Mid-session IV Report September 16, 2019​

Mid-session IV Report September 16, 2019​

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 over looked information.​
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Options with increasing option implied volatility: SCO UCO WLL ZYNE USO BP OILU WLL ORC DRIP​ PSX ERX XOP VLO DVN XOM AAL COP XLE DAL UAL HAL ICE MRO
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Popular stocks with increasing unusual volume: BP GOLD XOM RIG PBR HAL CHK​
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​Energy Select Sector SPDR ETF (XLE) September call option implied volatility is at 28, October is at 23; compared to its 52-week range of 15 to 41 after attacks on Saudi oil facility. Call put ratio 2.5 calls to 1 put with focus on September 63, 64, 65 calls and October 55 puts.

Apple (AAPL) September call option implied volatility is at 27, October is at 25, November is at 26; compared to its 52-week range of 16 to 46 into a pair of rulings scheduled for September 24 and the expected release of EPS on October 30. Call put ratio 1.5 call to 1 put with focus on September 220 calls.​
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Coca-Cola (KO) September call option implied volatility is at 16, October is at 19; compared to its 52-week range of 11 to 27 into an expected company hosted investor day today.​
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Rambus (RMBS) September call option implied volatility is at 43, October is at 37; compared to its 52-week range of 28 to 64 into an expected company hosted analyst day on September 17. Call put ratio 79 calls to 1 put with focus on October 14 calls. ​
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KLA-Tencor (KLAC) September call option implied volatility is at 45, October is at 33; compared to its 52-week range of 26 to 57 into an expected company hosted investor day on September 17. Call put ratio 5.5 calls to 1 put with focus on September 150 and 155 calls. ​
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MasterCraft Boat Holdings (MCFT) 30 day option implied volatility is at 59; compared to its 52-week range of 33 to 96 into an expected company hosted investor day on September 17.​
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Brooks Automation (BRKS) September call option implied volatility is at , October is at ; compared to its 52-week range of 35 to 64 into an expected company hosted investor day on September 17.​
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BlackLine (BL) September call option implied volatility is at 51, October is at 40; compared to its 52-week range of into an expected company hosted investor day on September 17. Call put ratio 18 calls to 1 put with focus on September 55 calls. ​
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CACI (CACI) 30 day call option implied volatility is at 26; compared to its 52-week range of 17 to 40 into an expected company hosted investor day on September 17.​
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Masco (MAS) September call option implied volatility is at 36, October is at 28; compared to its 52-week range of 19 to 48 into an expected company hosted investor day on September 17. Call put ratio 1 call to 5.8 puts with focus on September 42 puts.​
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Knowles (KN) September call option implied volatility is at 94, October is at 55; compared to its 52-week range of 26 to 73 into an expected company hosted analyst day on September 17. Call put ratio 1.1 calls to 1 put with focus on September 15 and 20 puts.​
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Zscaler (ZS) September call option implied volatility is at 60, October is at 52; compared to its 52-week range of 40 to 90 into an expected company hosted analyst day on September 17. September 47 puts are active. ​
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Navistar (NAV) September call option implied volatility is at 60, October is at 46; compared to its 52-week range of 33 to 64 into an expected company hosted investor day on September 19. Call put ratio 6.6 calls to 1 put with focus on September 29 calls. ​
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Seagate (STX) September call option implied volatility is at 39, October is at 33; compared to its 52-week range of 27 to 69 into an expected company hosted investor day on September 19. Call put ratio 1.3 calls to 1 put.​
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Adobe (ADBE) September call option implied volatility is at 53, October is at 33; compared to its 52-week range of 20 to 52 into the expected release of quarter results on September 17. Call put ratio 1.7 calls to 1 put. ​
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Apogee (APOG) September call option implied volatility is at 92, October is at 41; compared to its 52-week range of 24 to 59 into the expected release of quarter results before the bell on September 17. Call put ratio 2.7 calls to 1 put. ​
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Cracker Barrel (CBRL) September call option implied volatility is at 54, October is at 24; compared to its 52-week range of 17 to 34 into the expected release of quarter results before the bell on September 17. Call put ratio 1 call to 2.7 puts. ​
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FedEx (FDX) September call option implied volatility is at 56, October is at 32; compared to its 52-week range of 19 to 43 into the expected release of quarter results after the bell on September 17.​
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Chewy (CHWY) September call option implied volatility is at 127, October is at 66; compared to its 52-week range of 51 to 83 into the expected release of quarter results after the bell on September 17. Call put ratio 1.8 calls to 1 put with focus on October 25 calls. ​
September 18.​
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General Mills (GIS) September call option implied volatility is at 54, October is at 29; compared to its 52-week range of 18 to 39 into the expected release of quarter results before the bell on September 18.​
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United Natural Foods (UNFI) September call option implied volatility is at 77, October is at 75; compared to its 52-week range of 32 to 95 into the expected release of quarter results on September 18. Call put ratio 1 call to 11.6 puts with focus on October 12.50 puts. ​
September 19.​
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PayPal (PYPL) September call option implied volatility is at 32, October is at 30: compared to its 52-week range of 21 to 51 into the expected release of quarter results on October 16. ​
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General Motors (GM) September call option implied volatility is at 35, compared to a level of 24 from last week, October is at 27; compared to its 52-week range of 21 to 46 on a UAW contract dispute. Call put ratio 1 call to 4 puts with focus on September 37.50 and 39 puts. ​
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CNH Industrial (CNHI) September call option implied volatility is at 74, October is at 28; compared to its 52-week range of 24 to 58 after Bloomberg reported of activist investor Elliott taking stake. Call put ratio 597 calls to 1 put with focus on September 5, 7.5 and 12.5 calls. ​
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Whiting Petroleum (WLL) September call option implied volatility is at 122, October is at 101; compared to its 52-week range of 46 to 98 as WTI Crude oil trades above $60 after an air attack on a Saudi Arabian oil facility.​
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Centennial Resource Development (CDEV) 30 day call option implied volatility is at 91; compared to its 52-week range of 35 to 109 as WTI Crude oil trades above $60.​
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SM Energy (SM) 30 day option implied volatility is at 82; compared to its 52-week range of 44 to 88 as WTI Crude oil trades above $60. Call put ratio 2.4 calls to 1 put with focus on November 10 calls. ​
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Jagged Peak Energy (JAG) 30 day option implied volatility is at 58; compared to its 52-week range of 39 to 62 as WTI Crude oil trades above $60. Call put ratio 185 calls to 1 put with focus on October and January 7.5 calls. ​
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Option implied volatility flat into Federal Reserve policy meeting decision and outlook for future policy action on September 18. ​
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Increasing unusual option volume: LYG CDEV CERS BP SEMG ADT TRUE TOL VAL WTI BITA IGT JAG BL NAV CNHI​
Increasing unusual call option volume: LYG CDEV BP ADT TOL SEMG NCLH WTI IGT ​
Increasing unusual put option volume: VAL EPI AXSM BE CVM SCO NBL BOIL WLL​
Options with decreasing option implied volatility: ADVM AIMT RH ZS USAT ​
Active options: BP AAPL AMD BAC T AMZN NFLX CHK BABA MSFT GE TSLA ROKU GOLD FB XOM RIG GM PBR HAL ​
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