Mid-session IV Report April 20, 2020

Mid-session IV Report April 20, 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: CMG DPZ FXF FENY SHO EFC

Popular options with increasing volume: M OXY XOM F

Netflix (NFLX) April weekly call option implied volatility is at 153, May is at 74; compared to its 52-week range of 27 to 98 the expected release of quarter results after the bell on April 21. Call put ratio 2.9 calls to 1 put with focus on April weekly 450 calls.

Refiner option implied volatility as front month WTI Crude sells off 42%. WTI front month at $10.38

Phillips 66 (PSX) 30-day option implied volatility is at 72; compared to its 52-week range of 17 to 118 as WTI Crude sells off 42%.

Marathon Petroleum (MPC) 30-day option implied volatility is at 92; compared to its 52-week range of 29 to 13%. Call put ratio 7.2 calls to 1 put with focus on October 35 calls.

Valero (VLO) 30-day option implied volatility is at 78; compared to its 52-week range of 22 to 144. Call put ratio 1 calla to 3.6 puts.

Reit IV flat as shares trend lower

Vanguard Reit Etf (VNQ) 30-day option implied volatility is at 46; compared to its 52-week range of 10 to 89 as share price is down 2%. Call put ratio 1 call to 2.2 puts with focus on May puts.

SL Green Realty (SLG) 30-day option implied volatility is at 81; compared to its 52-week range of 16 to 124 as shares sell off 3%.

Boston Properties (BXP) 30-day option implied volatility is at 55; compared to its 52-week range of 14 to 105 as shares sell off 2.6%.

Simon Property Group (SPG) 30-day option implied volatility is at 101; compared to its 52-week range of 17 to 154.

Equity Residential (EQR) 30-day option implied volatility is at 54; compared to its 52-week range of 14 to 91.

Kimco Realty (KIM) 30-day option implied volatility is at 87; compared to its 52-week range of 15 to 116 as shares sell off 2%. Call put ratio 3 calls to 1 put.

Regency Centers (REG) 30-day option implied volatility is at 74; compared to its 52-week range of 16 to 112 as shares sell off 4%.

Welltower (WELL) 30-day option implied volatility is at 77; compared to its 52-week range of 16 to 183 as shares sell off 3%. Call put ratio 1.9 call to 1 put.

Mack-Cali Realty (CLI) 30-day option implied volatility is at 81; compared to its 52-week range of 16 to 92 as shares sell off 3%.

Monmouth Real Estate (MNR) 30-day option implied volatility is at 51; compared to its 52-week range of 12 to 133.

Macerich (MAC) 30-day option implied volatility is at 132, compared to its 52-week range of 22 to 230. Call put ratio 1 call to 1.8 puts.

Pennsylvania Real Estate (PEI) 30-day option implied volatility is at 138, compared to its 52-week range of 39 to 366. Call put ratio 4.1 calls to 1 put.

Seritage Growth (SRG) 30-day option implied volatility is at 133, compared to its 52-week range of 19 to 301.

Taubman Centers (TCO) 30-day option implied volatility is at 88, compared to its 52-week range of 11 to 113. Call put ratio 1 call to 34 puts with focus on May 35 and June 30 puts.

Brookfield Property (BPY) 30-day option implied volatility is at 94, compared to its 52-week range of 12 to 175.

Washington Prime (WPG) 30-day option implied volatility is at 120, compared to its 52-week range of 30 to 262.

Douglas Emmett (DEI) 30-day option implied volatility is at 57, compared to its 52-week range of 11 to 109.

International Business Machines (IBM) May weekly call option implied volatility is at 86, May is at 49; compared to its 52-week range of 14 to 84 into the expected release of quarter results today after the bell. Call put ratio 1.4 calls to 1 put with focus on April weekly 120 calls.

Canadian Pacific Railway (CP) May call option implied volatility is at 40, June is at 39; compared to its 52-week range of 41 to 91 into the expected release of quarter results on April 21. Call put ratio 1 call to 3.7 puts.

Chipotle Mexican Grill (CMG) April weekly call option implied volatility is at 110, May is at 63; 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 56, 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. Call put ratio 1 call to 4 puts.

Coca-Cola (KO) April weekly call option implied volatility is at 59, May is at 40; 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 1.1 calls to 1 put with focus on April weekly 48 calls.

Comerica (CMA) May call option implied volatility is at 79, 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. Call put ratio 1 call to 5 puts.

HCA Healthcare (HCA) April weekly call option implied volatility is at 120, May is at 67; 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 45; compared to its 52-week range of 25 to 107 into the expected release of quarter results after the bell on April 21. Call put ratio 19 calls to 1 put with focus on May 50 and 55 calls.

JetBlue (JBLU) May call option implied volatility is at 102, June is at 95; 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 1.2 calls to 1 put.

Lockheed Martin (LMT) April weekly call option implied volatility is at 45, May is at 44; 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 2.9 calls to 1 put with focus on April 400 calls.

Netflix (NFLX) April weekly call option implied volatility is at 153, May is at 74; compared to its 52-week range of 27 to 98 the expected release of quarter results after the bell on April 21. Call put ratio 2.9 calls to 1 put with focus on April weekly 450 calls.

Philip Morris (MO) April weekly call option implied volatility is at 47, May is at 42; 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 40, June is at 30; compared to its 52-week range of 17 to 79 into the expected release of quarter results before the bell on April 21. Call put ratio 4.3 calls to 1 put.

Six Flags Entertainment (SIX) May call option implied volatility is at 123, June is at 101; compared to its 52-week range of 23 to 264 into the expected release of quarter results on April 21. Call put ratio 1 call to 2.5 puts.

SNAP (SNAP) April weekly call option implied volatility is at 200, May is at 105; compared to its 52-week range of 38 to 127 into the expected release of quarter results before the bell on April 21. Call put ratio 2.7 calls to 1 put with focus on April weekly 13.50 calls.

Texas Instruments (TXN) April weekly call option implied volatility is at 83, May is at 50; 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 44, 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. Call put ratio 1 call to 6.8 puts.

Increasing unusual option volume: RUTH NYT OIL OPK IVR FLIR UCO
Increasing unusual call option volume: OIL IVR UCO FLIR OPK
Increasing unusual put option volume: FITB OIL COUP OPK UCO EDU DHT XRX
Options with decreasing option implied volatility: HAL SLB ROKU
Active options: AAPL AMD BAC TSLA BA MSFT GILD ROKU AMZN GE NFLX XOM BABA OXY F DIS M FB DAL WMT