Mid-session IV Report November 28, 2018

Mid-session IV Report November 28, 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: JNPR NOK AKRX WDC IP JNPR STX PHM WDC HTZ BBBY

Options with increasing volume: CRM BBBY WMT FCX JNPR HTZ

Box (BOX) December call option implied volatility is at 82, January is at 64; 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 1.2 calls to 1 put.

Abercrombie & Fitch (ANF) November weekly call option implied volatility is at 240, December is at 94; compared to its 52-week range of 42 to 89 into the expected release of EPS before the open on November 29. Call put ratio 2.1 calls to 1 put.

Ambarrella (AMBA) November weekly call option implied volatility is at 199, December is at 77, January is at 60; compared to its 52-week range of 33 to 78 into the expected release of EPS after the market close on November 29. November weekly 33.50 straddle priced for a move of 19%. Call put ratio 10 calls to 1 put with focus on January 45 and 50 calls.

Big Lots (BIG) December call option implied volatility is at 52, January is at 41; compared to its 52-week range of 26 to 59 into the expected release of EPS before the open on November 29. Call put ratio 7.8 calls to 1 put with focus on January 42.50 calls.

Build-A-Bear Workshop (BBW) November weekly call option implied volatility is at 60, January is at 55; compared to its 52-week range of 40 to 82 into the expected release of EPS before the open on November 29.

Dollar Tree (DLTR) November weekly call option implied volatility is at 113, December is at 47; compared to its 52-week range of 22 to 50 into the expected release of EPS before the open on November 29.

Express (EXPR) December call option implied volatility is at 80, January is at 64; compared to its 52-week range of 40 to 105 into the expected release of EPS before the open on November 29. Call put ratio 1 call to 5.5 puts with focus on December 7 puts.

GameStop (GME) November weekly call option implied volatility is at 105, December is at 67; compared to its 52-week range of 32 to 85 into the expected release of EPS on November 29.

HP (HPQ) November weekly call option implied volatility is at 88, December is at 39; compared to its 52-week range of 17 to 43 into the expected release of EPS after the market close on November 29.

Palo Alto Network (PANW) November weekly call option implied volatility is at 118, December is at 50; compared to its 52-week range of 22 to 56 into the expected release of EPS on November 29. Call put ratio 2.7 calls to 1 put with focus on November weekly 177.50 calls.

Titan Machinery (TITN) December call option implied volatility is at 59, January is at 53; compared to its 52-week range of 35 to 73 into the expected release of EPS before the open on November 29.

Workday (WDAY) November weekly call option implied volatility is at 95, December is at 51; compared to its 52-week range of 27 to 60 into the expected release of EPS after the market close on November 29. Call put ratio 1.2 calls to 1 put.

Increasing unusual option volume: FTR XON CPRX AER AMX VNQ JEF HUN EXPD WRD KBR
Increasing unusual call option volume: XON FTR AER CPRX YPF RRR JNPR CHS EWW BAX DVA
Increasing unusual put option volume: FTR HUN EXPD WRD VNQ AER KBR PAGS AXTA TIF SJM
Popular stocks with increasing volume: JNPR CHS TIF DKS CRM HTZ
Options with decreasing option implied volatility: DKS TIF CRM WB BURL WB NTNX W GLD MSFT
Active options: AAPL AMD GE FB CRM BAC AMZN MSFT BABA TWTR NVDA NFLX X FTR MU BBBY TSLA WMT BA FCX