Mid-session IV Report January 13, 2019

Mid-session IV Report January 13, 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: PCG WGO UNG NEM WDC ADNT ARNC BCS KEY YELP IMGN

Options with increasing volume: LYG USAT WGO CIM GG KEY GT BCS PIR YRCW

JPMorgan (JPM) January call option implied volatility is at 38, February is at 25; 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 1.7 calls to 1 put.

Wells Fargo (WFC) January call option implied volatility is at 45, February is at 28; 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 2.1 calls to 1 put.

Delta (DAL) January call option implied volatility is at 55, 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 1 call to 1.2 puts.

Schwab (SCHW) January call option implied volatility is at 43, February is at 29; 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 41, 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.

United Continental (UAL) January call option implied volatility is at 63, February is at 35; 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 1 call to 1.2 puts.

Alcoa (AA) January call option implied volatility is at 84, February is at 51; compared to its 52-week range of 31 to 64 into the expected release of EPS after the close on January 16. Call put ratio 2.1 calls to 1 put.

Bank of America (BAC) January call option implied volatility is at 46, February is at 30; compared to its 52-week range of 15 to 47 into the expected release of quarterly results before the open on January 16. Call put ratio 1 call to 1.3 puts.

Bank of New York (BK) January call option implied volatility is at 45, February is at 29; compared to its 52-week range of 16 to 39 into the expected release of quarterly results before the open on January 16. Call put ratio 1 call to 2.3 puts.

Blackrock (BLK) January call option implied volatility is at 43, February is at 26; compared to its 52-week range of 16 to 41 into the expected release of quarterly results before the open on January 16. Call put ratio 1 call to 1.8 puts.

CSX (CSX) January call option implied volatility is at 58, February is at 32; compared to its 52-week range of 17 to 49 after the close on January 16.

Goldman Sachs (GS) January call option implied volatility is at 49, February is at 31; compared to its 52-week range of 15 to 50 into the expected release of quarterly results before the open on January 16. Call put ratio 1.2 calls to 1 put.

Kinder Morgan (KMI) January call option implied volatility is at 34, February is at 24; compared to its 52-week range of 17 to 41 into the expected release of quarterly results before the open on January 16. Call put ratio 1 call to 2.2 put.

PNC (PNC) January call option implied volatility is at 39, February is at 29; compared to its 52-week range of 16 to 43 into the expected release of quarterly results before the open on January 16. Call put ratio 1.8 calls to 1 put.

U.S. Bancorp (USB) January call option implied volatility is at 36, February is at 25; compared to its 52-week range of 13 to 36 into the expected release of quarterly results before the open on January 16. Call put ratio 1 call to 15.5 puts with focus on January 47 puts.

Morgan Stanley (MS) January call option implied volatility is at 51, February is at 32; compared to its 52-week range of 18 to 50 into the expected release of quarterly results before the open on January 17. Call put ratio 1.9 calls to 1 put.

Netflix (NFLX) January call option implied volatility is at 110, February is at 57; compared to its 52-week range of 25 to 76 into the expected release of EPS after the close on January 17.

Tilray, Inc. (TLRY) January call option implied volatility is at 168, February is at 129; compared to its 52-week range of 68 to 314. Call put ratio 2.14 calls to 1 put as shares rally 5%.

Alibaba (BABA) January call option implied volatility is at 44, February is at 44; compared to its 52-week range of 26 to 58 into the expected release of EPS on January 30.

OPTIONS: Option Implied Volatility into North American International Auto Show

Option implied volatility into North American International Auto Show
Magna (MGA) 30-day implied volatility is at 32, compared to its 52-week range of 21 to 48
Delphi (DLPH) 30-day implied volatility is at 60, compared to its 52-week range of 23 to 78
BorgWarner (BWA) 30-day call option implied volatility is at 37, 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
American Axle (AXL) 30-day call option implied volatility is at 53, compared to its 52-week range of 31 to 69
Lear (LEA) 30-day call option implied volatility is at 37, compared to its 52-week range of 21 to 47
Visteon (VC) 30-day call option implied volatility is at 48, compared to its 52-week range of 22 to 63
Gentex (GNTX) 30-day call option implied volatility is at 33, compared to its 52-week range of 20 to 42
Genuine Parts (GPC) 30-day call option implied volatility is at 20, compared to its 52-week range of 15 to 37

Increasing unusual option volume: TLRY PCG GDS YETI AEG MAG BOOT ATHM
Increasing unusual call option volume: LYG RDC CIM USAT TSCO FHN
Increasing unusual put option volume: GDS WGO PKG USAT BOOT PCG BBT BPT ATHM RRC
Options with decreasing option implied volatility: ANF C GG LULU FIVE GG BBBY QEP BHP KBH
Active options: BAC AAPL C PCG GE MU FB BABA AMD AMZN NVDA MSFT NFLX TSLA JD SQ GG GM TLRY F