Mid-Session IV Report August 31, 2017

Mid Session Iv Report

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 implied volatility: HPE JUNO LULU SFM BBRY FINL RHT

Options with increasing volume: MOMO WYNN OLED GILD CTRP LULU WFT CIEN R DG SLM

iShares FTSE Xinhua China 25 Index (FXI) 30-day option implied volatility is at 19; compared to its 52-week range of 14 to 26 into China’s Communist Party Congress on October 18.

lululemon athletica (LULU) September weekly call option implied volatility is at 225, September is at 70, October is at 45; compared to its 52-week range of 25 to 56 into the expected release of Q2 earnings today after the market close.

Proshares Ultra Short 20 Year Treasury ETF (TBT) and iShares 20+ Year Treasury Bond Fund (TLT) option implied volatility is flat into August Employment Report.

Proshares Ultra Short 20 Year Treasury ETF (TBT) September weekly call option implied volatility is at 21, September is at 19, October is at 21; compared to its 52-week range of 18 to 36 into the scheduled release of August Employment report on September 1. Call put ratio is 2.95 calls to 1 put.

iShares 20+ Year Treasury Bond Fund (TLT) September weekly call option implied volatility is at 11, September and October is at 10; compared to its 52-week range of 9 to 18.

iShares Nasdaq Biotechnology (IBB) September weekly call option implied volatility is at 23, September and October is at 19 ; compared to its 52-week range of 16 to 35. Call put ratio 1.5 calls to 1 put after sharp two-day rally

Options with increasing unusual call volume: BTU UGA GERN GDXJ NWL LE FCX AZN KMI ETFC

Options with increasing unusual put volume: BCRX IWM SKT HFC OIL DBC SVU CHRS GIMO

Options with decreasing implied volatility: KITE PSTG DY FRED GME BBY CIEN