06/18/2019
Data as of 06/17/2019

1 Day Increase in ATM IV (Point change)
 TickerIssuerCloseDifference
RAREULTRAGENYX PHARMACEU57.166.1
TNDMTANDEM DIABETES CARE63.586.05
SGENSEATTLE GENETICS INC68.504.54
MCYMERCURY GENL CORP NE60.714.33
STMPSTAMPS COM INC40.414.19


1 Week Increase in ATM IV (Point change)
 TickerIssuerCloseDifference
BBBYBED BATH & BEYOND IN12.0917.77
BBBLACKBERRY LTD8.559.13
CPSCOOPER STD HLDGS INC39.498.56
RRGBRED ROBIN GOURMET BU33.108.47
IININTRICON CORP22.508.38


1 Month Increase in ATM IV (Point change)
 TickerIssuerCloseDifference
BBBYBED BATH & BEYOND IN12.0926.35
BBBLACKBERRY LTD8.5523.39
AMAGAMAG PHARMACEUTICALS8.9923.24
KRKROGER CO24.2620.44
WLLWHITING PETE CORP NE15.8919.48


Options with largest 1-day gain in Implied Volatility
 TickerIssuerExpirationStrikeP/CDifference
HTZHERTZ GLOBAL HLDGS I07/19/201917.00C9.96
MAXRMAXAR TECHNOLOGIES I07/19/20197.50C9.20
INCYINCYTE CORP07/19/201995.00C8.94
HEXOHEXO CORP08/16/20197.50C7.31
LGF.ALIONS GATE ENTMNT CO12/20/201920.00C7.13


Here are the Top 5 results from a few of our volatility scans. These scans search for situations where implied volatility rises sharply. Research has shown that a rise in implied volatility often leads to a significant move in the underlying stock and an even larger move in the stock's options. For full versions of these and many more scans, check out ODDS OptionApps.

Academic Algorithms: ( Volatility HV-IV Difference )
 TickerIssuerCloseDifference
PYXPYXUS INTL INC17.61-44.72
BBBYBED BATH & BEYOND IN12.09-37.38
ZGNXZOGENIX INC39.13-35.53
AMAGAMAG PHARMACEUTICALS8.99-35.02
SRPTSAREPTA THERAPEUTICS119.57-32.59


Academic Algorithms: ( Term LT-ST Difference )
 TickerIssuerCloseDifference
TSLATESLA INC214.92-30.75
NFLXNETFLIX INC339.73-22.98
ROKUROKU INC102.02-21.86
SHOPSHOPIFY INC305.11-21.81
CRMSALESFORCE COM INC150.01-20.27


Academic Algorithms: ( Volatility of Volatility )
 TickerIssuerCloseVol. of Vol.
ZZILLOW GROUP INC45.391.84
ZGZILLOW GROUP INC44.782
PYXPYXUS INTL INC17.612.23
SATSECHOSTAR CORP43.052.26
INCYINCYTE CORP77.712.45


Academic Algorithms: ( 95-100 Skew Difference )
 TickerIssuerCloseDifference
RIOTRIOT BLOCKCHAIN INC2.73-6.28
TLRYTILRAY INC39.01-1.79
MATMATTEL INC11.85-1.39
BYNDBEYOND MEAT INC151.48-1
SAICSCIENCE APPLICATNS I85.20-0.99


iHere are the Top 5 results from our Academic Algorithm scans. These scans search for situations that meet the criteria as described in published academic research papers. This independent university research, verified using the rigor of extensive statistical analysis and global peer-review, provides signals proven to work. For more information on what these scans search for, and how you can use them to discover opportunities,click here for suggested reading. For full versions of these and many more scans, check out ODDS OptionApps.

