Mid-session IV Report October 15, 2018

Mid-session IV Report October 15, 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: TZA NFLX P SIRI ADBE OXY TXMD FTR NTRI PAH ARNC M MBI IBM UAL SLB HON

Options with increasing volume: S PFE AAL NBEV

Netflix (NFLX) October call option implied volatility is at 118, November is at 58; compared to its 52-week range of 23 to 67 into the expected release of EPS after the market close on October 16. October 332.50 straddle priced for a move of 10%. Call put ratio 1 call to 1 put with focus on October 335 calls and October 332.50 puts.

IBM (IBM) October call option implied volatility is at 59, November is at 31; compared to its 52-week range of 12 to 34 into the expected release of EPS after the market close on October 16. October 141 straddle priced for a move of 5%. Call put ratio 2.5 calls to 1 put with focus on October 140 and 142 calls.

United Continental (UAL) October call option implied volatility is at 68, November is at 40; compared to its 52-week range of 22 to 42 into the expected release of EPS after the market close on October 16. October 81 straddle priced for a move of 6.1%. Call put ratio 1 call to 2.14 puts with focus on October 80 puts and January 82.50 puts.

General Electric (GE) October call option implied volatility is at 53, November is at 46; compared to its 52-week range of 19 to 46 into the expected release of Q3 results on October 30. Call put ratio 1 to 1 with focus on October 13 calls and October 12 puts.

Lam Research (LRCX) October call option implied volatility is at 75, November is at 41; compared to its 52-week range of 25 to 54 into the expected release of EPS after the market close on October 16. October 142 straddle priced for a move of 6.3%.

Micron Technology (MU) October call option implied volatility is at 51, November is at 43; compared to its 52-week range of 34 to 63.

Utilities Sel Sect Spdr FD (XLU) October call option implied volatility is at 21, November is at 17; compared to its 52-week range of 11 to 21.

Db X-trackers Harvest Csi 300 China A – Shares Fund (ASHR) October call option implied volatility is at 37, November is at 28; compared to its 52-week range of 14 to 32 as shares trend lower.

Ishares Msci Emerging Markets Etf (EEM) October call option implied volatility is at 28, November is at 22; compared to its 52-week range of 12 to 28.

Increasing unusual call option volume: S LLNW BLK IAU IGV
Increasing unusual put option volume: HUBG EROS EMLC AU CL TEL DK UNFI EXC INFY ADI ENDP CENX
Popular stocks with increasing unusual: SIRI CGC PFE S AB INFY
Options with decreasing option implied volatility: BAC SCHW SHPG DVMT FOX EWZ SNAP WDC WFC BP BMY XLF
Active options: BAC AAPL PBR AMD GE GB BABA AMZN S C MSFT TSLA NVDA NFLX SNAP SQ MU CGC SIRI PFE