Mid-session IV Report October 9, 2018

Mid-session IV Report October 9, 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: CSIQ EBAY BKLN TSLA PENN ALXN NWL COL ASHR AKRX VFC

Options with increasing volume: T EBAY PEIX PYX ST FAST KKR DLTR YUM TEVA

Fastenal (FAST) October call option implied volatility is at 56, November is at 35; compared to its 52-week range of 19 to 40 into the expected release of Q3 EPS before the market open on October 10. Call put ratio 1 call to 1.1 puts.

Delta Air Lines (DAL) October weekly call option implied volatility is at 49, October is at 35, November is at 29; compared to its 52-week range of 20 to 43 into the expected release of EPS on October 11. Delta Air Lines (DAL) weekly option implied volatility elevated, call put ratio 2.3 calls to 1 put into EPS and outlook

Walgreens Boots Alliance (WBA) October weekly call option implied volatility is at 57, October is at 37, November is at 28; compared to its 52-week range of 19 to 40 into the expected release of Q4 EPS before the market open on October 11. Call put ratio 1 call to 1.8 puts.

Citigroup (C) October weekly call option implied volatility is at 39, October is at 30, November is at 25; compared to its 52-week range of 16 to 32 into the expected release of Q3 EPS before the market open on October 12.

JP Morgan (JPM) October weekly call option implied volatility is at 31, October is at 25; compared to its 52-week range of 15 to 34 into the expected release of Q3 EPS before the market open on October 12.

PNC Financial (PNC) October weekly call option implied volatility is at 34, October is at 25, November is at 21; compared to its 52-week range of 16 to 33 into the expected release of Q3 EPS before the market open on October 12. Call put ratio 2.2 calls to 1 put.

Wells Fargo (WFC) October weekly call option implied volatility is at 41, October is at 29, November is at 23; compared to its 52-week range of 15 to 33 into the expected release of Q3 EPS before the market open on October 12. Call put ratio 3.7 calls to 1 put with focus on November 55 and 57.50 calls.

Hertz Global (HTZ) October call option implied volatility is at 69, November is at 81; compared to its 52-week range of 46 to 100 into the expected release of EPS on November 8. Call put ratio 24 calls to 1 put with focus on October 16 calls.

iShares MSCI Brazil (EWZ) October weekly call option implied volatility is at 48, October is at 41, November is at 40; compared to its 52-week range of 24 to 58. Call put ratio 1 call to 1.6 puts after sharp rally.

Petrobras (PBR) October weekly call option implied volatility is at 61, October is at 57, November is at 62; compared to its 52-week range of 30 to 75 after sharp rally.

Pyxus International (PYX) October call option implied volatility is at 296, November is at 202; compared to its 52-week range of 54 to 190 after recently mentioned as a speculative long by short seller Citron Research. Call put ratio 3.1 calls to 1 put with focus on October 50 and 55 calls as shares rally 17%.

Ford Motor (Ford Motor (F) call put ratio 1.7 calls to 1 put as shares sell off 2.5%

Increasing unusual option volume: ETR PEIX SRE SSNC CBLK PYK D IMGN XXII MRTX
Increasing unusual call option volume: ETR SRE SSNC PEIX D PYX IMGN LGCY XXI TRVN CDK
Increasing unusual put option volume: MRTX ST KKR ZNGA FMC SOXX HIG BYD CRSP IP PPG
Options with decreasing option implied volatility: TLRY EWZ TRI DVMT STZM COST DLTR SDS AMRN
Active options: AAPL AMD BAC TSLA GE FB BABA MU AMZN EBAY SNAP SQ T NFLX PBR MSFT AAL C SBUX TWTR