Mid-session IV Report April 17, 2020

Mid-session IV Report April 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: SLB TSM STT KSU USO

Popular options with increasing volume: ABT GILD WORK

IV for tech stocks as shares trend up over last three-weeks

Tesla (TSLA) April option implied volatility is at 101, May is at 100; compared to its 52-week range of 34 to 154 after shares rally 57% over 7 straight sessions. Call put ratio 1.2 call to 1 put into the expected release of results after the bell on April 22.

Alphabet (GOOGL) 30-day call option implied volatility is at 43; compared to its 52-week range of 14 to 75. Call put ratio 3.2 calls to 1 put into the expected release of quarter results after the bell on April 27.

Facebook (FB) 30-day call option implied volatility is at 48; compared to its 52-week range of 21 to 81. Call put ratio 1.5 calls to 1 put into the expected release of quarter results after the bell on April 29.

Netflix (NFLX) 30-day call option implied volatility is at 69; compared to its 52-week range of 26 to 99 amid a three week rally. Call put ratio 2.3 calls to 1 put into the expected release of quarter results after the bell on April 29.

Microsoft (MSFT) 30-day call option implied volatility is at 42; compared to its 52-week range of 15 to 90 amid a three week rally. Call put ratio 2.7 calls to 1 put into the expected release of quarter results after the bell on April 29.

IV for stocks reporting results

Intuitive Surgical (ISRG) April call option implied volatility is at 89, May is at 49; compared to its 52-week range of 20 to 101 into the expected release of quarter results today after the bell.

Taiwan Semiconductor (TSM) April call option implied volatility is at 47, May is at 38; compared to its 52-week range of 43 to 75 into the expected release of quarter results today. Call put ratio 5.9 calls to 1 put with focus on April 52.50 and 53 calls.

Schlumberger (SLB) April call option implied volatility is at 155, May is at 83; 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 1.3 calls to 1 put with focus on April 15 calls.

Proctor & Gamble (PG) April call option implied volatility is at 74, May is at 35; 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 5.9 calls to 1 put with focus on April 121 and 122 calls.

State Street (STT) April call option implied volatility is at 38, May is at 54; compared to its 52-week range of into 23 to 111 the expected release of quarter results before the bell on April 17.

Protein stocks option implied volatility amid Smithfield Foods to close 2 more pork plants amid pandemic, WSJ reports

Tyson Foods (TSN) 30-day option implied volatility is at 56; compared to its 52-week range of 20 to 112.

Hormel (HRL) 30-day option implied volatility is at 34; compared to its 52-week range of 15 to 69.

Conagra Brands (CAG) 30-day option implied volatility is at 42; compared to its 52-week range of 23 to 116.

Sanderson Farms (SAFM) 30-day option implied volatility is at 55; compared to its 52-week range of 27 to 94.