Mid-session IV Report August 28, 2020

Mid-session IV Report August 28, 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: HLF QRTEA SFIX NIO ARN QDEL TCO ROKU ABT NFLX NKE WMT CAN COST

Popular stocks with increasing unusual volume: AAPL TSLA NIO MSFT WMT ROKU INTC BAC AMD BA CCL FB PTON CRM AAL AMZN NVDA C ULTA NCLH

IV movement increases

Apple (AAPL) August weekly call option implied volatility is at 61, September weekly is at 51, September is at 50; compared to its 52-week range of 18 to 90 into 4 for 1 stock split. Call put ratio 2.6 calls to 1 put.

Tesla (TSLA) August weekly call option implied volatility is at 135, September weekly is at 95, September is at 92; compared to its 52-week range of 34 to 154 into 5 for 1 stock split. Call put ratio 2.1 calls to 1 put. Tesla will host a Battery Day event after its annual meeting on September 22.

Peloton (PTON) September weekly call option implied volatility is at 75, September is at 95; compared to its 52-week range of 58 to 158 into the expected release of quarter results on September 9. Call put ratio 7.8 calls to 1 put with focus on September weekly 75 calls.

Shopify (SHOP) September call option implied volatility at 55, September is at 53; compared to its 52-week range of 40 to 124 as shares near 52-week high. Call put ratio 3.6 calls to 1 put.

DraftKings (DKNG) August weekly call option implied volatility is at 120, September is at 84, September is at 82; compared to its 52-week range of 54 to 142 as shares sell off 4.9%. Call put ratio 2.2 calls to 1 put.

Fluidigm (FLDM) September call option implied volatility is at 187, October is at 175; compared to its 52-week range of 61 to 396 as shares rally 4%. Call put ratio 11 calls to 1 put with focus on September 7.5, 10 and 12.50 calls.

Herbalife Nutrition (HLF) call put ratio 1 call to 1.7 puts after charged in a criminal case by U.S. prosecutors, according to Bloomberg.

Option implied volatility into quarter results and outlook

Rackspace Technology (RXT) September call option implied volatility is at 94, October is at 91; compared to its 5-week range of 81 to 146 into the expected release of quarter results on August 31. Call put ratio 104 calls to 1 put with focus on September 22.50 calls.

Zoom Video (ZM) September weekly call option implied volatility is at 112, September is at 82; compared to its 52-week range of 36 to 137 into the expected release of quarter results after the bell on August 31. Call put ratio 4.6 calls to 1 put with focus on September weekly 300 calls.

At Home Group (HOME) September call option implied volatility is at 115, October is at 105; compared to its 52-week range of 59 to 280 into the expected release of quarter results after the bell on September 1. Call put ratio 9.6 calls to 1 put with focus on September 20 calls.

Block H&R (HRB) September call option implied volatility is at 63, October is at 51; compared to its 52-week range of 19 to 110 into the expected release of quarter results after the bell on September 1. Call put ratio 18 calls to 1 put with focus on September 15 calls.

Increasing unusual option volume: HLF BLDR GRWG WDAY OI CBRL ULTA GES GIII QRTEA DELL BHR QGEN
Increasing unusual call option volume: CBRL IEF GRWG WDAY ULTA DELL VFC QGEN
Increasing unusual put option volume: GES WDAY ERIC SKX BILL CFG ULTA HLF YUMC NTR
Options with decreasing option implied volatility: ANTM KPTI BHC KEY DLTR PANW ARCC TIF SHY
Active options: AAPL TSLA WMT NIO MSFT BAC ROKU AMD BA INTC PTON CCL FB AAL CRM WDAY NFLX GPS C AMZN