Negative Implied Borrow Rate
 TickerIssuerCloseBorrow Rate
FSCTFORESCOUT TECHNOLOGI32.31-178.43
VUZIVUZIX CORP3.57-141.98
ARMKARAMARK34.47-138.83
RAREULTRAGENYX PHARMACEU57.16-136.56
BYNDBEYOND MEAT INC151.48-109.69


EXCLUSIVE: This exclusive scan shows stocks with the most negative implied borrow rate. A deeply negative borrow rate tells you that the put-call parity no longer exists because of an unusual situation. Most often, it is because the underlying stock is highly shorted. When stocks are highly shorted, finding stock to borrow in order to sell short becomes difficult, thus causing the implied borrow rate to go into deep negative territory. The advantage to this report is that short interest statistics are only available at certain intervals on a much-delayed basis. This report is updated daily and is current as of the close. For more information on the implied borrow rate, and how you can it to discover real-world trading opportunities, just click the button at the bottom of the app and we'll send you our free 7-part research series. The reports and the app are free.

Top 5 Highest Open Interest Options
 TickerIssuerExpirationStrikeP/COpen Int
EWZISHARES INC06/21/201944.00C308,921
CHKCHESAPEAKE ENERGY CO01/17/20207.00C305,761
JCIJOHNSON CTLS INTL PL06/14/201945.00C251,817
CLDRCLOUDERA INC06/18/20215.00P249,002
JCIJOHNSON CTLS INTL PL06/14/201945.00P245,207


Top 5 Highest Volume Options
 TickerIssuerExpirationStrikeP/CVolume
EFAISHARES TR06/21/201964.00C201,072
QQQINVESCO QQQ TR06/21/2019180.00C121,190
EFAISHARES TR06/21/201963.00C112,019
EFAISHARES TR06/21/201960.00C98,520
EWZISHARES INC06/21/201940.00C96,428


Options with largest 1-day gain in open interest.
 TickerIssuerExpirationStrikeP/COpen Int
XOPSPDR SERIES TRUST01/17/202024.00P29,541
XOPSPDR SERIES TRUST01/17/202022.00P29,525
WDCWESTERN DIGITAL CORP01/17/202055.00C24,630
FXIISHARES TR08/16/201945.00C20,000
WDCWESTERN DIGITAL CORP01/17/202065.00C17,726


Options with largest 1-day drop in open interest.
 TickerIssuerExpirationStrikeP/COpen Int
GOLDBARRICK GOLD CORPORA07/19/201913.00C-6,767
SPYSPDR S&P 500 ETF TR07/19/2019240.00P-4,973
TSLATESLA INC07/19/2019160.00P-4,864
HYGISHARES TR08/16/201984.00P-4,818
NFLXNETFLIX INC07/19/2019350.00C-3,879


These scans display the Top 5 open interest and volume statistics for the entire universe of individual options. For full versions of these and many more scans, check out ODDS OptionApps.

Bandwidth Hogs
 TickerIssuerPork FactorZero Volume
SPXCBOE S&P 500 INDEX11,030
RUTRUSSELL 2000 INDEX6,914
NDXNASDAQ 100 INDEX6,277
SPYSPDR S&P 500 ETF TR4,347
AMZNAMAZON COM INC4,279

Have you ever wondered how many options had no volume? Here's your answer. This scan displays the number of options with zero contracts traded for each asset on this Top 5 list. Despite having no volume, each option generates an enormous amount of data that needs to be displayed: changes in bid price, changes in ask price, changes in bid size, changes in ask size. Those changes happen with nearly every tick the stock makes. And it happens on every exchange that makes a market. On a normal day, one zero-volume option can produce as much as two hundred pages of data. The names on this list have thousands of zero-volume options, each producing hundreds of pages of information. All for nothing. They’re bandwidth hogs. The more zero-factor options there a stock has, the higher the "pork factor". To get the complete report, check out ODDS OptionApps.

The free OptionApps Daily "Top 5" report provides you with information that can be used to find potential trading situations that have a proven history of generating profits1. Many more tools are available on ODDS Online that are not available on the Daily "Top 5" Report.





1 - BibliographyTerms and Conditions
©2016 FMR Inc., ODDS® is a registered trademark of Don Fishback
OptionApps is a trademark of FMR Inc.