Mid-Session IV Report November 30, 2016

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: CEMP TXMO FGP HZNP TSL VA NLY BRCD GWPH SHLD EXPR SHLD KR

Options with increasing volume: SEMG JJC RBS EUO GLUU WMBC AGI GLL HPT PEIX CMRE NBIX FRC

Volatility collapses for ETF and indexes after OPEC agrees to reduce output as WTI up 8% to $48.90

iPath S&P GSCI Crude Oil Total Return (OIL) 30-volatility is at 46, compared to 60 from last nights close and its 52-week range of 34 to 84

ProShares Ultra DJ-UBS Crude Oil (UCO) 30-volatility is at 85, compared to 110 from last nights close and its 52-week range of 61 to 151

United States Oil Fund (USO) 30-volatility is at 42, compared to 54 from last nights close and its 52-week range of 31 to 79

Energy Select Sector SPDR (XLE) 30-volatility is at 21, compared to 27 from its close last night and its 52-week range of 18 to 45

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-volatility is at 37, compared to 46 from last nights close and its 52-week range of 30 to 69

United States Natural Gas Fund (UNG) 30-day implied volatility is at 48, compared to 50 from last nights close and its 52-week range of 37 to 62

OPTIONS: Straddle Prices for Companies Reporting Financial Results this Week

NQ Mobile (NQ) December 3.50 straddle priced for movement of 12%

Ambarella (AMBA) December weekly 64 straddle priced for movement of 7.5%

Five Below (FIVE) December 40 straddle priced for movement of 9.3%

Dollar General (DG) December weekly 78 straddle priced for movement of 7.4%

Express (EXPR) December 13.50 straddle priced for movement of 12.3%

Kroger (KR) December 32.50 straddle priced for movement of 6.2%

Lands End (LE) December 17.5 straddle priced for movement of 11%

Sears Holdings Corp (SHLD) December weekly 13 straddle priced for movement of 16%

Smith & Wesson Holding Corp (SWHC) December 24 straddle priced for movement of 9.8%

Ulta Salon Cosmetics and Fragrance (ULTA) December weekly 260 straddle priced for movement of 7%

Workday (WDAY) December weekly 84.50 straddle priced for movement of 7.5%

Options with decreasing volatility: LLY NTXN FOLD URBN VEEV CTRP AEP ADSK HPE HPQ TIF NXPI USO UCO XLE XOP BP TOT XOM CVX