Mid-Session IV Report September 6, 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: UAL AAL DAL CB TMK AIG ALL HIG TRV EROS PTCT YNDX CAB AGO

Options with increasing volume: MGM WFT HD SRPT AAL UAL PBR HIMX

Facebook (FB) volatility flat after research note says ad reach claims look inflated

Facebook (FB) September weekly, September and October call option implied is at 19; compared to its 52-week range of 14 to 33 after Pivotal Research analyst Brian Wieser told investors in a research note that AdNews found that the company claims to reach more 16-39 year-olds in Australia than live in the country according to its census.

Restoration Hardware (RH) volatility elevated above 246 into Q2 and outlook

Restoration Hardware (RH) September weekly call option implied volatility is at 246, September is at 145, October is 85; compared to its 52-week range of 41 to 93 into the expected release of Q2 results today.

Cruise Company put volume and option implied volatility increases

Carnival Cruise Lines (CCL) call put ratio 1 call to 2.2 puts into Hurricane Irma. September weekly call option implied volatility is at 34, September is at 25, October is 24; compared to its 52-week range of 15 to 30.

Norwegian Cruise Line (NCLH) call put ratio 1 call to 4.7 puts into Hurricane Irma. September call option implied volatility is at 34, October is 28; compared to its 52-week range of 23 to 56.

Royal Caribbean (RCL) call put ratio 1 call to 2.8 puts into Hurricane Irma. September call option implied volatility is at 28, October is 25; compared to its 52-week range of 18 to 40.

Casuality insurance company option implied volaltiy increase into Hurricane Irma

Chubb Corp. (CB) September call option implied volatility is at 19, October is 18; compared to its 52-week range of 11 to 22. November 140 and 145 calls are active.

Torchmark Corp. (TMK) September call option implied volatility is at 19, October is 18; compared to its 52-week range of 12 to 22 into Hurricane Irma.

AmTrust Financial (AFSI) September call option implied volatility is at 50, October is at 49; compared to its 52-week range of 21 to 110 into Hurricane Irma.

AIG (AIG) September weekly call option implied volatility is at 19, September 18, October is at 15; compared to its 52-week range of 12 to 26.

Allstate (ALL) September call option implied volatility is at 24, compared to 15 from ten days ago, October is at 20; compared to its 52-week range of 12 to 24.

Hartford Financial (HIG) September weekly call option implied volatility is at 24 compared to 16 from ten days ago, September is at 20; compared to its 52-week range of 13 to 28.

Progressive Corp. (PGR) September call option implied volatility is at 23, October is at 21; compared to its 52-week range of 14 to 23.

Travelers (TRV) September call option implied volatility is at 23, October is at 21; compared to its 52-week range of 11 t0 22 into Hurricane Irma.

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) September weekly call option implied volatility is at 28, September and October is at 21; compared to its 52-week range of 18 to 35 after Fed Vice Chairman Fisher resigns.
Will Fisher leaving the Fed cause implied volatility to increase as a ‘supporter of asset prices during chaos’ is no longer voting?

Options with increasing unusual call volume: VNQ CLX PPL PBR USG NRG CF AUY

Options with increasing unusual put volume: NGD VNQ TRVG SEE RCL

Options with decreasing implied volatility: INSM DY NTNX FRAN LULU