Mid-session IV Report November 19, 2018

Mid-session IV Report November 19, 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: CRM FB SQ AAPL ADBE TWLO HRL SQ ADBE TGT URBN BBY

Options with increasing volume: FB AAPL MU BHC MRK T ZTZ

Facebook (FB) November weekly call option implied volatility is at 45, December is at 39; compared to its 52-week range of 16 to 53 as shares trade at fresh 52-week low.

Micron (MU) 30-day option implied volatility index mean is at 54, compared to its 52-week range of 34 to 63 after WSJ report Apple (AAPL) cuts production on all 3 New iPhone models.

Qualcomm (QCOM) 30-day option implied volatility index mean is at 34, compared to its 52-week range of 19 to 52 into WSJ report Apple (AAPL) cuts production on all 3 New iPhone models.

Intel (INTC) 30-day option implied volatility index mean is at 30, compared to its 52-week range of 17 to 44 after WSJ report Apple (AAPL) cuts production on all 3 New iPhone models.

Urban Outfitters (URBN) November weekly call option implied volatility is at 114, December is at 59; compared to its 52-week range of 31 to 66 into the expected release of EPS today after the bell. Call put ratio 1 call to 1 put.

Target (TGT) call put ratio 1 calls to 1 put with focus on November weekly 80 calls and December 78 puts. November weekly call option implied volatility is at 65, December is at 35; compared to its 52-week range of 19 to 44 into the expected release of EPS before the bell on November 20. November weekly $79 straddle priced for a move of 5.8%.

Kohls (KSS) call put ratio 1 call to 1.6 puts with focus on November weekly 71.50 cals and November weekly 72 puts. November weekly call option implied volatility is at 101, December is at 50; compared to its 52-week range of 30 to 57 into the expected release of EPS before the bell on November 20. November weekly $71.50 straddle priced for a move of 8%.

Best Buy (BBY) call put ratio 1.9 calls to 1 put with focus on November weekly 65.50 calls and November weekly 65 puts. November weekly call option implied volatility is at 107, December is at 54; compared to its 52-week range of 24 to 61 into the expected release of EPS before the bell on November 20. November weekly 65.50 straddle priced for a move of 10%.

TJX (TJX) call put ratio 3 calls to 1 put with focus on December 50 and 52.50 calls. December call option implied volatility is at 31, January is at 27; compared to its 52-week range of 17 to 35 into the expected release of EPS before the bell on November 20. December 50 straddle priced for a move of 7%.

Analog Devices (ADI) November call option implied volatility is at 51, December is at 33; compared to its 52-week range of 18 to 42 into the expected release of EPS on November 20. Call put ratio 1 call to 3.8 puts.

Autodesk (ADKS) November weekly call option implied volatility is at 105, December is at 55; compared to its 52-week range of 23 to 56 into the expected release of EPS after the bell on November 20. Call put ratio 1 call to 2.3 puts.

Barnes & Noble (BKS) December call option implied volatility is at 59, January is at 55; compared to its 52-week range of 42 to 81 into the expected release of EPS before the bell on November 20. Call put ratio 1 call to 3 puts with focus on December 6 and 7 puts.

Campbell Soup (CPB) November weekly call option implied volatility is at 53, December is at 37; compared to its 52-week range of 20 to 52 into the expected release of EPS before the bell on November 20. Call put ratio 2.3 calls to 1 put.

Foot Locker (FL) December call option implied volatility is at 58, January is at 49; compared to its 52-week range of 31 to 79 into the expected release of EPS after the bell on November 20.

Ross Stores (ROST) December call option implied volatility is at 36, January is at 32; compared to its 52-week range of 18 to 44 into the expected release of EPS before the bell on November 20.

Energy Select Sector SPDR ETF (XLE) down 40c to $66.80. Call put ratio 1.8 calls to 1 put with focus on November weekly and December 67 calls. November weekly call option implied volatility is at 25, December is at 26; compared to its 52-week range of 12 to 30. WTI down $1 to $55.49. Natural Gas down 20c to $4.46

Increasing unusual call option volume: HST GLPI SCI KOLD ACHN IPH LPX
Increasing unusual put option volume: PGR MAT JBLU STZ XAU BJ ESV NYCB
Options with decreasing option implied volatility: FOXA JD AMRN
Active options: AAPL FB NVDA JD GE AMD BAC TSLA NFLX AMZN BABA MSFT SQ NIO MU VZ BHC MRK T STZ