Mid-session IV Report April 6, 2020

Mid-session IV Report April 6, 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: LK FCAU AEO GPS UPWK DHT VIAC SU XLY

Popular options with increasing volume: LK UBER GILD CCL AAL

Option implied volatility bending lower

Gilead Sciences (GILD) 30-day option implied volatility is at 74; compared to its 52-week range of 19 to 108 into the expected release of clinical data for Gilead’s anti-viral drug remdesivir for the treatment of COVID-19. Call put ratio 3.9 calls to 1 put.

Regeneron (REGN) 30-day option implied volatility is at 54; compared to its 52-week range of 25 to 78. Call put ratio 2.8 calls to 1 put amid shares up 2.3%.

Insurance IV ticks lower from elevated levels as shares near multi-year lows

AIG (AIG) 30-day call option implied volatility is at 85; compared to its 52-week range of 18 to 145 amid shares at low end of range. Call put ratio 3.5 calls to 1 put with focus on May weekly (1) 24 calls.

Hartford Financial (HIG) 30-day call option implied volatility is at 75; compared to its 52-week range of 14 to 123.

Travelers (TRV) 30-day call option implied volatility is at 53; compared to its 52-week range of 14 to 122.

Chubb Corp. (CB) 30-day call option implied volatility is at 56; compared to its 52-week range of 14 to 122.

Yield ETF IV moves lower

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 32; compared to its 52-week range of 4 to 58. Call put ratio 1 call to 10.6 puts.

Ishares Iboxx $ High Yield Corporate Bond Etf (HYG) 30-day option implied volatility is at 31; compared to its 52-week range of 5 to 53. Call put ratio 1 call to 5.4 puts shares up 2%.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 21; compared to its 52-week range of 4 to 75. Call put ratio 1 call to 10.3 puts with focus on April 116 and June 117 puts.

iShares MSCI Brazil (EWZ) 30-day call option implied volatility is at 76; compared to its 52-week range of 22 to 148 amid shares up 9.6%.

Ishares Msci Mexico Capped Etf (EWW) 30-day call option implied volatility is at 58; compared to its 52-week range of 15 to 105 amid weak Mexican Peso and energy prices.

Large cap stocks from a variety of sectors share prices are bid as IV offered lower

iShares Nasdaq Biotechnology (IBB) 30-day call option implied volatility is at 40; compared to its 52-week range of 17 to 80. Call put ratio 1.9 calls to 1 put amid shares up 4%.

Kohl’s (KSS) 30-day call option implied volatility is at 112; compared to its 52-week range of 27 to 159 amid shares tick up from 20-year low.

Apache Corp. (APA) 30-day call option implied volatility is at 280; compared to its 52-week range of 35 to 245. Call put ratio 2.4 calls to 1 put.

Wells Fargo (WFC) 30-day call option implied volatility is at 65; compared to its 52-week range of 16 to 138.

Increasing unusual option volume: NVT IMMU LADR WEAT UCO MAT
Increasing unusual call option volume: NVT LADR NCR UCO WEAT TWM SAN STWD DBA
Increasing unusual put option volume: CVE IMMU MAT PK ABB LEVI
Options with decreasing option implied volatility: CAKE SABR TLRY SDOW NCLH UVXY GES RCL
Active options: AAPL LK AMD BAC MSFT TSLA AAL BA DAL CCL ZM F MU NVDA GE DIS FB UBER GILD AMZN