Mid-session IV Report September 19, 2018

Mid-session IV Report September 19, 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: TLRY CRON MU FEYE NFLX MGM CGC SQ

Active options with increasing volume: TLRY CRON AAL SQ CRM LE HAS CGC FEYE MGM

CBOE Volatility Index (VIX) down 1.09 to 11.70 as rates trend higher

iPath S&P 500 VIX ST Futures ETN (VXX) down 1.13 to 26.94

Proshares Ultra Short 20 Year Treasury ETF (TBT) September call option implied volatility is at 22, October is at 20; compared to its 52-week range of 17 to 30 as Ten-year U.S. Treasury yields moved back above 3%, while the gap to two-year rates tightened, further squeezing the easy monetary conditions that have supported a decade-long rally in stocks. FOMC meeting September 25-26.

Cannabis stocks option implied volatility, volume and share price spike

Tilray, Inc. (TLRY) September weekly call option implied volatility is at 358, October is at 289; compared to its 52-week range of 68 to 206. Call put ratio 1.2 calls to 1 put. Shares rally 38%.

Cronus Corporation (CRON) September call option implied volatility is at 209, October is at 157; compared to its 52-week range of 71 to 164. Call put ratio 5.4 calls to 1 put with focus on September 13 and 14 calls. Shares up 14%.

Canopy Growth (CGC) September call option implied volatility is at 116, October is at 100; compared to its 52-week range of 57 to 104. Call put ratio 2.3 calls to 1 put. Shares up 4%.

Micron (MU) call put ratio 2.5 calls to 1 put with focus on September 45.50 & 46 calls into expected EPS release on September 20. September 46 straddle priced for move of 12%. September call option implied volatility is at 122, October is at 55; compared to its 52-week range of 34 to 63.

Tesla (TSLA) September call option implied volatility is at 69, October is at 63; compared to its 52-week range of 32 to 71. Call put ratio 1 call to 1.3 puts with focus on September 282 and 285 puts. September 295 calls most active strike on board. September OTM call option implied volatility at 71, September OTM puts at 91.

Geron Corp (GERN) September call option implied volatility is at 240, October is at 299; 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.

Increasing unusual call option volume: NBEV IGV TRI KBE XLB SPR AXTA USCR CRPT
Increasing unusual put option volume: KTOS EWA TRI EQT ADT VGR LNC IGV MEET MELI TBT SAP ATHN CC
Popular stocks with increasing unusual option volume: TLRY CRON AAL SQ CRM
Options with decreasing option implied volatility: ORCL AZO FDX ORCL GIS RACE VKTX AABA BABA AMZN
Active options: AAPL AMD BAC NFLX BABA TLRY MU AMZN CRON FB TSLA MSFT GM INTC AAL SQ CRM GE JPM C