Mid-session IV Report July 5, 2018

Mid-session IV Report July 5, 2018

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: DPS SNAP LL FEYE SHAK EBAY SNE NXPI JNJ TSLA

Popular stocks with increasing unusual option volume: MDT IQ PBR

S&P Dep Receipts (SPY) volatility low into Fed Minutes release, June employment report and China tariff

S&P Dep Receipts (SPY) July weekly call option implied volatility is at 17, July is at 14, August is at 13; compared to its 52-week range of 7 to 35 into Fed Minutes release, June employment report and China Tariff uncertainty.

iShares China Large-Cap (FXI) July weekly call option implied volatility is at 37, July is at 25, August is at 24; compared to its 52-week range of 14 to 33 on trade tariff uncertainty. Call put ratio 1 call to 3.4 puts with focus on August 40 puts.

Amazon.com (AMZN) July weekly call option implied volatility is at 20, July is at 26, August is at 34; compared to its 52-week range of 18 to 52 into announced its top Prime Day deals across a range of private label selection from apparel and accessories to furniture, home decor and more, through July 17.

PepsiCo (PEP) July weekly call option implied volatility is at 21, July is at 20, August is at 18; compared to its 52-week range of 11 to 26 into the expected release of Q2 results before the open on July 10.

Delta Airlines (DAL) July weekly call option implied volatility is at 34, July is at 32, August is at 30; compared to its 52-week range of 22 to 44 into the expected release of Q2 results before the open on July 11.

Stocks with shares that are increasingly more difficult to borrow.

Helios and Matheson (HMNY) July call option implied volatility is at 600, August is at 500; shares are hard to borrow. Call put ratio 1 call to 4.88 puts.

Market Vectors Semiconductor (SMH) July call option implied volatility is at 25, August is at 26; compared to its 52-week range of 16 to 36. Call put ratio 1 call to 8.2 puts with focus on July 103 puts.

Frontier Communications (FTR) July call option implied volatility is at 83, August is at 100; compared to its 52-week range of 56 to 158 as shares are at low end of range. Call put ratio 3.6 calls to 1 put.

Himax (HIMX) July call option implied volatility is at 48, August is at 56; compared to its 52-week range of as shares are hard to borrow. HIMX call put ratio 3.3 calls to 1 put with focus on July 8 calls.

Gold Bear 3x (DUST) July weekly call option implied volatility is at 65, July is at 54, August is at 59; compared to its 52-week range of 53 to 103 as shares are hard to borrow. Call put ratio 2.7 calls to 1 put with focus on July weekly 23 calls.

Euro ETF (FXE) July weekly call option implied volatility is at 9, July and August is at 8; compared to its 52-week range of 6 to 10 on trade tariff uncertainty.

iQiyi (IQ) July weekly call option implied volatility is at 111, July and August is at 90; compared to its 52-week range of 57 to 121 as shares are hard to borrow.

D R Horton (DHI) July weekly call option implied volatility is at 40, July and August is at 40; compared to its 52-week range of 20 to 44.

Overstock com (OSTK) July weekly call option implied volatility is at 88, July and August is at 78; compared to its 52-week range of 48 to 127 as shares sell off 4.5%.

Axovant Sciences (AXON) July call option implied volatility is at 124, August is at 108; compared to its 52-week range of 74 to 445. Call put ratio 4.3 calls to 1 put.

Increasing unusual call option volume: TIVO DAR SAN ERJ MDT EPI ATUS MCK BIG AR ARCC CREE IDTI
Increasing unusual put option volume: APTV XLU BKS SOGO ERJ CS AVEO HIG MET MT IR
Options with decreasing option implied volatility: ERJ MU NKE INTC CLF WDC BAC NVDA SBUX SQ MA
Active options: TSLA MU AAPL BAC FB BABA GE T NFLX AMZN AMD MSFT MDT NVDA C IQ PBR TWTR JPM