Mid-session IV Report October 4, 2018

Mid-session IV Report October 4, 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: CLDR BKS EL PYPL LLY GOOG

GOOGL TLT VXX MSFT GOOGL ATVI NBEV SNAP WTW W BKS PBR FEYE CRUS FIT

Options with increasing volume: DAL XLV PIR NBEV HIMX JD STZ ZNGA LOW AMRN HD DAL MFC

S&P Dep Receipts (SPY) October weekly call option implied volatility is at 14, October is at 10, November is at 11; compared to its 52-week range of 7 to 34 into September employment report. Call put ratio 1 call to 1.85 puts.

PowerShares QQQ Trust (QQQ) October weekly call option implied volatility is at 21, October is at 16, November is at 17; compared to its 52-week range of 11 to 30 into September employment report. Call put ratio 1 call to 2.2 puts.

Apple (AAPL) October weekly call option implied volatility is at 29, October is at 24, November is at 26; compared to its 52-week range of 16 to 34 into expected EPS release in late October. Call put ratio 1.6 calls to 1 put with focus on October weekly 230 and 232.50 calls. On the put side October weekly, October and November 230 puts are active.

Costco (COST) October weekly call option implied volatility is at 58, October is at 25, November is at 22; compared to its 52-week range of 15 to 33 into the expected release of Q4 results today after the market close. Call put ratio 1.1 call to 1 put with a focus on October weekly 235, 237.50 and November 250 calls. October weekly 230 and 232 puts are active. October 232.50 straddle priced for a move of 2.4%.

Snap (SNAP) October weekly call option implied volatility is at 81, October is at 57; compared to its 52-week range of 36 to 97 after Citi cut its price target to $7, and keeps a Sell rating on the social media company. Call put ratio 1 call to 1.6 puts with focus on October 7.5 and 8 puts. On the call side October weekly and October 8 calls are active.

General Motors (Mid-session IV Report October 4, 2018) October weekly call option implied volatility is at 31, October is at 28, November is at 30; compared to its 52-week range of 20 to 40. Call put ratio 2.8 calls to 1 put with focus on October weekly 34.50 and 35 calls.

Delta Air Lines (DAL) October weekly call option implied volatility is at 33, October is at 30, November is at 27; compared to its 52-week range of 20 to 43 into the expected release of EPS on October 9. Call put ratio 1 call to 7.6 puts with focus on December 48 and 52.50 puts.

Bank IV into September employment report

Goldman Sachs (GS) October weekly call option implied volatility is at 25, October is at 23, November is 22; compared to its 52-week range of 16 to 34. Call put ratio 3.7 calls to 1 put with focus on weekly 230 calls.

JP Morgan (JPM) October weekly call option implied volatility is at 23, October is at 24; compared to its 52-week range of 15 to 34 September employment report. Call put ratio 4.7 calls to 1 put with focus on October weekly 116 and 117 calls.

Morgan Stanley (MS) October weekly call option implied volatility is at 28, October is at 24; compared to its 52-week range of 18 to 34. Call put ratio 2.5 calls to 1 put with focus on October weekly 48 calls.

Financial Select Sector SPDR ETF (XLF) October weekly call option implied volatility is at 22, October is at 19, November is at 17; compared to its 52-week range of 13 to 28. Call put ratio 8.8 calls to 1 put with focus on October weekly 28 and 28.50 calls.

Utilities Sel Sect Spdr FD (XLU) October weekly call option implied volatility is at 24, October is at 16, November is at 14; compared to its 52-week range of 11 to 21.

Increasing unusual option volume: DAL JD STZ ZNGA LOW AMRN HD DAL MFC
Increasing unusual call option volume: ZNGA XAU TEX CVI BKS XLRE INFO INDA
Increasing unusual put option volume: MFC HDP VGK TBT HIIQ TBT DK XLV
Options with decreasing option implied volatility: STZ SRPT HPQ NXPI NLY ARCC TNDM
Active options: AAPL BAC BABA AMD FB AMZN SNAP MSFT NFLX MU JPM NVDA TSLA DAL GE JD STZ C AMRN HD