Mid-session IV Report April 1, 2020

Mid-session IV Report April 1, 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: FCAU GPS ADS TGTX IMMU FL Z COF Z KMX VLO PSX PLAY

Popular options with increasing volume: X CCL AAL GILD AMRN

Yield ETF IV off of record highs, puts active

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 35; compared to its 52-week range of 4 to 58. Call put ratio 1 call to 5 puts with focus on April 95 and May 90 puts.

Ishares Iboxx $ High Yield Corporate Bond Etf (HYG) 30-day option implied volatility is at 35; compared to its 52-week range of 5 to 53. Call put ratio 1 call to 6.2 puts with focus on May weekly and June puts.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 27; compared to its 52-week range of 4 to 75. Call put ratio 1 call to 10 puts with focus on May puts.

Mortgage alternative company option implied volatility at upper end of range as share prices are under pressure

AGNC Investment Corp (AGNC) 30-day option implied volatility is at 99; compared to its 52-week range of 9 to 140.
Arlington Asset Investment (AI) 30-day option implied volatility is at 89; compared to its 52-week range of 21 to 206.
ARMOUR Residential REIT (ARR) 30-day option implied volatility is at 178; compared to its 52-week range of 8 to 182.
Chimera Investment (CIM) 30-day option implied volatility is at 138; compared to its 52-week range of 5 to 175.
Dynex Capital (DX) 30-day option implied volatility is at 148; compared to its 52-week range of 8 to 153.
Invesco Mortage Capital (IVR) 30-day option implied volatility is at 243; compared to its 52-week range of 8 to 310.
MFA Financial (MFA) 30-day option implied volatility is at 297; compared to its 52-week range of 10 to 1100. Call put ratio 4 calls to 1 put amid shares down 16%.
AG Mortgage Investment Trust (MTT) 30-day option implied volatility is at 340; compared to its 52-week range of 13 to 348.
Annaly Capital Management (NLY) 30-day option implied volatility is at 156; compared to its 52-week range of 10 to 258.
New Residential Investment (NRZ) 30-day option implied volatility is at 165; compared to its 52-week range of 11 to 206. Call put ratio 4.6 calls to 1 put.
New York Mortgage Trust (NYMT) 30-day option implied volatility is at 226; compared to its 52-week range of 22 to 334.
Pennymac Mortgage Trust (PMT) 30-day option implied volatility is at 174; compared to its 52-week range of 11 to 322.
Redwood Trust (RWT) 30-day option implied volatility is at 184; compared to its 52-week range of 10 to 254.
Two Harbors Investment (TWO) 30-day option implied volatility is at 166; compared to its 52-week range of 8 to 260 . Call put ratio 4.2 calls to 1 put.

Increasing unusual option volume: GLPG FTV AER VVUS LYG SKY LW BKR BTI
Increasing unusual call option volume: GLPG SKY BKR BTI LW CHRW VVUS
Increasing unusual put option volume: LYG VVUS AER LEVI XHB
Options with decreasing option implied volatility: PLAY AXSM HTZ GUSH NUGT GT AAL
Active options: AAPL F AMD MSFT BAC BA X CCL TSLA AAL GE AMRN FB DIS UBER NVDA DAL GILD AMZN NFLX