Mid-session IV Report April 22, 2020

Mid-session IV Report April 22, 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: LB PDD FCX CME LVS TGT KMI AGN UCO SCO

Popular options with increasing volume: DAL ACB UAL ROKU GE

Market Vectors Semiconductor ETF (SMH) April weekly call option implied volatility is at 58, April is at 49; compared to its 52-week range of 18 to 90 as shares rally 3.9%. Call put ratio 1 call to 1.3 puts.

L Brands (LB) call put ratio 1 call to 1 puts. April weekly call option implied volatility is at 94; compared to its 52-week range of 35 to 202 amid Bloomberg reports Sycamore said to try backing out of Victoria’s Secret deal. Call put ratio 1 call to 1 puts.

Biogen (BIIB) 30-day call option implied volatility is at 51; compared to its 52-week range of 25 to 63 after initiated re-dosing study for aducanumab. Call put ratio 1.1 calls to 1 as shares sell off 11%.

L Brands (LB) call put ratio 1 call to 1 puts. April weekly call option implied volatility is at 94; compared to its 52-week range of 35 to 202 amid Bloomberg reports Sycamore said to try backing out of Victoria’s Secret deal. Call put ratio 1 call to 1 puts.

Option implied volatility into EPS and outlook

Kinder Morgan (KMI) April weekly call option implied volatility is at 70, May is at 61; compared to its 52-week range of 16 to 141 into the expected release of quarter results today after the bell.

Lam Research (LRCX) April weekly call option implied volatility is at 121, May is at 69; compared to its 52-week range of 26 to 105 into the expected release of quarter results today after the bell. Call put ratio 1.2 calls to 1 put.

Las Vegas Sands (LVS) April weekly call option implied volatility is at 170, May is at 89; compared to its 52-week range of 84 to 180 into the expected release of quarter results today after the bell. Call put ratio 4.8 calls to 1 put.

Seagate (STX) April weekly call option implied volatility is at 102, May is at 60; compared to its 52-week range of 23 to 90 into the expected release of quarter results today.

Visa (V) April weekly call option implied volatility is at 56, May is at 52; compared to its 52-week range of 16 to 90 into the expected release of quarter results today.

Alaska Air (ALK) April weekly call option implied volatility is at 99, May is at 90; compared to its 52-week range of 21 to 233 into the expected release of quarter results on April 23. Call put ratio 3.7 calls to 1 put.

Bank OZK (OZK) May call option implied volatility is at 77, June is at 68; compared to its 52-week range of 24 to 141 into the expected release of quarter results after the bell on April 23.

Blackstone (BX) April weekly call option implied volatility is at 100, May is at 68; compared to its 52-week range of 19 to 116 into the expected release of quarter results before the bell on April 23.

Citrix (CTXS) April weekly call option implied volatility is at 94, May is at 50; compared to its 52-week range of 15 to 76 into the expected release of quarter results before the bell on April 23. Call put ratio 9 calls to 1 put with focus on May and June calls.

Domino’s Pizza (DPZ) April weekly call option implied volatility is at 145, May is at 65; compared to its 52-week range of 22 to 86 into the expected release of quarter results before the bell on April 23. Call put ratio 8.4 calls to 1 put with focus on April weekly 370 calls.

Freeport-McMoRan (FCX) April weekly call option implied volatility is at 165, May is at 90; compared to its 52-week range of 34 to 184 into the expected release of quarter results before the bell on April 23. Call put ratio 1 call to 2.4 puts.

Hershey (HSY) April weekly call option implied volatility is at 82, May is at 35; compared to its 52-week range of 35 to 185 into the expected release of quarter results before the bell on April 23.

World Wrestling Entertainment (WWE) April weekly call option implied volatility is at 86, May is at 71; compared to its 52-week range of 33 to 153 into the expected release of quarter results after the bell on April 23.

Amazon (AMZN) April weekly call option implied volatility is at 50, May is at 53; compared to its 52-week range of 17 to 69 into the expected release of quarter results on April 30. Call put ratio 2.3 calls to 1 put.

Tanker company IV and option volume up on large price moves

Teekay Tankers Ltd (TNK) 30-day option implied volatility is at 127; compared to its 52-week range of 64 to 182. Call put ratio 2.1 calls to 1 put.

Euronav (EURN) 30-day option implied volatility is at 125; compared to its 52-week range of 26 to 145. Call put ratio 5.4 calls to 1 put.

Frontline (FRO) 30-day option implied volatility is at 119; compared to its 52-week range of 43 to 164. Call put ratio 6.5 calls to 1 put with focus on May calls.

Scorpio Tankers (STNG) 30-day option implied volatility is at 155; compared to its 52-week range of 49 to 208. Call put ratio 12.9 calls to 1 put with focus on May calls.

Pandemic pantry stocks IV as shares pull back

Clorox (CLX) 30-day option implied volatility is at 37; compared to its 52-week range of 14 to 81. Call put ratio 4.1 calls to 1 put with focus on April weekly calls.

Colgate-Palmolive (CL) 30-day option implied volatility is at 40; compared to its 52-week range of 14 to 97.

Procter & Gamble (PG) 30-day option implied volatility is at 36; compared to its 52-week range of 13 to 96. Call put ratio 5.5 calls to 1 put with focus on April weekly and May calls.

Increasing unusual option volume: OIL AM TK BCS CORN CS FLIR
Increasing unusual call option volume: OIL AM BCS TK FLIR WSM
Increasing unusual put option volume: OIL PCG CAR SOXS WU DDD IBKR
Options with decreasing option implied volatility: NFLX DAL SNAP CMG
Active options: SNAP NFLX FB PCG AAPL TSLA AMD MSFT DAL BA T BAC AMZN AAL NVDA MU ACB UAL ROKU GE