Mid-session IV Report January 24, 2019

Mid-session IV Report January 24, 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: VOD HSY PAH GOOS XLP KO PFE GOOS VMW GOOS AAOI TTD ARNC OLED W QEP FSLR WMT HRL

Options with increasing volume: NXPI COG ADTN FFIV XLNX AVP TXT GRA FOLD MKC OILD PAH VAR MAS AVP GE PAH CL LVS

Intel (INTC) January weekly call option implied volatility is at 104, February is at 35; compared to its 52-week range of 19 to 45 into the expected release of EPS today after the close. Call put ratio 3.7 calls to 1 put with focus on February 50 calls.

Starbucks (SBUX) January weekly call option implied volatility is at 97, February is at 28; compared to its 52-week range of 15 to 35 into the expected release of EPS today after the close.

AbbVie (ABBV) January weekly call option implied volatility is at 97, March is at 32; compared to its 52-week range of 20 to 47 into the expected release of EPS before the open on January 25.

Air Products (APD) February call option implied volatility is at 24, March is at 21; compared to its 52-week range of 15 to 34 into the expected release of EPS before the open on January 25. Call put ratio 1 call to 2.6 puts.

Colgate-Palmolive (CL) January call option implied volatility is at 94, March is at 30; compared to its 52-week range of 15 to 38 into the expected release of EPS before the open on January 25.

Lear (LEA) February call option implied volatility is at 35, March is at 31; compared to its 52-week range of 21 to 46 into the expected release of EPS before the open on January 25.

Facebook (FB) January weekly call option implied volatility is at 39, February is at 45; compared to its 52-week range of 20 to 53 into the expected release of EPS on January 30.Call put ratio 2.3 calls to 1 put with focus on January weekly 145 and 146 calls.

Cabot Oil & Gas (COG) January weekly call option implied volatility is at 33, February is at 30; compared to its 52-week range of 26 to 49 with focus on February 25 calls on M&A chatter.

Symantec (SYMC) January weekly call option implied volatility is at 48, February is at 51; compared to its 52-week range of 23 to 65. Call put ratio 82 calls to 1 put with focus on January weekly 20.50 calls on renewed M&A reports.

Canada Goose (GOOS) January weekly call option implied volatility is at 59, February is at 83; compared to its 52-week range of 36 to 83. Call put ratio 1.5 calls to 1 put.

NXP Semiconductors (NXPI) January weekly call option implied volatility is at 45, February is at 47; compared to its 52-week range of 15 to 74. Call put ratio 1.3 calls to 1 put as shares rally 4.5%.

iShares 20+ Year Treasury Bond ETF (TLT) January weekly call option implied volatility is at 10, February is at 9; compared to its 52-week range of 8 to 16 into FOMC meeting. Call put ratio 10.8 calls to 1 put with focus on February 119 calls.

SPDR Gold Trust (GLD) January call option implied volatility is at 10, February is at 9; compared to its 52-week range of 9 to 14. China added gold to its foreign reserves last month for the first time in two years, combined with a continued paring in U.S. Treasury’s.

China and the U.S. will have in-depth talks on economic and trade issues when Chinese Vice Premier Liu He visits the U.S. next week, Reuters reports, citing the Chinese commerce ministry.

iPath S&P 500 VIX Short Term Futures ETN (VXX) and iPath S&P 500 VIX Mid-Term Futures ETN (VXZ) are scheduled to mature on January 30, 2019.

In anticipation of the final redemption date for the maturing VXX and VXZ, Barclays launched the iPath Series B S&P 500 VIX Short-Term Futures ETNs (VXXB) and the iPath Series B S&P 500 VIX Mid-Term Futures ETNs (VXZB) for those whom continue to track VIX futures moves. Both of the new Series B VIX ETNs will trade in parallel with the old VIX ETNs until the final redemption date of January 30, 2019.

https://barxis.barcap.com/file.app?action=shared&path=iPath/US/Press/VXXB-VXZB-press-release-docx.pdf

Increasing unusual call option volume: AVP ADTN GRA XLNX MKC FFIV MAS BKLN NCR TSM STM COG
Increasing unusual put option volume: FOLD PAH FFIV TXT AKS SPWR XLNX
Options with decreasing option implied volatility: TXN F LUV AAL URI TXT F TER TXN AAL CTXS LUV URI AAL FFIV JBLU STM F
Active options: GE MU FB NVDA INTC NFLX AAPL AMD F TSLA BAC FCX QCOM SQ BABA BMY AMZN LRCX XLNX AMAT