Cummins (CMI) 30-day implied volatility is at 26, compared to its 52-week range of 15 to 32
Autoliv (ALV) 30-day call option implied volatility is at 42, compared to its 52-week range of 20 to 51
BorgWarner (BWA) 30-day call option implied volatility is at 41, compared to its 52-week range of 23 to 48
Dana (DAN) 30-day call option implied volatility is at 50, compared to its 52-week range of 27 to 73
Delphi Technologies (DLPH) 30-day call option implied volatility is at 64, compared to its 52-week range of 23 to 78

Increasing unusual option volume: TLRY ATVI PCG SLB
Increasing unusual call option volume: CHS FTK BBL MTN SNV VER
Increasing unusual put option volume: CHS UBS SNV IMGN PCG WPX EWU
Options with decreasing option implied volatility: INFY CHS BHC M APHA IMGN EXPR GM M SNAP GM NIO KSS
Active options: NFLX AAPL GM GE AMD ATVI AMZN TLRY NVDA FB PCG BABA TSLA CGC MSFT BAC MU SQ SLB T