Daily IV Report
Early mid-session IV Report March 17, 2020
Early mid-session IV Report March 17, 2020 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 over looked information. Options with increasing option implied volatility: Dramatic IV […]
Early mid-session IV Report March 17, 2020
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 over looked information.
Options with increasing option implied volatility: Dramatic IV movement continues. Quadruple expiration is Friday
Popular stocks with increasing unusual volume: ROKU MRNA CCL JD
S&P 500 (SPY) 30-day option implied volatility at 77; compared to its 52-week range of 10 to 77 into quadruple expiration on Friday.
PowerShares QQQ Trust (QQQ) 30-day option implied volatility at 76; compared to its 52-week range of 12 to 79 into quadruple expiration on Friday. Call put ratio 1 call to 2.8 puts.
REGN and GILD options active as researchers lead in virus research
Regeneron (REGN) 30-day option implied volatility at 73; compared to its 52-week range of 25 to 70. Call put ratio 7.9 calls to 1 put with focus on April calls amid virus research.
Gilead Sciences (GILD) 30-day option implied volatility at 84; compared to its 52-week range of 19 to 82. Call put ratio 8.2 calls to 1 put with focus on May 80 calls.
Banks IV
Boeing (BA) 30-day option implied volatility at 171; compared to its 52-week range of 22 to 157
Bank of America (BAC) 30-day option implied volatility is at 120; compared to its 52-week range of 16 to 119.
JPMorgan (JPM) 30-day option implied volatility is at 108; compared to its 52-week range of 15 to 109.
Wells Fargo (WFC) 30-day option implied volatility is at 118; compared to its 52-week range of 16 to 109.
Citigroup (C) 30-day option implied volatility is at 130; compared to its 52-week range of 17 to 129.
Goldman Sachs (GS) 30-day option implied volatility is at 105; compared to its 52-week range of 18 to 101.
Morgan Stanley (MS) 30-day option implied volatility is at 115; compared to its 52-week range of 19 to 107.
Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 111; compared to its 52-week range of 13 to 106.
Options with decreasing option implied volatility:
Increasing unusual option volume: GNC VGK
Increasing unusual call option volume: GNC
Increasing unusual put option volume: VGK LIT
Popular stocks with increasing unusual volume: UBER ROKU CCL DIS
Active options on March 17: AAPL TSLA BAC BA AMD AAL TWTR MSFT AMZN UBER INTC F GE DIS ROKU FB SQ MRNA NVDA CCL