Mid-session IV Report January 7, 2019

Mid-session IV Report January 7, 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: TSRO PCG BMRN MAT BCS ROKU HSBC

Options with increasing volume: USO DXC CELG PCG BMY LOXO TRU URA EUO BHC

Roku (ROKU) January weekly call option implied volatility is at 104, January is at 82, February is at 74; compared to its 52-week range of 44 to 122 into CES 2019 as shares rally 15%.

AT&T’s (T) January weekly call option implied volatility is at 24, January is at 25, February is at 24; compared to its 52-week range of 14 to 49 into CES 2019 keynote talk by John Donovan.

Twitter’s (TWTR) January weekly call option implied volatility is at 65, January is at 59, February is at 68; compared to its 52-week range of 35 to 91 into CES 2019 keynote talk by Jack Dorsey. Call put ratio 2.55 calls to 1 put with focus on January weekly 31 and 31.50 calls.

IBM (IBM) January weekly call option implied volatility is at 28, January is at 27, February is at 28; compared to its 52-week range of 13 to 42 into CES 2019 keynote talk by CEO Ginni Rometty.

AMD (AMD) January weekly call option implied volatility is at 100, January is at 84, February is at 85; compared to its 52-week range of 37 to 101 into CES 2019 keynote talk by CEO Dr. Lisa Su. Call put ratio 1.9 calls to 1 put as shares rally 4.6%.

Verizon (VZ) January weekly call option implied volatility is at 22, January is at 22, February is at 21; compared to its 52-week range of 13 to 35 into CES 2019 keynote talk by CEO Hans Vestberg.

Sony (SNE) January weekly call option implied volatility is at 34, January is at 33, February is at 35; compared to its 52-week range of 19 to 45 into CES 2019.

Qualcomm (QCOM) January weekly call option implied volatility is at 34, January is at 32, February is at 35; compared to its 52-week range of 39 to 53 into CES 2019. Call put ratio 2.2 calls to 1 put into CES 2019.

Intel (INTC) January weekly call option implied volatility is at 38, January is at 35, February is at 36; compared to its 52-week range of 19 to 45 into CES 2019.

Alibaba (BABA) January weekly call option implied volatility is at 44, January is at 40, February is at 44; compared to its 52-week range of 26 to 58 into CES 2019.

Procter & Gamble (PG) January weekly call option implied volatility is at 26, January is at 23, February is at 22; compared to its 52-week range of 13 to 30 into CES 2019.

Whirlpool (WHR) January weekly call option implied volatility is at 40, January is at 38, February is at 39; compared to its 52-week range of 22 to 48 into CES 2019.

PG&E Corp. (PCG) option implied volatility spikes as shares sell off 22%

PG&E Corp. (PCG) January weekly call option implied volatility is at 167, January is at 106, February is at 100; compared to its 52-week range of 23 to 202 after reports PG&E is considering filing for bankruptcy protection. Call put ratio 1 call to 4.8 puts with focus on February 18 puts as shares sell off 21%.

Philip Morris International (PM) January weekly call option implied volatility is at 34, January is at 30; compared to its 52-week range of 16 to 37 as shares sell off 2.6% as shares near 7 year lows.

Altria Group (MO) January weekly call option implied volatility is at 34, January is at 29; compared to its 52-week range of 17 to 39 as shares sell off 2.6%. Call put ratio 1 call to 1.5 puts as shares near 45-month lows.

Eli Lilly (LLY) January weekly call option implied volatility is at 26, January and February is at 27; compared to its 52-week range of 15 to 31 after acquiring Loxo Oncology (LOXO) for $235 per share in cash, or about $8B.

Loxo Oncology (LOXO) January call option implied volatility is at 9, February is at 8; compared to its 52-week range of 47 to 80 after Eli Lilly (LLY) announced acquiring for $235.00 per share in cash, or about $8B.

Increasing unusual option volume: DXC CELG PCG BMY LOXO TRU URA EUO PCG
Increasing unusual call option volume: TRU DXC URA CNQ OLLI AXL
Increasing unusual put option volume: DXC EUO VGK NVAX PFF EPD PCG NHTC ZAYO DRI
Options with decreasing option implied volatility: SAGE QEP LOXO CGC AMRN MGM BKLN DIS
Popular stocks with increasing volume: CELG LOXO BMY TSRO PCG BMRN MAT BCS ROKU USO AXLM VMW EBAY
Active options: AAPL AMD GE NFLX MU AMZN DXC TSLA NVDA T BABA BAC FB MSFT ROKU SQ CELG INTC PCG BMY