Mid-session IV Report September 30, 2019

Mid-session IV Report September 30, 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: VKTX SDC AMRN CNDT PETS SPWR OLED CRUS AABA SBUX MRTX AMRN GME OLED PTCT TGP​
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Popular stocks with increasing unusual volume: SFIX BBBY OSTK CBS MCK MRO MSGN BK NLY GPRO REAL CGC RIG​
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Stitch Fix (SFIX) October weekly call option implied volatility is at 238, October is at 130; compared to its 52-week range of 46 to 112 into the expected release of quarter results after the bell on October 1. Call put ratio 1 call to 2.2 puts with focus on October 19 puts.​
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McCormick (MKC) October call option implied volatility is at 30, November is at 26; compared to its 52-week range of 16 to 34 into the expected release of quarter results before the bell on October 1.​
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United Natural Foods (UNFI) October call option implied volatility is at 88, November is at 71; compared to its 52-week range of 32 to 95 into the expected release of quarter results after the bell on October 1. Call put ratio 1 call to 3.8 puts with focus on October 10 and 12.50 puts into EPS and outlook.​
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Bed Bath & Beyond (BBBY) October weekly call option implied volatility is at 194, October is at 105; compared to its 52-week range of 37 to 105 into the expected release of quarter results after the bell on October 2. Call put ratio 1 call to 1.9 puts with focus on October weekly 9 puts. ​
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Eli Lilly (LLY) October weekly call option implied volatility is at 25, November is at 23; compared to its 52-week range of 17 to 32 into hosting a conference call on October 2 to discuss Selpercatinib data presented at the ESMO 2019 Annual Meeting. Call put ratio 4.8 calls to 1 put with focus on October calls. ​
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Southwest Gas (SWX) October call option implied volatility is at 14, November is at 15; compared to its 52-week range of 13 to 37 into hosting an analyst day on October 2.​
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EnerSys (ENS) October call option implied volatility is at 33, November is at 37; compared to its 52-week range of 13 to 37 into hosting an investor day on October 2.​
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Teekay LNG (TGP) October call option implied volatility is at 34, November is at 35; compared to its 52-week range of 28 to 58 into hosting an investor day on October 2. Call put ratio 4.9 calls to 1 put with focus on October 15 calls. ​

Clorox (CLX) October weekly call option implied volatility is at 24, November is at 23; compared to its 52-week range of 17 to 33 into hosting an investor day on October 2.​
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Caleres (CAL) October call option implied volatility is at 50, November is at 45; compared to its 52-week range of 32 to 105 into hosting an investor day on October 2.​
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HP Inc (HPQ) October weekly call option implied volatility is at 37, November is at 26; compared to its 52-week range of 19 to 44 into hosting an investor day on October 3.​
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Vera Bradley (VRA) October call option implied volatility is at 42, November is at 45; compared to its 52-week range of 36 to 93 into hosting an investor day on October 3.​
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Intuit (INTU) October weekly call option implied volatility is at 32, November is at 27; compared to its 52-week range of 18 to 46 into hosting an investor day on October 3. Call put ratio 2.7 calls to 1 put. ​
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Marriott Vacations (VAC) October call option implied volatility is at 33, November is at 34; compared to its 52-week range of 28 to 64 into hosting an investor day on October 4.​
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Micron (MU) September weekly call option implied volatility is at 45, October is at 40; compared to its 52-week range of 36 to 65 as shares trade below $43 after recent financial results. Call put ratio 1 call to 1 put with focus on October weekly 43 calls and puts. ​
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YETI Holdings, Inc. (YETI) October weekly call option implied volatility is at 58, October is at 54; compared to its 52-week range of 48 to 97. ​
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Seattle Genetics (SGEN) October call option implied volatility is at 50, November is at 48; compared to its 52-week range of 33 to 70 as shares rally 12%. Call put ratio 1.4 calls to 1 put with focus on October 80 and 90 calls.​
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Increasing unusual option volume: STOR VRAY CERS DOVA BKLN THO XENT ALV VIPS ​
Increasing unusual call option volume: VRAY DOVA XENT THO HAIN TPX CLNY EEFT ​
Increasing unusual put option volume: CERS VIPS BLKN THO PTCT NGD SE CHD INDA​
Options with decreasing option implied volatility: CAG KMX ONCE JBL AZO NKE CCL CAN LK FXI THO AMAT DIS MSGN BIDU MO EEM​
Active options: AAPL NIO AMD BABA MU SNAP NFLX AMZN FB ROKU TSLA MSFT BAC BMY VRAY BYND T BBBY CGC RIG​