Mid-session IV Report July 6, 2018

Mid-session IV Report July 6, 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: EBAY TBT NXPI ALB PVG DPS W SNAP ILMN DB RL

Popular stocks with increasing unusual option volume: VZ IQ TIVO BIIB UIS ERJ DB

Biogen (BIIB) weekly option implied volatility increases as shares rally 18% after Phase 2 BAN2401 study achieved statistical significance

Biogen (BIIB) July weekly call option implied volatility is at 137, July is at 34, August is at 33; compared to its 52-week range of 21 to 37 after the company’s Phase 2 BAN2401 study achieved statistical significance on key predefined endpoints evaluating efficacy at 18 months on slowing progression in a measure of Alzheimer’s Disease.

Bank of Ozarks (OZRK) July call option implied volatility is at 37, August is at 28; compared to its 52-week range of 22 to 37 into the expected release of Q2 results before the open on July 10.

PepsiCo (PEP) July weekly call option implied volatility is at 22, 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. Call put ratio of 2.5 calls to 1 put.

Nordstrom (JWN) July call option implied volatility is at 36, August is at 40; compared to its 52-week range of 29 to 62 into a company hosted investor meeting on July 10. Call put ratio 2.5 calls to 1 put with focus on July 55 calls.

General Mills (GIS) July call option implied volatility is at 23, August is at 22; compared to its 52-week range of 16 to 34 into a company hosted investor meeting on July 11. Call put ratio 1.2 calls to 1 put with focus on July 45 calls & July 42.50 puts

Delta Airlines (DAL) July weekly call option implied volatility is at 35, 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. Call put ratio 2.4 calls to 1 put.

Fastenal (FAST) July call option implied volatility is at 39, August is at 30; compared to its 52-week range of 21 to 43 into the expected release of Q2 results before the open on July 11. Call put ratio 4.5 call to 1 put.

Infosys (INFY) July call option implied volatility is at 40, August is at 28; compared to its 52-week range of 17 to 37 into the expected release of Q1 results before the open on July 12. Calls more active than puts.

Increasing unusual call option volume: VZ ERJ CARS ANW TIVO BTI UIS BIIB SHW
Increasing unusual put option volume: IQ ECA BIIB SDRL PSA AVEO
Options with decreasing option implied volatility: MO SLV GLD SPY HYG VXX FXI QCOM USO BIDU
Active options: BAC FB TSLA AMD NFLX AAPL BABA T MU AMZN TWTR F IQ NXPI MSFT NVDA VZ GE JPM