Mid-Session IV Report September 8, 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.

Saturday is the 69th anniversary of the founding Democratic People’s Republic of Korea. South Korean government officials had reported signs of another missile test in the works, possible a long-range launch set for this weekend reports the Washington Post.

iPath S&P 500 VIX ST Futures ETN (VXX) volatility flat into 69th anniversary of the founding Democratic People’s Republic of Korea

iPath S&P 500 VIX ST Futures ETN (VXX) September weekly call option implied volatility is at 54, September is at 53, October is at 70; compared to its 52-week range of 45 to 101 into 69th anniversary of the founding Democratic People’s Republic of Korea.

Ishares Msci South Korea Capped Etf (EWY) September weekly call option implied volatility is at 22. September is at 20, October is at 21; compared to its 52-week range of 14 to 27.

Ishares Msci Japan Etf (EWJ) September weekly call option implied volatility is at 9, September is 8, October is at 9; compared to its 52-week range of 8 to 19.

Bemis (BMS) call put ratio 10.9 calls to 1 put after report of Amcor considering takeover bid

AutoNation (AN) September and October call option implied volatility is at 30; compared to its 52-week range of 25 to 36 into Hurricane Irma.

Airline Stocks option implied volatility into Hurricane Irma

United Continental (UAL) 30-day option implied volatility is at 30; compared to its 52-week range of 27 to 42
Delta Air Lines (DAL) 30-day option implied volatility is at 27; compared to its 52-week range of 22 to 36
Southwest (LUV) 30-day option implied volatility is at 26; compared to its 52-week range of 21 to 35
American Airlines (AAL) 30-day option implied volatility is at 32; compared to its 52-week range of 25 to 41
Copa Holdings (CPA) 30-day option implied volatility is at 26; compared to its 52-week range of 24 to 60
Spirit (SAVE) 30-day option implied volatility is at 40; compared to its 52-week range of 29 to 43
JetBlue (JBLU) 30-day option implied volatility is at 33; compared to its 52-week range of 24 to 40
Alaska Air (ALK) 30-day option implied volatility is at 29; compared to its 52-week range of 23 to 33
Allegiant Travel (ALGT) 30-day option implied volatility is at 32; compared to its 52-week range of 26 to 38
Hawaiian Holdings (HA) 30-day option implied volatility is at 38; compared to its 52-week range of 28 to 49

SkyWest (SKYW) 30-day option implied volatility is at 35; compared to its 52-week range of 30 to 55
Apple (AAPL) September weekly call option implied volatility is at 26, September is at 29, October is at 24; compared to its 52-week range of 13 to 28 into an Apple hosted product event on September 12. Call put ratio 1.87 calls to 1 put.

Straddle prices for companies reporting financial results the week of September 11

Cracker Barrel (CBRL) September 140 straddle priced for movement of 5%

United Natural Foods (UNFI) September 35 straddle priced for movement of 8%

Oracle (ORCL) September 52 straddle priced for movement of 4.4%