Mid-session IV Report September 28, 2018

Mid-session IV Report September 28, 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: UCO SAN GLW TSLA MRK ZOM EW SNAP CTRP XLF TMUS

Options with increasing volume: GE GS DB NVDA PBR TLRY VST

Tesla (TSLA) September weekly call option implied volatility is at 132, October is at 70, November is at 66; compared to its 52-week range of 32 to 71 after SEC sues Tesla CEO Elon Musk and into next week’s production and delivery numbers. Call put ratio 1 call to 1.3 puts with focus on October weekly 270 puts.

Proshares Ultra Short 20 Year Treasury ETF (TBT) October weekly call option implied volatility is at 19, October is at 18; compared to its 52-week range of 17 to 30 as mortgage rates near 7-year high.

J.C. Penney (JCP) October weekly call option implied volatility is at 87, October is at 86, November is at 98; compared to its 52-week range of 48 to 113 after CFO Jeffrey Davis to resigned. Call put ratio 1.4 calls to 1 put with focus on October and November 1.5 calls.

Workday (WDAY) October weekly and October call option implied volatility is at 30; compere to its 52-week range of 26 to 52 into a company hosted analyst day on October 2.

Ishares Msci Italy Capped Etf (EWI) October weekly call option implied volatility is at 34, October is at 25, November is at 22; compared to its 52-week range of 13 to 48 after politics induces financial crisis. Call put ratio 1 call to 11.5 puts.

Large Cap option implied volatility into last trading day of quarter
Apple (AAPL) 30-day option implied volatility is at 16; compared to its 52-week range of 15 to 34
Microsoft (MSFT) 30-day option implied volatility is at 23; compared to its 52-week range of 13 to 36
Facebook (FB) 30-day option implied volatility is at 29; compared to its 52-week range of 16 to 44
IBM (IBM) 30-day option implied volatility is at 14; compared to its 52-week range of 12 to 32
Netflix (NFLX) 30-day option implied volatility is at 48; compared to its 52-week range of 23 to 64
Alphabet (GOOGL) 30-day option implied volatility is at 28; compared to its 52-week range of 14 to 40
Alphabet (GOOG) 30-day option implied volatility is at 27; compared to its 52-week range of 14 to 39
Alibaba (BABA) 30-day option implied volatility is at 30; compared to its 52-week range of 25 to 43
Tesla (TSLA) 30-day option implied volatility is at 58; compared to its 52-week range of 32 to 71
Alibaba (BABA) 30-day option implied volatility is at 31; compared to its 52-week range of 25 to 43
Qualcomm (QCOM) 30-day option implied volatility is at 23; compared to its 52-week range of 53
Oracle (ORCL) 30-day option implied volatility is at 15; compared to its 52-week range of 13 to 35
Alphabet (GOOG) 30-day option implied volatility is at 27; compared to its 52-week range of 14 to 39

Increasing unusual option volume: GE FTV QCIN VST EVRI SIRI CNAT BTU VGR
Increasing unusual call option volume: VST EVRI SIRI LBTYA CNAT ADMP SAN
Increasing unusual put option volume: SIRI BTU TRVG VGR TRI SRCL BB AAOI DB
Popular stocks with increasing unusual volume: GE TSLA SNAP V NVDA DB
Options with decreasing option implied volatility: BB BBBY AMRN TGTX TLRY ATHN BBBY S JBL NKE ACN
Active options: TSLA BAC AAPL GE NVDA FB AMD AMZN C NFLX SNAP SQ MU TLRY BABA BB PBR FTV MSFT QCOM