Mid-session IV Report July 5, 2019

Mid-session IV Report July 5, 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 over looked information.​
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Options with increasing option implied volatility: JNJ OSTK MKC WDC PFE IYR GSKY W DDD SSYS SHAK EA FEYE UAA ANET UA RL GRMN YUM​
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Popular stocks with increasing unusual volume: AABA TEVA FCX DIS AMRN​
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General Mills (GIS) July call option implied volatility is at 16, August is at 17; compared to its 52-week range of 18 to 38 into a company hosted investor meeting on July 9.​

PepsiCo (PEP) July weekly call option implied volatility is at 24, August is at 23; compared to its 52-week range of 13 to 30; into the expected release of quarterly results before the bell on July 9.​
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Levi (LEVI) July call option implied volatility is at 44, August is at 37; compared to its 9-week range of 31 to 54; into the expected release of quarterly results after the bell on July 9. Call put ratio 3.9 calls to 1 put with focus on July 22 calls. ​
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Wynn Resorts (WYNN) July weekly call option implied volatility is at 42, July is at 36, August is at 42; compared to its 52-week range of 28 to 72 into a company hosted investor day on July 10.​
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Teva (TEVA) July weekly (12) call option implied volatility is at 45, July is at 45, August is at 59; compared to its 52-week range of 29 to 68 after upgraded to Buy from Hold at Argus. Call put ratio 2 calls to 1 put with focus on August weekly 9.5 calls.​
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Amarin Corp. (AMRN) July weekly call option implied volatility is at 95, July is at 59, August is at 64; compared to its 52-week range of 55 to 429 as shares rally 1.8%. Call put ratio 2.9 calls to 1 put with focus on August weekly 21.50 calls. ​
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Electronic Arts (EA) July weekly call option implied volatility is at 98, July is at 41, August is at 42; compared to its 52-week range of 24 to 58 as shares sell off 5.6%. Call put ratio 1 call to 1 put.​
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United States Natural Gas (UNG) July weekly (12) call option implied volatility is at 30, July is at 30, August is at 32; compared to its 52-week range of 21 to 112 as shares rally 6%. Call put ratio 6.1 calls to 1 put with focus on July weekly 20.50 and January 20 calls.​
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Proshares Ultra Dj-ubs Natural Gas (BOIL) call put ratio 37 calls to 1 put with focus on July 14 calls as shares rally 9%​
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Proshares Ultrashort Dj-ubs Natural Gas (KOLD) call put ratio 19 calls to 1 put with focus on August 29 calls as shares sell off 9%​
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SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day call option implied volatility is at 32; compared to its 52-week range of 23 to 58 as shares near low end of 10-year range.​
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DCP Midstream (DCP) 30-day call option implied volatility is at 26; compared to its 52-week range of 22 to 66​
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Cheniere Energy (LNG) 30-day call option implied volatility is at 24; compared to its 52-week range of 23 to 48​
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Straddle prices for stocks expected to report quarterly results next week​
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Levi (LEVI) July 22 straddle priced for a move of 6.5% into the expected release of quarterly results after the bell on July 9. ​
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PepsiCo (PEP) July weekly 132 straddle priced for a move of 2.5% into the expected release of quarterly results before the bell on July 9.​
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WD-40 (WDFC) July 160 straddle priced for a move of 6% into the expected release of quarterly results after the bell on July 9.​
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Bed Bath and Beyond (BBBY) July weekly11.50 weekly straddle priced for a move of 14% into the expected release of quarterly results after the bell on July 10.​
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Delta (DAL) July weekly 58 straddle priced for a move of 3.5% into the expected release of quarterly results after the bell on July 11.​
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Fastenal (FAST) July 32.50 straddle priced for a move of 6.5% into the expected release of quarterly results before the bell on July 11.​
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Infosys (INFY) July 11 straddle priced for a move of 8% into the expected release of quarterly results before the bell on July 12.​
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Increasing unusual option volume: KPTI PAYX FCEL AABA NGL IGT​
Increasing unusual call option volume: KPTI PAYX SKT BWA AABA FCEL IGT ODP DK NCR ​
Increasing unusual put option volume: PAAS AABA PAYX HSIC MXEA SAP RIO AMP​
Options with decreasing option implied volatility: RAD BYND SRPT JKS AYI STZ HTZ NKE BB CZR AABA NRZ LEN ZM CGC​
Active options: AAPL FB TSLA BAC AMD MSFT NFLX AMZN NVDA AABA T MU TEVA SNAP FCX INTC DIS KPTI TWTR AMRN INTC GE​
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