Mid-Session IV Report May 9, 2017

Mid Session 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: JCP SNAP KSS M PCLN TRIP NVDA WFM MYL PBYI STRP BCRX LULU RH VOD

Options increasing volume: MAR NCLH HTZ P EA COTY AMC SFLY CBI DF BK YELP SQ KITE CIT

Apple (AAPL) call put ratio 3 calls to 1 put as shares at new record high

Apple (AAPL) May weekly call option implied volatility is at 20, May is at 19, June is at 18, September is at 19; compared to its 52-week range of 14 to 33 as shares rally to record high.

NVIDIA (NVDA) May weekly call option implied volatility is at 116, May is at 72, June is at 44, compared to its 52-week range of 28 to 57 into the expected release of Q1 results today.

Yelp (YELP) May weekly call option implied volatility is at 172, May is at 110, June is at 61; compared to its 52-week range of 32 to 72 into the expected release of Q1 results today. Call put ratio is 2.3 calls to 1 put.

Fossil (FOSL) May weekly call option implied volatility is at 192, May is at 112, June is at 69; compared to its 52-week range of 36 to 69 into the expected release of Q1 results today.

Priceline (PCLN) May weekly call option implied volatility is at 57, May is at 34, June is at 24; compared to its 52-week range of 12 to 40 into the expected release of Q1 results today.

Trip Advisor (TRIP) May weekly call option implied volatility is at 109, May is at 70, June is at 46; compared to its 52-week range of 27 to 55 into the expected release of Q1 results today.

Mylan (MYL) May weekly call option implied volatility is at 64, May is at 39, June is at 28; compared to its 52-week range of 27 to 52 into the expected release of Q1 results on May 10.

Snap (SNAP) May weekly call option implied volatility is at 178, May is at 111, June is at 68; compared to its 52-week range of 51 to 71 into the expected release of Q1 results on May 10.

CBOE Volatility Index (VIX) call put ratio 2.8 calls to 1 put as index near record low

CBOE Volatility Index (VIX) 30 day option implied volatility of 77 compares to its 52-week range of 68 to 130 into VIX closing at lowest level since 1993.

Options with increasing unusual call volume: RACE ECL NYRT W BK MAR MZOR BZUN AFL HTZ EWY

Options with increasing unusual put volume: NUAN CIM P NCLH W RGR LBTYA HTZ COTY

Options with decreasing implied volatility: KATE INFN ETSY WTW AAOI DATA FIT OCLR SQ TPX UBNT PRTK FEYE VRX