Mid-session IV Report October 3, 2018

Mid-session IV Report October 3, 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: CENX EXAS AA AMD OLED NBEV ACAD WTW LL W SNAP PBR YELP SHAK

Options with increasing volume: ITUB TLRY GM JACK BB

AMD (AMD) October weekly 26, 26.50, 27, and 28 puts are active. October weekly call option implied volatility is at 106, October is at 74, November is at 82; compared to its 52-week range of 36 to 100. October weekly 27 straddle price for move of 7%. Call put ratio 1.4 calls to 1 put with focus on October weekly 27, 27.50 and 28 calls.

Apple (AAPL) October weekly call option implied volatility is at 25, October is at 21; compared to its 52-week range of 16 to 34 as shares traded a fresh record high. October weekly 232.50 and 235 calls active.

General Electric (GE) October weekly call option implied volatility is at 44, October is at 36, October is at 33; compared to its 52-week range of 19 to 46. Call put ratio 1.6 calls to 1 put with focus on October weekly 12.5 and 13 calls. On the put side, October weekly 11.50 and 12 puts are active.

Tesla (TSLA) October weekly call option implied volatility is at 57, October is at 53, November is at 64; compared to its 52-week range of 32 to 71 into expected release of quarterly EPS on October 30. Call put ratio 1.2 calls to 1 put with focus on October weekly 305 and October 300 calls. On the put side October weekly 295, and 300 puts are active.

Costco (COST) October weekly call option implied volatility is at 43, October is at 22, November is at 18; compared to its 52-week range of 15 to 33 into the expected release of Q4 results on October 4. Call put ratio 1 call to 1.3 puts with a focus. October weekly 220, 230 and 235 puts are active. October 237.50 straddle priced for a move of 2.5%.

Constellation Brands (STZ) October weekly call option implied volatility is at 65, October is at 29, November is at 22; compared to its 52-week range of 15 to 37 into the expected release of Q2 results on October 4. October 212.50 straddle priced for a move of 4.5%. Call put ratio 1 call to 2.4 puts with focus on October weekly and October 210 puts.

ConocoPhillips (COP) October weekly call option implied volatility is at 25, October is at 22, November is at 23; compared to its 52-week range of 19 to 36 as WTI oil trades above $75.
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BP plc (BP) October weekly call option implied volatility is at 17, October is at 16, November is at 19; compared to its 52-week range of 13 to 37.

Occidental Petroleum (OXY) October weekly call option implied volatility is at 20, October is at 19, November is at 21; compared to its 52-week range of 14 to 34. Call put ratio 1 call to 3.7 puts as WTI crude trades above $75.

General Motors (GM) call put ratio 3.5 calls to 1 put with focus on October weekly 34.50 and 35 calls after announcing a partnership with Honda (HMC) on autonomous vehicles. GM October weekly call option implied volatility is at 29, October and November is at 27; compared to its 52-week range of 20 to 40.

Brazilian option implied volatility into elections
iShares MSCI Brazil (EWZ) 30-day call option implied volatility is at 58, compared to its 52-week range of 24 to 59
Banco Bradesco (BBD) 30-day call option implied volatility is at 58, compared to its 52-week range of 29 to 67
Gerdau SA (GGB) 30-day call option implied volatility is at 53, compared to its 52-week range of 32 to 58
Vale (VALE) 30-day call option implied volatility is at 46, compared to its 52-week range of 30 to 46
Embraer (ERJ) 30-day call option implied volatility is at 40, compared to its 52-week range of 27 to 72
Itau Unibanco (ITUB) 30-day call option implied volatility is at 56, compared to its 52-week range of 27 to 60
Petrobras (PBR) 30-day call option implied volatility is at 80, compared to its 52-week range of 30 to 75

Increasing unusual option volume: IGT CENX TRVN DTEA EW TRQ PTCT WLK IMMU AA JACK TRI SFIX KRE SWN
Increasing unusual call option volume: BB JACK IGT ITUB WLK TRVN DTEA AA GM
Increasing unusual put option volume: CENX BYD EDU FMC DK TDC HDP
Options with decreasing option implied volatility: AKRX INSM ATHN BB CAN FTV
Active options: AAPL AMD INTC BAC FB BABA GE PBR GM NVDA TSLA AMZN NFLX MU SQ MSFT JPM BA ITUB TLRY