Mid-Session IV Report June 26, 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: SDS SVXY VXX SPY BABA CPB NFLX AABA MA LVS CTRP GOOGL SPLK

Popular stocks with increasing unusual option volume: CPB LEN IQ NXPI SJM XLF WSM GE

General Electric (GE) June weekly call option implied volatility is at 39, July is at 35; compared to its 52-week range of 15 to 46 after announcing plan to spin off several units. Call put ratio 2.2 calls to 1 put with focus on June weekly 14 calls.

United States Oil Fund (USO) call put ratio 1 call to 1 put. U.S. Presses Allies to Cut Iran Oil Imports to Zero by Nov. 4 – Bloomberg.

Chipotle Mexican Grill (CMG) June weekly call option implied volatility is at 80, July is at 37; compared to its 52-week range of 21 to 48 into a scheduled special investor call on June 27.

Sonic (SONC) July call option implied volatility is at 45, August is at 36; compared to its 52-week range of 15 to 32 into the expected release of Q3 results today after market close. Call put ratio 1.3 calls to 1 put.

Bed Bath & Beyond (BBBY) June weekly call option implied volatility is at 157, July is at 68; compared to its 52-week range of 28 to 65 into the expected release of Q1 results on June 27.

Paychex (PAYX) July call option implied volatility is at 23, August is at 20; compared to its 52-week range of 15 to 32 into the expected release of Q4 results before the open on June 27.

CalAmp (CAMP) July call option implied volatility is at 36, August is at 29; compared to its 52-week range of 26 to 58 into the expected release of Q1 results after the market close on June 27.

General Mills (GIS) July call option implied volatility is at 34, August is at 29; compared to its 52-week range of 16 to 33 into the expected release of Q4 results before the market open on June 27.

Nike (NKE) June weekly call option implied volatility is at 67, July is at 31; compared to its 52-week range of 16 to 34 into the expected release of Q4 results on June 27.

Pier Imports (PIR) July call option implied volatility is at 85, August is at 81; compared to its 52-week range of 45 to 98 into the expected release of Q1 results after the market close on June 27.

iShares FTSE Xinhua China 25 Index (FXI) June weekly call option implied volatility is at 26, July is at 21; compared to its 52-week range of 14 to 33. Call put ratio 1.97 calls to 1 put as Yuan trends lower

Wisdomtree Chinese Yuan Strategy Fund (CYB) July and August call option implied volatility is at 12; compare to its 52-week range of 5 to 12 as Yuan trends lower.

Akamai Technologies (AKAM) June weekly call option implied volatility is at 55, July is at 22; compared to its 52-week range of 19 to 55 into a company hosted investor meeting today.

Harley-Davidson (HOG) call put ratio 1 call to 3 puts with focus on June weekly 40.50 puts

J. M. Smucker (SJM) July 115 calls active

Increasing unusual call option volume: SBGL FNV LEN BBD PBYI GTN AKAO SENS SONC TREE WING
Increasing unusual put option volume: INSM CVI TNDM EXR FOX DJX LEN DUST
Options with decreasing option implied volatility: APC UVXY DVAX SBUX XLE XOP DB IQ LNG RIG ERX KMI TRIP COF CTL
Active options: BAC GE AAPL MU BABA NFLX AMD NXPI TSLA FB NVDA INTC AMZN LEN C JPM MSFT T IQ