Mid-session IV Report April 24, 2020

Mid-session IV Report April 24, 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: AVDL NVAX NAT DHT PDD TGT WB AGN TIF

Popular options with increasing volume: TLRY PBR ET ZM AAL

Peloton (PTON) 30-day option implied volatility is at 105; compared to its 52-week range of 58 to 157 amid shares rallying 5.5%. Call put ratio 3.5 calls to 1 put with focus on April weekly and May calls after a Bloomberg report of new subscribers.

Canadian National Railway (CNI) May call option implied volatility is at 35, June is at 31; compared to its 52-week range of 15 to 91 into the expected release of quarter results on April 27.

Continental Resources (CLR) May weekly call option implied volatility is at 136, May is at 130; compared to its 52-week range of 36 to 252 into the expected release of quarter results on April 27.

National Oilwell (NOV) May weekly call option implied volatility is at 110, May is at 91; compared to its 52-week range of 30 to 207 into the expected release of quarter results after the bell on April 27. Call put ratio 16.50 calls to 1 put.

Southern Copper Corp (SCCO) May call option implied volatility is at 54, June is at 50; compared to its 52-week range of 23 to 114 into the expected release of quarter results after the bell on April 27.

Advanced Micro Devices (AMD) May weekly call option implied volatility is at 95, May is at 71; compared to its 52-week range of 35 to 116 into the expected release of quarter results after the bell on April 28. Call put ratio 1.6 calls to 1 put.

Alphabet (GOOGL) May weekly call option implied volatility is at 55, May is at 42; compared to its 52-week range of 15 to 75 into the expected release of quarter results after the bell on April 28. Call put ratio 1 call to 1.2 puts.

Starbucks (SBUX) May weekly call option implied volatility is at 62, May is at 51; compared to its 52-week range of 15 to 109 into the expected release of quarter results after the bell on April 28. Call put ratio 1.4 calls to 1 put.

Apple (AAPL) April weekly call option implied volatility is at 54, May is at 44; compared to its 52-week range of 18 to 90 into the expected release of quarter results after the bell on April 30.

Country ETF option implied volatility decreases

Vanguard Ftse Europe Etf (VGK) 30-day option implied volatility is at 33; compared to its 52-week range of 10 to 78.

Ishares Msci Emerging Markets Etf (EEM) 30-day option implied volatility is at 37; compared to its 52-week range of 14 to 89.

Ishares Msci Chile Capped Etf (ECH) 30-day option implied volatility is at 40; compared to its 52-week range of 15 to 85.

Ishares Msci South Korea Capped Etf (EWY) 30-day option implied volatility is at 42; compared to its 52-week range of 15 to 91. Call put ratio 1 call to 13.9 puts with focus on May 45 puts.

Credit Suisse (CS) 30-day call option implied volatility is at 59; compared to its 52-week range of 19 to 137 as shares near record low. Call put ratio 6.2 calls to 1 put with focus on January 25 calls.

Increasing unusual option volume: OAS NVRO DBA WLL HTHT OIL LLNW PZZA
Increasing unusual call option volume: OAS DBA OIL PZZA WLL PLAY LLNW PLAY
Increasing unusual put option volume: DISCA WLL GLUU HTHT INFN DKNG
Options with decreasing option implied volatility: INTC SKX DDD EXPE HAL BX NFLX AXP BIIB
Active options: AAPL TSLA BA ZM AMD BYND INTC NFLX SNAP FB AMZN BAC MSFT AAL GE GILD ET WLL PBR TLRY