Mid-session IV Report April 13, 2020

Mid-session IV Report April 13, 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: C WFC JPM BAC IQ AEO CTL XLY

Popular options with increasing volume: ROKU CCL DIS CLDR

Micron (MU) April call option implied volatility is at 62, May is at 59; compared to its 52-week range of 31 to 115 after downgraded to Neutral from Buy at Goldman Sachs. Call put ratio 1.1 calls to 1 put.

Option implied volatility into quarter outlook and 2021 balance sheet

Fastenal (FAST) April call option implied volatility is at 88, May is at 51; compared to its 52-week range of 19 to 81 into the expected release of quarter results before the bell on April 14. Call put ratio 1 call to 6.5 puts with focus on April puts.

Infosys (INFY) April call option implied volatility is at 82, May is at 42; compared to its 52-week range of 18 to 118 into the expected release of quarter results before the bell on April 14.

Johnson & Johnson (JNJ) April call option implied volatility is at 51, May is at 39; compared to its 52-week range of 14 to 70 into the expected release of quarter results before the bell on April 14.

JPMorgan (JPM) April call option implied volatility is at 89, May is at 64; compared to its 52-week range of 15 to 119 into the expected release of quarter results before the bell on April 14.

United Airlines (UAL) April call option implied volatility is at 165, May is at 138; compared to its 52-week range of 20 to 420 into the expected release of quarter results before the bell on April 14.

Wells Fargo (WFC) April call option implied volatility is at 107, May is at 77; compared to its 52-week range of into the expected release of quarter results before the bell on April 14. Call put ratio 2.3 calls to 1 put.

United States Oil Fund (USO) 30-day option implied volatility is at 102, compared to a level of 122 from Friday and compared to its 52-week range of 23 to 172 after OPEC production cuts. Call put ratio 3.1 calls to 1 put with focus on April 5 and 5.5 calls.

State Street (STT) April call option implied volatility is at , May is at ; compared to its 52-week range of into the expected release of quarter results before the bell on April 17.

REIT IV bid, option volume up, shares sell off

Vanguard Reit Etf (VNQ) 30-day option implied volatility is at 45; compared to its 52-week range of 10 to 89 as share price is down 4.3%. Call put ratio 1 call to 2.5 puts with focus on September 75 puts.

SL Green Realty (SLG) 30-day option implied volatility is at 77; compared to its 52-week range of 16 to 123 as shares sell off 5.8%.

Boston Properties (BXP) 30-day option implied volatility is at 59; compared to its 52-week range of 14 to 105 as shares sell off 5.8%.

AMC (AMC) 30-day option implied volatility is at 294; compared to its 52-week range of 42 to 368 after the NY Post reported on April 12 the theater chain is in talks to hire bankruptcy law firm Weil Gotshal. Call put ratio 1 call to 2 puts.

Cloudera, Inc. (CLDR) call put ratio 12.5 calls to 1 put with focus on April 8.5 calls.

Increasing unusual option volume: ET OIL OI ADNT EWA
Increasing unusual call option volume: ADNT UCO OI XEC BCRX WTI
Increasing unusual put option volume: EWA SABR RF HTHT SYY GSX CERN BKLN
Options with decreasing option implied volatility: SCO PLAY PAA INO GSX GUSH LB IOVA W
Active options: TSLA AAPL BAC AMZN AMD MSFT ET F DAL NFLX AAL BA WFC ROKU CCL GE DIS FB JPM GILD