Mid-session IV Report November 26, 2018

Mid-session IV Report November 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: IMMU ECYT DLTR RSX GM AMBA IMMU QCOM CRM

Options with increasing volume: GM SCG CLR ADI PLT EWG GILD

General Motors (b) call put ratio 2.5 calls to 1 put with focus on November weekly 37.50 calls as shares rally 7% on restructuring

General Motors (GM) November weekly call option implied volatility is at 41, December is at 33; compared to its 52-week range of 20 to 44 after announcing the closure of five North America plants in 2019 and a cut in salaried staff.

Salesforce (CRM) November weekly call option implied volatility is at 79, December is at 49; compared to its 52-week range of 17 to 57 into the expected release of EPS after the market close on November 28.

At Home Group (HOME) December call option implied volatility is at 57, January is at 52; compared to its 52-week range of 37 to 80 into the expected release of EPS on November 27.

Cracker Barrel Old Country Store (CBRL) December call option implied volatility is at 30, January is at 25; compared to its 52-week range of 18 to 36 into the expected release of EPS before the open on November 27.

Hibbett Sports (HIBB) December call option implied volatility is at 77, January is at 60; compared to its 52-week range of 47 to 83 into the expected release of EPS before the open on November 27.

Box (BOX) December call option implied volatility is at 77, January is at 65; compared to its 52-week range of 32 to 82 into the expected release of EPS after the market close on November 28. Call put ratio 1 call to 2.9 puts with focus on November weekly 17 puts.

Burlington (BURL) November weekly call option implied volatility is at 68, December is at 41; compared to its 52-week range of 22 to 52 into the expected release of EPS before the open on November 28. Call put ratio 1 call to 30 puts with focus on January 75 puts.

Chicos (CHS) December call option implied volatility is at 69, January is at 51; compared to its 52-week range of 36 to 75 into the expected release of EPS before the open on November 28.

Dicks Sporting Goods (DKS) November weekly call option implied volatility is at 110, December is at 59; compared to its 52-week range of 36 to 75 into the expected release of EPS before the open on November 28. Call put ratio 1 call to 2.9 puts with focus on November 33 weekly puts.

J.M. Smucker (SJM) December call option implied volatility is at 36, January is at 31; compared to its 52-week range of 18 to 39 into the expected release of EPS on November 28.

J Jill (JILL) December call option implied volatility is at 83, January is at 70; compared to its 52-week range of 43 to 119 into the expected release of EPS before the open on November 28.

Tiffany (TIF) November weekly call option implied volatility is at 94, December is at 51; compared to its 52-week range of 16 to 51 into the expected release of EPS before the open on November 28.

Increasing unusual option volume: EWG DDM STLD ACHN MXEA PLT PFF EXPD CPRX
Increasing unusual call option volume: ADI VFC ACHN CPRX FD MST CMI MMM XLI EVRI NLY
Increasing unusual put option volume: EWG STLD CRC CLR PFF PSTG HRL NVO XME MBI GILD HRL
Popular stocks with increasing volume: AAL GM F INTC HRL CRM
Options with decreasing option implied volatility: UNG JPM MOMO SPY ADBE USO FDX BABA HAL SQ GOOGL
Active options: AAPL GE BAC FB NFLX AMD AMZN NVDA BABA TSLA MSFT PBR MU AAL JD C GM T F IN