Mid-session IV Report November 27, 2018

Mid-session IV Report November 27, 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: PCG X UTX BMY HIIQ NLY CRM X PCG ACHC BCS ORCL DG X

Options with increasing volume: AA CRM X AMRN AKRX USO NLY

PowerShares QQQ Trust (QQQ) November weekly call option implied volatility is at 30, December is at 25; compared to its 52-week range of 11 to 31 into auctions, Fed Chairman Jerome Powell address at the Economic Club of New York on November 28, FOMC minutes, G20 meeting on December 1 and OPEC meeting on December 6.

Proshares Ultra Short 20 Year Treasury ETF (TBT) November weekly call option implied volatility is at 19, December is at 17; compared to its 52-week range of 16 to 30 into auctions, Fed Chairman Jerome Powell address at the Economic Club of New York on November 28, FOMC minutes, G20 meeting on December 1 and OPEC meeting on December 6.

Salesforce (CRM) November weekly call option implied volatility is at 87, December is at 49; compared to its 52-week range of 17 to 57 into the expected release of EPS today after the market close. Call put ratio 3 calls to 1 put with focus on December 150 calls.

Alaska Air Group (ALK) December call option implied volatility is at 31, January is at 30; compared to its 52-week range of 23 to 39 into today’s company hosted investor meeting. Call put ratio 1.4 calls to 1 put.

AT&T (T) November weekly call option implied volatility is at 26, December is at 23; compared to its 52-week range of 14 to 31 into a company hosted analyst day on November 29.

Quest Diagnostics (DGX) 30 day option implied volatility is at 25; compared to its 52-week range of 15 to 29 into a company hosted investor day on November 29.

Health Insurance Innovations (HIIQ) December call option implied volatility is at 87, January is at 61; compared to its 52-week range of 47 to 113 as shares sell off 3.5% on Aurelius Value negative. Call put ratio 1 call to 13 puts with focus on December 30 puts.

General Electric (GE) call put ratio 1 call 4.1 puts with focus on December 7.5 and 8 puts

TESARO (TSRO) call put ratio 8 calls to 1 put with focus on January 45 calls

United Technologies (UTX) November weekly call option implied volatility is at 34, December is at 30; compared to its 52-week range of 13 to 30 after announcing split into 3 companies and updating guidance following Rockwell Collins (COL) deal.

Ishares Msci Mexico Capped Etf (EWW) November weekly call option implied volatility is at 47, December is at 41; compared to its 52-week range of 16 to 43 as shares trade near nine-year low. Call put ratio 1 call to 1 put as shares trade near nine-year low.

Increasing unusual option volume: NVRO R SAVE PRTA NGG FRO CPRX ING THS UHS HALO HRS
Increasing unusual call option volume: R ING FRO CPRX UHS ACHC ORLY HALO AA SAVE RUN CRM TSRO
Increasing unusual put option volume: AKS PRTA NVRO AR THS SAP X ESV SONO NFX FOSL DKS HIIQ GE
Popular stocks with increasing volume: AMRN X CRM AA
Options with decreasing option implied volatility: DVMT GME AMRN SPWR CGC USP NFLX PDD NVDA WFC DBX EWZ
Active options: AAPL GE AMD X FB BAC BABA AMZN NFLX MSFT NVDA AKS MU TSLA INTC CRM AA T GM AMRN