Mid-session IV Report October 12, 2018

Mid-session IV Report October 12, 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: UVXY PYX ROKU VXX VIX SPXU VIX WATT SNAP LVS COL SVU RAMP AIG XLE

Options expected to have increasing volume: JPM C WFC PNC

Option implied volatility at high end of range

S&P Dep Receipts (SPY) October weekly call option implied volatility is at 39, October is at 28, November is at 20; compared to its 52-week range of 7 to 34.

PowerShares QQQ Trust (QQQ) October weekly call option implied volatility is at 44, October is at 33, November is at 21; compared to its 52-week range of 11 to 31.

Ishares Russell 2000 Etf (IWM) October weekly call option implied volatility is at 41, October is at 27, November is at 22; compared to its 52-week range of 12 to 25. Call put ratio 1 call to 3 puts.

iPath S&P 500 VIX ST Futures ETN (VXX) October weekly call option implied volatility is at 233, October is at 144, November is at 112; compared to its 52-week range of 51 to 154.

Apple (AAPL) October weekly call option implied volatility is at 45, October is at 38, November is at 36; compared to its 52-week range of 16 to 41. EPS are expected on November 1. Call put ratio 1.35 calls to 1 put.

Straddle prices for stocks expected to report results the week of October 15

Bank of America (BAC) October 28.50 straddle priced for move of 4.7% into the expected release of Q3 EPS before the market open on October 15
J.B.Hunt Transport Services (JBHT) October 110 straddle priced for move of 5.5% into the expected release of EPS before the market open on October 15
Schwab (SCHW) October 48 straddle priced for move of 5.8% into the expected release of EPS before the market open on October 15
Adtran (ADTN) October 17 straddle priced for move of 10% into the expected release of EPS after the market close on October 16
Blackrock (BLK) October 417 straddle priced for move of 3% into the expected release of EPS before the market open on October 16
Comerica (CMA) October 85 straddle priced for move of 3.3% into the expected release of EPS before the market open on October 16
Cree (CREE) October 33.50 straddle priced for move of 11% into the expected release of EPS after the market close on October 16
CSX (CSX) October 69 straddle priced for move of 6.6% into the expected release of EPS after the market close on October 16
Domino’s Pizza (PZZA) October 52.50 straddle priced for move of 6% into the expected release of EPS before the market open on October 16
Goldman Sachs (GS) October 212.50 straddle priced for move of 5.8% into the expected release of EPS before the market open on October 16
Infosys (INFY) October 9.5 straddle priced for move of 10% into the expected release of EPS before the market open on October 16
Interactive Brokers (IBKR) October 50 straddle priced for move of 6.5% into the expected release of EPS before the market open on October 16
IBM (IBM) October 139 straddle priced for move of 5.8% into the expected release of EPS after the market close on October 16
Johnson & Johnson (JNJ) October 134 straddle priced for move of 3.7% into the expected release of EPS before the market open on October 16
Morgan Stanly (MS) October 43.50 straddle priced for move of 5% into the expected release of EPS before the market open on October 16
Netflix (NFLX) October 320 straddle priced for move of 9% into the expected release of EPS after the market close on October 16
United Continental (UAL) October 80 straddle priced for move of 7% into the expected release of EPS after the market close on October 16
United Health Group (UNH) October 257.50 straddle priced for move of 4.3% into the expected release of EPS before the market open on October 16

Increasing unusual option volume: VGK JNK EWA ESL REN HOME TXT ACRX IWF
Increasing unusual call option volume: ZAYO HOME PGR ESL AXDX GPRE SAGE REN EGO
Increasing unusual put option volume: VGX ACRX EWA JNK SPXS EQIX HDS SNBR
Popular stocks with increasing unusual: TWTR NFLX JPM C T
Options with decreasing option implied volatility: TLRY PBR EWZ BKLN NBEV DLTR AMRN EBAY LB
Cboe Bitcoin October futures up 47 to 6195