Mid-session IV Report January 15, 2019

Mid-session IV Report January 15, 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 IMGN BOIL JNK NEM ARNC CGC UNG TRIP

Options with increasing volume: PCG APRN CGC TLRY FCX CYH SNAP

PG&E Corp. (PCG) call put ratio 1 call to 3.9 puts with focus on January 5 and 6 puts as shares sell off 20%

PG&E Corp. (PCG) January call option implied volatility is at 235, February is at 158, June is at 106; compared to its 52-week range of 26 to 202 as shares sell off 28%. Call put ratio 1 call to 3.9 puts with focus on January 5 and 6 puts.

Edison Int’l (EIX) January call option implied volatility is at 38, February is at 33, July is at 29; compared to its 52-week range of 18 to 74 after PG&E Corp. (PCG) announces plans to file for bankruptcy. Call put ratio 1 call to 22 puts with focus on February 52.50 and 55 puts.

Sempra Energy (SRE) January call option implied volatility is at 19, February is at 19, July is at 19; compared to its 52-week range of 14 to 29. February 120 calls active.

Alcoa (AA) January call option implied volatility is at 81, 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 6.4 calls to 1 put.

Bank of America (BAC) January call option implied volatility is at 45, February is at 28; 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 2.4 calls to 1 put.

Bank of New York (BK) January call option implied volatility is at 52, February is at 30; 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 3.3 puts.

Blackrock (BLK) January call option implied volatility is at 47, February is at 27; 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 3 puts.

CSX (CSX) January call option implied volatility is at 64, 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 52, 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 call to 1.1 puts.

Kinder Morgan (KMI) January call option implied volatility is at 35, 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 1.6 calls to 1 put.

PNC (PNC) January call option implied volatility is at 36, February is at 26; 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 3.4 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 2.9 puts.

Arconic (ARNC) January call option implied volatility is at 67, February is at 33; compared to its 52-week range of 26 to 73 on Apollo Global near $21-$22 per share deal to take private, WSJ says. Call put ratio 1.8 calls to 1 put as shares rally 4%.

New Age Beverages (NBEV) January call option implied volatility is at 175, February is at 101; compared to its 52-week range of into hosting an investor conference call on January 16 to provide a special business update on a new relationship and material opportunity. Call put ratio 5.6 calls to 1 put.

Monster Beverage (MNST) January call option implied volatility is at 38, February is at 25; compared to its 52-week range of 19 to 43 into company hosted investor meeting on January 17. Call put ratio 10 calls to 1 put.

Domino’s Pizza (DPZ) January call option implied volatility is at 38, February is at 30; compared to its 52-week range of 20 to 45 into company hosted investor meeting on January 17. Call put ratio 1 call to 3.8 puts.

Blue Apron (APRN) January call option implied volatility is at 267, February is at 115; compared to its 52-week range 69 to 201 after reaffirming confidence in achieving profitability on an adjusted EBITDA basis in Q1 and for FY19.

Gilead Sciences (GILD) call put ratio 1.4 calls to 1 put as shares rally 1.3% on renewed M&A chatter.

Boston Scientific (BSX) January call option implied volatility is at 25, February is at 33; compared to its 52-week range of 17 to 44. Call put ratio 33 calls to 1 put with focus on January 36.50 calls as shares rally 3%.

PPG Industries (PPG) January 100 puts active as shares sell off 1.8%.

Bristol-Myers Squibb (BMY) call put ratio 2.5 calls to 1 put with focus on February 50 and March 55 calls.

Increasing unusual option volume: CYH HSIC VHC TXT GSKY PCG VNQ ABC R CCJ
Increasing unusual call option volume: VHC HSIC GSKY IR CCJ LQD ABC LOXO APRN
Increasing unusual put option volume: CYH TCT PCG VNQ MCO CORT ABC NLSN EQIX GES SSYS
Options with decreasing option implied volatility: C FIVE LULU ANF AEO BBBY QEP NIHD BHP CHS ACAD ARNC RESI
Active options: PCG FB AAPL BAC NFLX BABA AMD C MSFT GE JPM SQ AMZN NVDA CGC F TSLA CYH FCX TLRY