Mid-session IV Report November 5, 2018

Mid-session IV Report November 5, 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: AABA SEAS ET ALB XOG OXY BHC RL

Options with increasing volume: TRU FLO XENT AXL VST EWC LB F

CBOE Volatility Index (VIX) call put ratio 2.3 calls to 1 put with focus on November weekly traditional 20, 25 and 30 calls expiring November 21 into midterm elections. December 28 calls are active between the bid ask spreads. December 14 puts are the most active put strike.

Occidental Petroleum (OXY) November weekly call option implied volatility is at 58, November is at 42; compared to its 52-week range of 18 to 40 into expected release of EPS today after the closing bell.

Bausch Health (BHC) November weekly call option implied volatility is at 120, November is at 88, December is at 60; compared to its 52-week range of 34 to 88 into expected release of EPS before the open on November 6. Call put ratio 2 calls to 1 put with focus on November weekly 26 calls.

CVS Health (CVS) November weekly call option implied volatility is at 63, November is at 45, December is at 30; compared to its 52-week range of 21 to 36 into expected release of EPS before the open on November 6. Call put ratio 1 call to 2 puts with focus on November weekly 74.50 puts.

Devon Energy (DVN) November weekly call option implied volatility is at 83, November is at 63, December is at 45; compared to its 52-week range of 27 to 54 into expected release of EPS after the bell on November 6. Call put ratio 2.2 calls to 1 put.

EchoStar (SATS) November call option implied volatility is at 44, December is at 43; compared to its 52-week range of 18 to 45 into expected release of EPS after the bell on November 6.

Eli Lily (LLY) November weekly call option implied volatility is at 43, November is at 34, December is at 25; compared to its 52-week range of 14 to 31 into expected release of EPS before the open on November 6.

Expeditors (EXPD) November call option implied volatility is at 51, December is at 36; compared to its 52-week range of 15 to 46 into expected release of EPS before the open on November 6.

Tidewater (TDW) November call option implied volatility is at 77, December is at 62; compared to its 52-week range of 26 to 61 into expected release of EPS on November 6.

Wendy’s (WEN) November call option implied volatility is at 44, December is at 36; compared to its 52-week range of 21 to 48 into expected release of EPS after the bell on November 6.

Zillow Group (ZG) November call option implied volatility is at 106, December is at 68; compared to its 52-week range of 28 to 80 into expected release of EPS after the bell on November 6.

Ralph Lauren (RL) November weekly call option implied volatility is at 88, November is at 61, December is at 40; compared to its 52-week range of 23 to 49 into expected release of EPS before the open on November 6. Call put ratio 2.4 calls to 1 put with focus on November 135 calls.

Archer Danial Midland (ADM) November weekly call option implied volatility is at 54, November is at 39, December is at 26; compared to its 52-week range of 15 to 33 into expected release of EPS before the open on November 6. Call put ratio 3.9 calls to 1 put into EPS.

Disney (DIS) November weekly call option implied volatility is at 48, November is at 36, December is at 24; compared to its 52-week range of 15 to 35 into expected release of EPS on November 8. Call put ratio 4.8 calls to 1 put with focus on November weekly 115 calls.

Ulta (ULTA) November call option implied volatility is at 64, November is at 49, December is at 43; compared to its 52-week range of 25 to 50 into an investor day on November 8.

General Electric (GE) call put ratio 2 calls to 1 put with focus on November weekly 9.50 and 10 calls. November weekly 8.50, 9 and 9.50 puts are active. November weekly call option implied volatility is at 72, November is at 65, December is at 50; compared to its 52-week range of 20 to 59.

Apple (AAPL) call put ratio 1.3 calls to 1 put with focus on November weekly 200 calls and puts. November 200 and 210 puts are the most active strike on the board. November weekly 200 straddle priced for a move of $4.

Increasing unusual call option volume: AXL JKS SAGE CPE VST ANW SBAC JEC
Increasing unusual put option volume: XENT RAD EWC EXEL SYY THS
Options with decreasing option implied volatility: SYY GLNG BRK.B CRON WTW T FIT URBN PACB NWL EXTR
Active options: AAPL GE AMD BAC FB AMZN TSLA MSFT WFT NFLX BABA PBR MU CHK C IBM NVDA SQ X ATVI