Mid-session IV Report September 12, 2018

Mid-session IV Report September 12, 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: MU NLY BHC SNAP PM MO SKX PM BHC NVDA AMAT P NLY SKX IBM BMY LAM NVDA TIF STX ALL PVTL

Active options with increasing volume: MU TLRY SNAP STX

Micron (MU) September weekly call option implied volatility is at 66, September is at 78, October is at 55; compared to its 52-week range of 34 to 63 after downgraded to Neutral from Buy at Goldman Sachs. Micron is expected to release EPS on September 20. Call put ratio 1.8 calls to 1 put with focus on September weekly calls as shares at low end of seven-month range.

Apple (AAPL) September weekly call option implied volatility is at 42, September is at 30, October is at 24; compared to its 52-week range of 16 to 34 into Tim Cook unveiling iPhone and watch strategy for the next year. Call put ratio 1.9 calls to 1 put.

Geron Corp (GERN) September call option implied volatility is at 355, October is at 294; compared to its 52-week range of 62 to 305 into Johnson & Johnson’s (JNJ) subsidiary Janssen making a continuation decision under its 2014 collaboration agreement with Geron. Call put ratio 1 call to 2.4 puts.

Snap (SNAP) September weekly call option implied volatility is at 81, September is at 63, October is at 55; compared to its 52-week range of 36 to 97 as shares trend to record low. Call put ratio 1 call to 1.5 puts with focus on September weekly 9 puts as shares at record low.

FedEx (FDX) September weekly call option implied volatility is at 21, September is at 31, October is at 23; compared to its 52-week range of 16 to 34 after announces ground expands U.S. operations to six days per week.

Adobe (ADBE) September weekly call option implied volatility is at 66, September is at 40, October is at 31; compared to its 52-week range of 19 to 36 into the expected release of EPS after the market close on September 13. Call put ratio 2.7 calls to 1 put.

Kroger (KR) September weekly call option implied volatility is at 115, September is at 59, October is at 36; compared to its 52-week range of 22 to 48 into the expected release of EPS before the market open on September 13.

Dave & Busters (PLAY) September weekly call option implied volatility is at 125, September is at 69, October is at 46; compared to its 52-week range of 27 to 64 into the expected release of EPS on September 14.

Stocks that could be affected into Hurricane Florence

Home Depot (HD) September weekly call option implied volatility is at 23, September is at 20, October is at 18; compared to its 52-week range of 13 to 41.

Lowe’s (LOW) September weekly call option implied volatility is at 26, September is at 22, October is at 20; compared to its 52-week range of 16 to 42.

Generac Holdings (GNRC) September call option implied volatility is at 44, October is at 35; compared to its 52-week range of 22 to 49. Call put ratio 4 calls to 1 put.

BB&T Corp. (BBT) September call option implied volatility is at 17, October is at 18; compared to its 52-week range of 17 to 29.

Lumber Liquidators (LL) 30-day implied volatility is at 37, compared to its 52-week range of 35 to 81.

AIG (AIG) 30-day implied volatility is at 20, compared to its 52-week range of 15 to 58

Allstate (ALL) 30-day implied volatility is at 20, compared to its 52-week range of 14 to 30

Progressive (PGR) 30-day implied volatility is at 25, compared to its 52-week range of 16 to 34

Tilray, Inc. (TLRY) call put ratio 1.89 calls to 1 put with focus on September 105 calls as shares rally 7%.

Increasing unusual call option volume: VIAB NLSN ADTN NLY PVTL JBLU MRVL BHC AAL MU
Increasing unusual put option volume: GPS VTL KMI UAL SNAP MU
Popular stocks with increasing unusual option volume: SNAP MU TLRY SQ NXPI VIAB
Options with decreasing option implied volatility: F GME IEF ZS CORT GE XLE CLF
Active options: AAPL MU BAC SNAP AMD TSLA FB T NFLX AMZN BABA NVDA INTC TWTR MSFT TLRY AMAT SQ NXPI