Mid-session IV Report September 3, 2018

Mid-session IV Report September 3, 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: TECK CZR AAPL TLRY BKS GLUU HYG HIMX DNR CPB

Options expected to have increasing volume: JD LE RH WDAY F

JD.com (JD) September weekly call option implied volatility is at 29, September is at 32; compared to its 52-week range of 26 to 60 into founder arrest and release in Minneapolis, Minnesota.

Tesla (TSLA) September weekly call option implied volatility is at 41, September is at 48, October is at 51; compared to its 52-week range of 32 to 71 into Mercedes-Benz unveiling its electric SUV on September 4.

Global Xftse Argentina 20 Etf (ARGT) September call option implied volatility is at 40, October is at 47; compared to its 52-week range of 14 to 43 into Argentina unveils austerity program to stem crisis.

YPF S.A. (YPF) September weekly call option implied volatility is at 55, September is at 51, October is at 41; compared to its 52-week range of 26 to 65 as WTI oil above $71 and Argentina unveils austerity program to stem crisis.

Facebook (FB) September weekly call option implied volatility is at 21, September is at 23; compared to its 52-week range of 16 to 44 into COO Sheryl Sandberg testifying before Congress on September 5.

Twitter (TWTR) September weekly call option implied volatility is at 34, September is at 39; compared to its 52-week range of 33 to 84 into co-founder and CEO Jack Dorsey testifying before congress on September 5.

Ford Motor (F) September weekly call option implied volatility is at 28, September is at 26; compared to its 52-week range of 15 to 33 as shares at low end of nine-year range.

Lands End (LE) September call option implied volatility is at 77, October is at 65; compared to its 52-week range of 41 to 94 into the expected release of Q2 results today.

Straddle prices for stocks expected to report results this week

Conn’s (CONN) September 41 straddle priced for move of 15% into the expected release of EPS before the open on September 4
Dave & Busters (PLAY) September weekly 58 straddle priced for move of 4.8% into the expected release of EPS on September 4
Freds (FRED) September 2.5 straddle priced for move of 20% into the expected release of EPS on September 4
RH (RH) September weekly 160 straddle priced for move of 14% into the expected release of EPS after the close on September 4
Workday (WDAY) September weekly 155 straddle priced for move of 10% into the expected release of EPS after the close on September 4
Ctrip (CTRP) September weekly 39 straddle priced for move of 6% into the expected release of EPS after the close on September 5
Duluth Holding (DLTH) September 30 straddle priced for move of 13% into the expected release of EPS before the open on September 5
Guidewire Software (GWRE) September 100 straddle priced for move of 8% into the expected release of EPS after the close on September 5
HD Supply (HDS) September 45 straddle priced for move of 7% into the expected release of EPS on September 5
Barnes & Noble (BKS) September 5 straddle priced for move of 19% into the expected release of EPS before the open on September 6
Broadcom (AVGO) September weekly 220 straddle priced for move of 5.8% into the expected release of EPS after the close on September 6
Five Below (FIVE) September weekly 116 straddle priced for move of 8% into the expected release of EPS after the close on September 6
GameStop (GME) September weekly 13.50 straddle priced for move of 15% into the expected release of EPS after the close on September 6
Marvell Technology (MRVL) September weekly 20.50 straddle priced for move of 8% into the expected release of EPS after the close on September 6
Navistar (NAV) September weekly 43.50 straddle priced for move of 10% into the expected release of EPS before the open on September 6

Palo Alto Networks (PANW) September weekly 230 straddle priced for move of 7.8% into the expected release of EPS after the close on September 6
Zumiez (ZUMZ) September 30 straddle priced for move of 13% into the expected release of EPS after the close on September 6

Increasing unusual option volume: AOBC FOMX IDTI ELF GPRE AIMC ASUR PBI CIG AHL
Increasing unusual call option volume: AOBC GPRE AIMC ROK IDTI ULTA ATEN LULU CIG
Increasing unusual put option volume: PBI AOBC TRI ALKS IDTI PSTG AIMC
Options with decreasing option implied volatility: F LULU NVDA T EA PBR
Options with decreasing option implied volatility: LULU ULTA AOBC AMBA BIG ZUO ULTA PDD
Cboe Bitcoin September futures up 247 to 7295