Mid-session IV Report April 23, 2020

Mid-session IV Report April 23, 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: WLL CHK SCO INO CHK NVAX STNG DHT FCAU IMMU PDD TGT AGN

Popular options with increasing volume: ZM WLL AAL INTC ROKU GOLD DIS UBER WLL CHK

Apple (AAPL) April weekly call option implied volatility is at 45, May is at 43; compared to its 52-week range of 18 to 90 after Bloomberg reported that Apple will begin using its own processors in Macs as of 2021. Apple is expected to release quarter results on April 30.

IV into quarter results

Intel (INTC) April weekly call option implied volatility is at 127, May is at 67; compared to its 52-week range of 20 to 99 after Bloomberg reported that Apple (AAPL) will begin using its own processors in Macs as of 2021. Call put ratio 2.1 calls to 1 put with focus on June 70 calls into the expected release of quarter results today after the bell.

Alaska Air (ALK) May call option implied volatility is at 96, June is at 88; compared to its 52-week range of 21 to 233 into the expected release of quarter results on May 5. Call put ratio 4.5 calls to 1 put.

Bank OZK (OZK) May call option implied volatility is at 71, June is at 65; compared to its 52-week range of 24 to 141 into the expected release of quarter results after the bell on April 23. Call put ratio 1 call to 6 puts.

Freeport-McMoRan (FCX) April weekly call option implied volatility is at 205, May is at 89; compared to its 52-week range of 35 to 184 into the expected release of quarter results before the bell on April 24. Call put ratio 2.6 call to 1 put.

World Wrestling Entertainment (WWE) May call option implied volatility is at 83, June is at 61; compared to its 52-week range of 33 to 153 into the expected release of quarter results after the bell on April 23. Call put ratio 1 call to 2.2 puts with focus on May 30 puts.

American Airlines (AAL) April weekly call option implied volatility is at 122, May is at 120; compared to its 52-week range of into the expected release of quarter results before the bell on April 24. Call put ratio 1 call to 1.9 puts.

American Express (AXP) April weekly call option implied volatility is at 123, May is at 62; compared to its 52-week range of into the expected release of quarter results before the bell on April 24. Call put ratio 1.5 calls to 1 put with focus on April weekly 24 calls.

AutoNation (AN) May call option implied volatility is at 70, June is at 65; compared to its 52-week range of 23 to 118 into the expected release of quarter results before the bell on April 24.

Ventas (VTR) May call option implied volatility is at 77, June is at 78; compared to its 52-week range of 19 to 195 into the expected release of quarter results before the bell on April 24. Call put ratio 1 calls to 3.5 puts.

Verizon (VZ) April weekly call option implied volatility is at 43, May is at 30; compared to its 52-week range of 12 to 72 into the expected release of quarter results before the bell on April 24.

Sony (SNE) April weekly call option implied volatility is at 35, May is at 42; compared to its 52-week range of 18 to 71 into the expected release of quarter results before the bell on May 13.

Chesapeake Energy (CHK) 30-day option implied volatility is at 221; compared to its 52-week range of 59 to 524. Call put ratio 1.2 calls to 1 put as shares rally 33%.

Whiting Petroleum (WLL) 30-day option implied volatility is at 430; compared to its 52-week range of 51 to 476. Call put ratio 3.4 calls to 1 put as shares rally 120%.

Cameco Corp. (CCJ) 30-day option implied volatility is at 57; compared to its 52-week range of 30 to 95. Call put ratio 3.1 calls to 1 put with April weekly 9.5 and 100 calls.

Increasing unusual option volume: OIL DVAX OAS FE WLL AGI TK
Increasing unusual call option volume: OIL FE DVAX OAS WLL AGI TK
Increasing unusual put option volume: JMIA WLL KSU MLNX OIL DHT AM INO
Options with decreasing option implied volatility: OVV EXPE MPLX CCL DISH DAL LYV SNAP BIIB NFLX XLNX
Active options: AAPL SNAP AMD NFLX FB TSLA MSFT ZM WLL BA MU AMZN BAC AAL INTC ROKU NVDA GOLD DIS UBER