Mid-session IV Report August 27, 2020

Mid-session IV Report August 27, 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: NIO SHLL QDEL SFIX RAD AAPL ABT WW BYND TCO FB ADBA BABA GOOG MSFT QRTEA FPAC QDEL AMRN TZOO

Popular stocks with increasing unusual volume: MSFT AAL AAPL NIO BA TSLA BAC FB DIS JPM BYND AMD GPS SQ NFLX BABA CCL ABT DAL UAL

Calls stay active in FB and NFLX after sharp rally

Facebook (FB) August weekly call option implied volatility is at 50, August is at 47; compared to its 52-week range of 20 to 81 as shares sell off 1.9%. Call put ratio 2.3 calls to 1 put.

Netflix (NFLX) August weekly call option implied volatility is at 54, September is at 42; compared to its 52-week range of 27 to 99 as shares sell off 2.7%. Call put ratio 2.2 calls to 1 put.

DraftKings (DKNG) August weekly call option implied volatility is at 91, September is at 78; compared to its 52-week range of 54 to 142 after NBA playoff events. Call put ratio 1.5 calls to 1 put.

Peloton (PTON) August weekly call option implied volatility is at 77, September is at 89; compared to its 52-week range of 58 to 158 into the expected release of quarter results on September 10.

Fluidigm (FLDM) September call option implied volatility is at 180, October is at 163; compared to its 52-week range of 61 to 396 as shares sell off 32%. Call put ratio 4.6 calls to 1 put with focus on September 7.5, 10 and 12.50 calls.

Fitbit (FIT) 30-day average of 30 compares to its 52-week range of 13 to 127 after Amazon (AMZN) introduces health and wellness wristband named Halo. Call put ratio 36 calls to 1 put with focus on January 10 calls.

Gold, silver and oil calls active

Market Vectors Gold Miners ETF (GDX) August weekly call option implied volatility is at 56, September is at 44; compared to its 52-week range of 22 to 158. Call put ratio 3.5 calls to 1 put as shares down 3.9%.

Ishares Silver Trust (SLV) August option implied volatility is at 58, September is at 53; compared to its 52-week range of 14 to 94. Call put ratio 5.3 calls to 1 put.

United States Oil Fund (USO) August weekly option implied volatility is at 31, September is at 27; compared to its 52-week range of 22 to 248. Call put ratio 2.7 calls to 1 put.

Option implied volatility into quarter release and outlook

Dell Technologies (DELL) September call option implied volatility is at 55, October is at 47; compared to its 52-week range to 26 to 117 into the expected release of quarter results today after the bell. Call put ratio 6.2 calls to 1 put.

Gap (GPS) August weekly call option implied volatility is at 228, September is at 85; compared to its 52-week range of 32 to 131 into the expected release of quarter results today after the bell. Call put ratio 3.7 calls to 1 put.

HP Inc (HPQ) August weekly call option implied volatility is at 150, September is at 51; compared to its 52-week range 21 to 109 into the expected release of quarter results today after the bell. Call put ratio 10.3 calls to 1 put with focus on August weekly 19.50 calls.

Marvell Technology (MRVL) August weekly call option implied volatility is at 142, September is at 51; compared to its 52-week range 28 to 99 into the expected release of quarter results today after the bell. Call put ratio 1.1 calls to 1 put.

Ulta Beauty (ULTA) August weekly call option implied volatility is at 180, September is at 59; compared to its 52-week range of 26 to 145 into the expected release of quarter results today after the bell.

VMware (VMW) August weekly call option implied volatility is at 142, September is at 49; compared to its 52-week range of 23 to 85 into the expected release of quarter results today after the bell. Call put ratio 4.4 calls to 1 put with focus on August weekly 144 calls.

Workday (WDAY) August weekly call option implied volatility is at 165, September is at 55; compared to its 52-week range of 27 to 85 into the expected release of quarter results today after the bell. Call put ratio 1.4 calls to 1 put.

Big Lots (BIG) August weekly call option implied volatility is at 84, September is at 69; compared to its 52-week range 40 to 160 into the expected release of quarter results before the bell on August 28. Call put ratio 10 calls to 1 put with focus on September 57.5 and 60 calls.

Increasing unusual option volume: FLDM QRTEA GRWG IMAX LI SOYB NSC SOYB PEIX ABT
Increasing unusual call option volume: QRTEA FLDM IMAX NSC GRWG LI DKS SOYB PEIX
Increasing unusual put option volume: LI HOLX ERIC BOX DKS DB QDEL DLTR SPLK ANF WSM MNK NTAP
Options with decreasing option implied volatility: CRON BSGM JWN PDD BZUN DKS PANW ROST DE IRM
Active options: AAPL AAL TSLA BA NIO FB BYND ABT MSFT SQ NFLX PTON CCL AMD DKNG CRM NCLH BAC DIS UAL