Mid-session IV Report October 5, 2018

Mid-session IV Report October 5, 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: SPY QQQ RUT VIX VXX EBAY TSLA GE NWL TSLA

Options with increasing volume: HSY TLRY SQ RMBS COST BBD RSX EWZ PBR TSLA

VIX up 7% to 15.22. Call put ratio 3 calls to 1 put.

General Electric (GE) October weekly call option implied volatility is at 39, October is at 35, November is at 37; compared to its 52-week range of 19 to 46 into the expected release of Q3 results on October 25. Call put ratio 1 call to 1 put with focus on October 13 calls and puts.

Hershey Foods (HSY) October weekly call option implied volatility is at 18, October is at 19, November is at 22; compared to its 52-week range of 14 to 36 into the expected release of EPS on October 25. Call put ratio 15.7 calls to 1 put with focus on October 105 and 106 calls.

Brazil option implied volatility elevated into elections

iShares MSCI Brazil (EWZ) October weekly call option implied volatility is at 65, October is at 57, November is at 54; compared to its 52-week range of 24 to 58 into Brazil general elections to be held on October 7. Call put ratio 2.4 calls to 1 put with focus on October 36 calls.

Petrobras (PBR) October weekly call option implied volatility is at 91, October is at 83, November is at 78; compared to its 52-week range of 30 to 75 into Brazil general elections on October 7. Call put ratio 42 calls to 1 put with focus on October 16 and 17 calls.

Banco Bradesco (BBD) October weekly call option implied volatility is at 71, November is at 73; compared to its 52-week range of 29 to 67 into Brazil general elections on October 7. Call put ratio 1 call to 1 put.

Itau Unibanco (ITUB) October call option implied volatility is at 55, November 54; compared to its 52-week range of 27 to 60 into Brazil general elections on October 7. Call put ratio 16 calls to 1 put.

Gerdau SA (GGB) October call option implied volatility is at 49, November is 51; compared to its 52-week range of 32 to 58 into Brazil general elections on October 7. Call put ratio 4 calls to 1 put.

Vale (VALE) October weekly call option implied volatility is at 54, October is at 51, November is at 50; compared to its 52-week range of 30 to 46 into Brazil general elections on October 7. Call put ratio 3.2 calls to 1 put.

Embraer (ERJ) October call option implied volatility is at 42, November is at 44; compared to its 52-week range of 27 to 72 into Brazil general elections on October 7. Call put ratio 20 calls to 1 put.

Increasing unusual option volume: JBGS SGH PRTY BKS INDA GOV CP PLX BREW
Increasing unusual call option volume: BKS SGH GTXI CP NTRS GOV PRTY INFO CNI PBR
Increasing unusual put option volume: INDA TSS MFC UN ATHM ADI PENN ITCI BGS TRN CYBR