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: AEO DISH AMZN FCAU

Popular options with increasing volume: BA DAL OXY AAL GILD

Gilead Sciences (GILD) April weekly calls option implied volatility is at 88, May is at 73; compared to its 52-week range of 19 to 108 after report on remdesivir COVID-19 trial. Call put ratio 1.5 calls to 1 put.

Abbott (ABT) and Eli Lilly (LLY) at record high, IV ticks lower

Abbott (ABT) 30-day option implied volatility is at 43; compared to its 52-week range of 16 to 70 amid shares at record high. Call put ratio 5.8 calls to 1 put with focus on April weekly calls.

Eli Lilly (LLY) 30-day option implied volatility is at 35; compared to its 52-week range of 16 to 68 amid shares at record high. Call put ratio 1.8 calls to 1 put.

Boeing (BA) 30-day option implied volatility is at 105; compared to its 52-week range of 23 to 222 after announcing resumption of Washington state production. Call put ratio 3.7 calls to 1 put with focus on April 160 calls.

Nordstrom (JWN) 30-day option implied volatility is at 106; compared to its 52-week range of 31 to 171 into announcing it suspended its quarterly cash dividends and share repurchases. Call put ratio 1 call to 1.7 puts.

Shopify (SHOP) 30-day option implied volatility is at 88; compared to its 52-week range of 37 to 124. Call put ratio 1.5 calls to 1 put amid shares trading near record high.

IV for stocks reporting next week

Haliburton (HAL) April weekly call option implied volatility is at 129, May is at 110; compared to its 52-week range of 28 to 224 into the expected release of quarter results before the bell on April 20.

International Business Machines (IBM) April weekly call option implied volatility is at 64, May is at 45; compared to its 52-week range of 14 to 84 into the expected release of quarter results after the bell on April 20. Call put ratio 2.4 calls to 1 put with focus on April calls expiring today.

Steel Dynamics (STLD) May call option implied volatility is at 65, August is at 57; compared to its 52-week range of 28 to 125 into the expected release of quarter results after the bell on April 20.
April 21
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Canadian Pacific Railway (CP) May call option implied volatility is at 36, June is at 35; compared to its 52-week range of 41 to 91 into the expected release of quarter results on April 21.

Chipotle Mexican Grill (CMG) April weekly call option implied volatility is at 77, May is at 60; compared to its 52-week range of 19 to 124 into the expected release of quarter results after the bell on April 21.

Chubb (CB) May call option implied volatility is at 52, August is at 48; compared to its 52-week range of 20 to 125 into the expected release of quarter results after the bell on April 21.

Coca-Cola (KO) April weekly call option implied volatility is at 47, May is at 39; compared to its 52-week range of 39 to 77 into the expected release of quarter results before the bell on April 21. Call put ratio 3.9 calls to 1 put with focus on April and April weekly 48 calls.

Comerica (CMA) May call option implied volatility is at 77, July is at 60; compared to its 52-week range of 83 to 162 into the expected release of quarter results before the bell on April 21.

HCA Healthcare (HCA) April weekly call option implied volatility is at 93, May is at 71; compared to its 52-week range of 79 to 167 into the expected release of quarter results before the bell on April 21.

Interactive Brokers (IBKR) May call option implied volatility is at 50, June is at 49; compared to its 52-week range of 25 to 107 into the expected release of quarter results after the bell on April 21.

JetBlue (JBLU) May call option implied volatility is at 105, June is at 98; compared to its 52-week range of 23 to 221 into the expected release of quarter results before the bell on April 21. Call put ratio 2.8 calls to 1 put.

Lockheed Martin (LMT) April weekly call option implied volatility is at 45, May is at 40; compared to its 52-week range of 14 to 87 into the expected release of quarter results before the bell on April 21. Call put ratio 15 calls to 1 put with focus on April 400 calls.

Netflix (NFLX) April weekly call option implied volatility is at 114, May is at 71; compared to its 52-week range of 27 to 98 the expected release of quarter results after the bell on April 21.

Philip Morris (MO) April weekly call option implied volatility is at 39, May is at 33; compared to its 52-week range of 18 to 93 into the expected release of quarter results before the bell on April 21.

SAP (SAP) May call option implied volatility is at 38, June is at 27; compared to its 52-week range of 17 to 79 into the expected release of quarter results before the bell on April 21.

Six Flags Entertainment (SIX) May call option implied volatility is at 115, June is at 106; compared to its 52-week range of 23 to 264 into the expected release of quarter results on April 21.

SNAP (SNAP) April weekly call option implied volatility is at 150, May is at 94; compared to its 52-week range of 38 to 127 into the expected release of quarter results before the bell on April 21.

Texas Instruments (TXN) April weekly call option implied volatility is at 67, May is at 49; compared to its 52-week range of 47 to 95 into the expected release of quarter results after the bell on April 21.

Travelers (TRV) April weekly call option implied volatility is at 43, May is at 36; compared to its 52-week range of 14 to 123 into the expected release of quarter results before the bell on April 21.

Increasing unusual option volume: WPX EWA OIL GDS
Increasing unusual call option volume: GDS OIL INDA CIM SPR
Increasing unusual put option volume: WPX EWA ACM FXA GILD
Options with decreasing option implied volatility: BA SLB HAL LLY ABT SCO APA PAA BE ET FRO CVNA
Active options: AAPL BA GILD TSLA BAC MSFT AMZN AMD NFLX FB JPM GE ROKU DIS NVDA C DAL OXY AAL BABA