Mid-session IV Report October 1, 2018

Mid-session IV Report October 1, 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: AKRX AMRN IRDM CIEN DDD FFIV FOLD GPRO I LL SFIX PEP

Options with increasing volume: GE CSCO SQ TLRY AMRN BA SQ

Tesla (TSLA) October weekly call option implied volatility is at 77, October is at 59, November is at 65; compared to its 52-week range of 32 to 71. Call put ratio 1.1 calls to 1 put with focus on October weekly puts with focus on October weekly 300 calls and puts into production and delivery numbers.

General Electric (GE) call put ratio 1 call to 1 put with focus on October weekly ATM calls and puts. October weekly call option implied volatility is at 45, October is at 33; compared to its 52-week range of 19 to 46 as shares rally 9% on news H. Lawrence Culp, Jr. to succeed John Flannery as chairman & CEO.

Stitch Fix (SFIX) call put ratio 1.6 calls to 1 put with focus on October weekly 46, 47 calls and October 46 puts into the expected release of Q1 results today after the market close. October weekly call option implied volatility is at 184, October is at 98 November is at 85; compared to its 52-week range of 57 to 122. SFIX October weekly 46 straddle priced for a move of 15%.

PepsiCo (PEP) October weekly 112 straddle priced for move of 2.2% into the expected release of Q3 EPS before the market open on October 2. October weekly 112 and 113 calls are active. October 110 and 111 puts are active.

Canadian Pacific Railway (CP) October and November call option implied volatility is at 22; compared to its 52-week range of 16 to 30 into a company hosted analyst meeting on October 3.

New Age Beverages (NBEV) October all option implied volatility is at 311, November is at 266, December is at 221; compared to its 52-week range of 80 to 367 as shares rally 33%.

Akorn (AKRX) October weekly call option implied volatility is at 215, October is at 143, November is at 133; compared to its 52-week range of 13 to 246 after Delaware Chancery Court Judge Travis Laster ruled that Fresenius (FSNUY) has proper grounds for canceling its $34 per share buyout of the generic drugmaker.

Option implied volatility for auto stocks after NAFTA lifts stocks

Ferrari (RACE) 30-day implied volatility is at 26, compared to its 52-week range of 21 to 36
Tata Motors (TTM) 30-day implied volatility is at 37, compared to its 52-week range of 21 to 40
General Motors Co. (GM) 30-day implied volatility is at 26, compared to its 52-week range of 20 to 40
Toyota Motor Corp. (TM) 30-day implied volatility is at 17, compared to its 52-week range of 13 to 23
Honda Motor Co (HMC) 30-day implied volatility is at 19, compared to its 52-week range of 13 to 28
Fiat Chrysler (FCAU) 30-day implied volatility is at 37, compared to its 52-week range of 27 to 54
Tesla (TSLA) 30-day implied volatility is at 72, compared to its 52-week range of 31 to 72
Ford (F) 30-day implied volatility is at 28, compared to its 52-week range of 15 to 33

SPDR Gold Trust (GLD) October weekly, October and November call option implied volatility is at 9; compared to its 52-week range of 9 to 13 as shares at low end of 18-month range

Increasing unusual option volume: SESN CRMD SHPG AMRN CALM TRI BEL NBEV
Increasing unusual call option volume: SESN SHPG CRMD DXJ BEL IRDM BEL AMRN PAYX O
Increasing unusual put option volume: S AVEO VIAB INFN CALM AMRN NVAX TRI NBEV BKS
Options with decreasing option implied volatility: TSLA UUP SNAP TSLA
Active options: GE AAPL TSLA AMD BAC FB NVDA AMRN MU NFLX AMZN BABA PBR MSFT BA INTC SQ JPM GILD TLRY