Mid-Session Report August 8, 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: CXRX OUTR CIEN LULU PSEC MDVN INFY TSL MKTO

Options with decreasing implied volatility: DATA WTW HZNP FIT SGMS AVP CROX SQ HLF ALR LOCK Z PBI

Stocks with increasing implied volatility into quarterly results and outlook

Valeant (VRX) tails active into Q2, August weekly 19 puts and August 28.5 calls active

Valeant (VRX) August weekly call option implied volatility is at 147, August is at 105, September is at 77; compared to its 52-week range of 34 to 175 into EPS on August 9.

Yelp (YELP) weekly volatility elevated on more puts than calls into Q2

Yelp (YELP) August weekly call option implied volatility is at 155, August is at 104, September is at 65; compared to its 52-week range of 42 to 106 into EPS on August 9.

Coach (COH) August weekly volatility elevated at 78

Coach (COH) August weekly call option implied volatility is at 78, August is at 52, September is at 35; compared to its 52-week range of 24 to 51 into EPS on August 9.

Fossil (FOSL) August weekly 35 calls active into Q2 and outlook

Fossil (FOSL) August weekly call option implied volatility is at 184, August is at 116, September is at 72; compared to its 52-week range of 28 to 88 on August 9.

Disney (DIS) August weekly volatility elevated at 42 into Q3 and outlook

Disney (NYSE: DIS) August weekly call option implied volatility is at 42, August is at 28; compared to its 52-week range of 15 to 43 into the expected release of Q3 on August 9.

Shake Shack (SHAK) August weekly volatility above 95 into Q2 and outlook

Shake Shack (SHAK) August weekly call option implied volatility is at 94, August is at 67, September is at 49; compared to its 52-week range of 43 to 87 into Q2 on August 10.

Actives: AAPL BAC BMY NFLX FB FCX CHK VRX LMT SRPT BABA C XOM LC AMZN TWTR GILD DIS AGN MRK

Options with increasing call volume: QVCA STWD SEMG VIPS NCR BREW NVO BREW LYB ALR PHM SCSS

Options with increasing put volume: LPI EAT CATM EXC PEGI TUP PSEC GRPN ALR BMY CLVS W COH SM RLGY