Mid-session IV Report November 14, 2018

Mid-session IV Report November 14, 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: UNG PCG NFLX SQ DVMT WMT

Options with increasing volume: HZNP CL MDB AMRN SBUX ECA

S&P Dep Receipts (SPY) option implied volatility increases as stocks trend lower

S&P Dep Receipts (SPY) November call option implied volatility is at 27, December is at 19; compared to its 52-week range of 8 to 34 into Robert S. Kaplan, president and CEO of the Dallas Fed, will discuss national and global economic issues with Jerome H. Powell, chairman of the Board of Governors of the Federal Reserve System.

Financial Select Sector SPDR ETF (XLF) call put ratio 1 call to 1.3 puts. Rep. Maxine Waters, likely head of the House Financial Services Committee when the new Congress convenes in January, said today according to CNBC: “Make no mistake, come January, in this committee the days of this committee weakening regulations and putting our economy once again at risk of another financial crisis will come to an end.”

Citigroup (C) November call option implied volatility is at 37, December is at 29; compared to its 52-week range of 16 to 33. Call put ratio 1 call to 2.8 puts with focus on November 63.50 and 64 puts.

Walmart (WMT) November 104 puts are active. November call option implied volatility is at 73, December is at 29; compared to its 52-week range of 15 to 38 into the expected release of EPS before the open on November 15. November 103 straddle priced for a move of 4.4%. Call put ratio 1.4 calls to 1 put with focus on November 104 and 105 calls.

J.C. Penney (JCP) November call option implied volatility is at 332, December is at 124; compared to its 52-week range of 59 to 115 into the expected release of EPS before the open on November 15. Call put ratio 1.7 calls to 1 put.

NVIDIA (NVDA) November call option implied volatility is at 164, December is at 64; compared to its 52-week range of 25 to 86 into the expected release of EPS after the bell on November 15.

Nordstrom (JWN) call put ratio 1 calls to 1.9 puts with focus on November 63.50 puts.

November call option implied volatility is at 147, December is at 49; compared to its 52-week range of 28 to 62 into the expected release of EPS after the close on November 15. November 64.50 straddle priced for a move of 11%.

PG&E Corp. (PCG) November call option implied volatility is at 173, December is at 88, January is at 73; compared to its 52-week range of 18 to 82. Call put ratio 1 call to 2.9 puts with focus on November 24, 25, and 26 puts.

MongoDB (MDB) November call option implied volatility is at 95, December is at 74; compared to its 52-week range of 41 to 79. Call put ratio 43 calls to 1 put with focus on November 75 and 80 calls on unconfirmed takeover chatter.

Increasing unusual call option volume: NIHD DOX LIVN HZNP AGO GOOS SYK BZH PE
Increasing unusual put option volume: AR VNQ MDRX CF CL UNG PAAS PCG SVMK
Options with decreasing option implied volatility: GOOS M TLRY CGC UCO TLRY USO KSS
Active options: GE AAPL PBR BABA FB AMZN AMD NFLX MSFT BAC DISCA NVDA M AMRN ECA SBUX TSLA MU HD SQ