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: WATT TWTR CY AGU POT BBRY SFL NLY ACN LNKD
Twitter (TWTR) September calls active into September 8 board meeting
Twitter (TWTR) September weekly 19.5, 20 and September 20 calls are active on total call volume of 100K contracts to 16K puts into an expected September 8th board meeting. September weekly call option implied volatility is at 66, September is at 65; compared to its 52-week range of 41 to 118.
Volatility flat to low into August employment report on September 2
CBOE Volatility Index (VIX) up 71c to 14.09, compared to 10-day moving average of 13.04
CBOE Volatility Index (VIX) September weekly call option implied volatility is at 76, September is at 75, October is at 66; 52-week range 73 to 143
CBOE VIX futures September at 14.87, November at 17.88, April 20.56, VIX at 14.09
iPath S&P 500 VIX Short-Term Futures (VXX) up 62c to 36.89, 10-day moving average 36.53
iPath S&P 500 VIX Short-Term Futures (VXX) September weekly call option implied volatility is at 75, September is at 58, October is at 69; 52-week range 57 to 121
Saudi Arabia is the largest OPEC producer, pumping more than twice as much as the second-biggest, Iraq. Saudi Arabia has recently been mentioned as wanting higher oil prices for a better Aramco IPO valuation.
Energy Select Sector SPDR (XLE) September weekly call option implied volatility is at 24, September is at 28; October is at 22 compared to its 52-week range of 18 to 46.
Oil Services Holders Trust (OIH) September weekly call option implied volatility is at 43. September is at 29, October is at 32, compared to its 52-week range of 26 to 55.
September events expected to have market impacts
G20 Summit September 4-5
Twitter Board meets September 8
ECB Governing Council meets on September 8
Bank of England meeting is on September 15
Oracle Open World September 18-22
Federal Reserve officials meet on September 21
The BOJ will announce the results of its comprehensive review of its monetary policy on September 21
Clinton Trump debate September 26
OPEC member countries scheduled to meet in Algeria from September 26 – 28
CBOE Highest Volume on the Day: SPY SPX GDX BAC TWTR IWM QQQ GLD AAPL USO
CBOE Volume above Average Daily Option Volume: MAC FGP IRDM DECK CIEN OLLI FIVE EDC LE HOV
Options with increasing in volume: MAC FGP IRDM DECK CIEN OLLI FIVE EDC HOV SFLY GDX CRM LE
Options with decreasing implied volatility: PSTG CHS BIG ANF ULTA PANW SPLK HRB GME CIEN