Mid-session IV Report October 16, 2018

Mid-session IV Report October 16, 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: NFLX UAL TWLO AKRX CRNO MDXG ENDP IGT CRON IBM

Options with increasing volume: QCOM GM IRWD SNDR DPZ AB FHN IGT

‎Cannabis stock option implied volatility into Canada legalization on October 17

Canopy Growth (CGC) October call option implied volatility is at 122, October is at 98; compared to its 52-week range of 57 to 109. Call put ratio 2.7 calls to 1 put.

Cronus Corporation (CRON) October call option implied volatility is at 115, November is at 97; compared to its 52-week range of 71 to 166. Call put ratio 2.8 calls to 1 put.

Tilray, Inc. (TLRY) October call option implied volatility is at 180, November is at 150; compared to its 52-week range of 68 to 313. Call put ratio 1.8 calls to 1 put.

United Continental (UAL) October call option implied volatility is at 67, November is at 37; compared to its 52-week range of 22 to 42 into the expected release of EPS today after the market close. Call put ratio 1 call to 1.8 puts into EPS.

Netflix (NFLX) October call option implied volatility is at 130, November is at 54; compared to its 52-week range of 23 to 67 into the expected release of EPS today after the market close. Call put ratio 1.5 calls to 1 put with focus on October 340 and 345 calls. October 340 straddle priced for a move of 10.2%.

IBM (IBM) October call option implied volatility is at 60, November is at 26; compared to its 52-week range of 12 to 34 into the expected release of EPS today after the close. IBM (IBM) call put ratio 1.65 calls to 1 put.

Lam Research (LRCX) October call option implied volatility is at 74, November is at 41; compared to its 52-week range of 25 to 54 into the expected release of EPS today after the market close. October 145 straddle priced for a move of 5.5%. Call put ratio 4.5 calls to 1 put into EPS and outlook.

Adtran (ADTN) October call option implied volatility is at 106, November is at 47; compared to its 52-week range of 23 to 54 into the expected release of EPS today after the close.

Cree (CREE) October call option implied volatility is at 120, November is at 55; compared to its 52-week range of 28 to 71 into the expected release of EPS today after the market close. Call put ratio 6.5 calls to 1 put into EPS and outlook.

CSX (CSX) October call option implied volatility is at 67, November is at 31; compared to its 52-week range of 17 to 39 into the expected release of EPS today after the market close. Call put ratio 11 calls to 1 put into EPS and outlook.

Abbott Laboratories (ABT) October call option implied volatility is at 44, November is at 24; compared to its 52-week range of 14 to 28 into the expected release of EPS before the open on October 17. Call put ratio 5 calls to 1 put with focus on October and November 70 calls.

Alcoa (AA) October call option implied volatility is at 83, November is at 49; compared to its 52-week range of 31 to 52 into the expected release of EPS on October 17.

Athenahealth (ATHN) October call option implied volatility is at 44, November is at 44; compared to its 52-week range of 26 to 60 into the expected release of EPS on October 17.

Northern Trust (NTRS) October call option implied volatility is at 53, November is at 30; compared to its 52-week range of 17 to 35 into the expected release of EPS before the open on October 17.

Steel Dynamics (STLD) October call option implied volatility is at 55, November is at 35; compared to its 52-week range of 25 to 71 into the expected release of EPS before the open on October 17.

Winnebago (WGO) October call option implied volatility is at 126, November is at 62; compared to its 52-week range of 33 to 71 into the expected release of EPS before the open on October 17.

Increasing unusual call option volume: QCOM SSNC DXC SBGL WERN ENR TPR CMR BSX MMP IGT
Increasing unusual put option volume: GM NEWR IGV UNFI FHN GWW EWH DPZ PVTL
Popular stocks with increasing unusual: QCOM GM CRON TLRY CGC
Options with decreasing option implied volatility: OMC DPZ UNH GWW WMT PGR ADBE UNH GS MS GWW JNJ
Active options: BAC MU AAPL TSLA FB GE GM CGC NFLX CRON AMZN MSFT SNAP