Mid-session IV Report April 15, 2020

Mid-session IV Report April 15, 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: GME CVX UPS USO OXY HAL SLB

Popular options with increasing volume: ROKU ZM ET SPCE

United States Oil Fund (USO) 30-day option implied volatility is at 109; compared to its 52-week range of 23 to 172 amid WTI trades below $20. Call put ratio 2 calls to 1 put amid shares at 18-year lows.

Virgin Galactic Holdings (SPCE) April call option implied volatility is at 230, May is at 191; compared to its 52-week range of 39 to 239. Call put ratio 3.4 calls to 1 put with focus on April 26 calls.

Tesla (TSLA) April option implied volatility is at 108, May is at 106; compared to its 52-week range of 34 to 154 after initiated with a Buy at Goldman Sachs. Call put ratio 1.2 calls to 1 put. TSLA up 3%.

Zoom (ZM) 30-day call option implied volatility is at 87; compared to its 52-week range of 36 to 137 after Oracle (ORCL) founder Larry Ellison in a YouTube video on April 13, called Zoom an “essential service”. Call put ratio 2 calls to 1 put with focus on April calls.

Occidental Petroleum (OXY) 30-day option implied volatility is at 134; compared to its 52-week range of 25 to 202 after files to sell 17.3M shares for selling holders.

Abbott (ABT) April call option implied volatility is at 79, May is at 37; compared to its 52-week range of 16 to 70 into the expected release of quarter results before the bell on April 16. Call put ratio 6.4 calls to 1 put with focus on April 90 calls.

Bank of New York Mellon (BK) April call option implied volatility is at 79, May is at 45; compared to its 52-week range of 18 to 107 into the expected release of quarter results before the bell on April 16. Call put ratio 1 call to 3.7 puts with focus on April 34 puts.

BlackRock (BLK) April call option implied volatility is at 62, May is at 49; compared to its 52-week range of 16 to 106 into the expected release of quarter results before the bell on April 16.

Intuitive Surgical (ISRG) April call option implied volatility is at 69, May is at 47; compared to its 52-week range of 20 to 101 into the expected release of quarter results after the bell on April 16.

Taiwan Semiconductor (TSM) April call option implied volatility is at 60, May is at 35; compared to its 52-week range of 43 to 75 into the expected release of quarter results on April 16. Call put ratio 2 calls to 1 put.

Kansas City Southern (KSU) April call option implied volatility is at 88, May is at 54; compared to its 52-week range of 18 to 82 into the expected release of quarter results before the bell on April 17.

Schlumberger (SLB) April call option implied volatility is at 145, May is at 87; compared to its 52-week range of 25 to 174 into the expected release of quarter results before the bell on April 17. Call put ratio 3.5 calls to 1 put with focus on April 15 calls.

Proctor & Gamble (PG) 30-day option implied volatility is at 50; compared to its 52-week range of 10 to 83 after raises quarterly dividend 6% and moves up Q3 earnings release date to April 17. Call put ratio 5.3 calls to 1 put with focus on April calls.

State Street (STT) April call option implied volatility is at 90, May is at 63; compared to its 52-week range of into 23 to 111 the expected release of quarter results before the bell on April 17.

Airline option implied unchanged after U.S. Treasury, U.S. airlines reach pact over government loans and grants.

Alaska Airlines (ALK) 30-day option implied volatility is at 104; compared to its 52-week range of 21 to 234 after U.S. Treasury, U.S. airlines reach pact over government loans and grants. Call put ratio 2 calls to 1 put.

Allegiant Air (ALGT) 30-day option implied volatility is at 122; compared to its 52-week range of 21 to 216.

American Airlines (AAL) 30-day option implied volatility is at 152; compared to its 52-week range of 29 to 293. Call put ratio 1.7 calls to 1 put.

Delta Air Lines (DAL) 30-day option implied volatility is at 104; compared to its 52-week range of 20 to 265.

Hawaiian Airlines (HA) 30-day option implied volatility is at 119; compared to its 52-week range of 31 to 274. Call put ratio 2.4 calls to 1 put.

JetBlue Airways (JBLU) 30-day option implied volatility is at 118 compared to its 52-week range of 23 to 221.

United Airlines (UAL) 30-day option implied volatility is at 132; compared to its 52-week range of 20 to 421.

SkyWest Airlines (SKYW) 30-day option implied volatility is at 115; compared to its 52-week range of 21 to 255.

Southwest Airlines (LUV) 30-day option implied volatility is at 88; compared to its 52-week range of 17 to 204.

Increasing unusual option volume: EWA XP TCO OIL CZR IVR
Increasing unusual call option volume: ZGNX UCO FAZ ESTC SAN KBE
Increasing unusual put option volume: EWA TCO CZR HST EURN RF GSX
Options with decreasing option implied volatility: GS BAC MS USB SCO INO AVDL PAA CHNG GUSH DAL IMMU TJX
Active options: BAC T AAPL TSLA MSFT AMD NFLX BA AMZN SPCE DAL GE AAL ZM ROKU FB JPM UAL XOM ET