Mid-session IV Report January 8, 2019

Mid-session IV Report January 8, 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

Options with increasing volume: ABT ROKU ABT VZ EWZ

Delta (DAL) January weekly call option implied volatility is at 39, January is at 43, 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 9. Call put ratio 2.9 calls to 1 put.

PG&E Corp. (PCG) January weekly call option implied volatility is at 124, January is at 111, February is at 101; compared to its 52-week range of 23 to 202. Call put ratio 1 call to 1.9 puts.

iShares MSCI Brazil (EWZ) call put ratio 2.7 calls to 1 put with focus on March 44 and 46 calls

Roku (ROKU) January weekly call option implied volatility is at 100, January is at 84, February is at 74; compared to its 52-week range of 45 to 123 after Citron calls shares ‘uninvestable’.

Woodward (WWD) January call option implied volatility is at 44, February is at 22; compared to its 52-week range of 19 to 61 after mention in Dealreporter. January 75 and 80 calls are active.

Union Pacific (UNP) call put ratio 1.3 call to 1 put as shares rally 8% on management appointment.

Option implied volatility flat for restaurants, retailers and lodging companies that could be impacted by Government shutdown entering 3rd week

Chipotle Mexican Grill (CMG) 30-day option implied volatility is at 46, compared to its 52-week range of 24 to 51 as Government shutdown entering 3rd week.

Cheesecake Factory (CAKE) 30-day option implied volatility is at 34, compared to its 52-week range of 24 to 60 as Government shutdown entering 3rd week.

Nordstrom (JWN) 30-day option implied volatility is at 40, compared to its 52-week range of 28 to 62. Call put ratio 1 call to 2.9 puts.

Hyatt Hotels (H) 30-day option implied volatility is at 30, compared to its 52-week range of 19 to 37.

Marriott (MAR) 30-day option implied volatility is at 30, compared to its 52-week range of 18 to 40 as Government shutdown entering 3rd week.

Gilead (GILD) 30-day option implied volatility is at 34; compared to its 52-week range of 18 to 43. Call put ratio 2.2 calls to 1 put.

Increasing unusual option volume: IQ RCII ROKU UNP
Increasing unusual call option volume: PAGP NAK SHLX ADTN MAXR CVE WWD
Increasing unusual put option volume: CHS RCII TRGP SE FXY FOX
Options with decreasing option implied volatility: CGC OSTK AMRN MGM SRPT BKLN
Popular stocks with increasing volume: ABT ROKU
Active options: AAPL AMD GE FB AMZN NFLX NVDA MSFT BAC BABA T ROKU SQ MU CVE TWTR RCII IQ VZ