Mid-session IV Report December 16, 2019

Mid-session IV Report December 16, 2019

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: PCG REGI OMI NLY FIT FL TIF PCG REGI BTI UNH AMRN BA MRTX

Popular stocks with increasing unusual volume: UBER NFLX CGC PCG BHC UBER DHR

Financial Select Sector SPDR ETF (XLF) December call option implied volatility is at 12, January is at 11; compared to its 52-week range of 13 to 35 amid share price trades at record high. Call put ratio 2 calls to 1 put with focus on December 31 calls.

PG&E (PCG) December call option implied volatility is at 226, January is at 164; compared to its 52-week range of 28 to 254 after California Governor Gavin Newsom rejected the company’s plan to pay Northern California wildfire victims and exit bankruptcy. Call put ratio 1 call to 1.48 puts as shares sell off 13%.

Boeing (BA) December call option implied volatility is at 35, January is at 27; compared to its 52-week range of 23 to 46 after the WSJ reported the company is considering either halting or further cutting production of the 737 MAX. Call put ratio 1 call to 1 put.

Uber (UBER) November weekly call option implied volatility is at 41, January is at 36; compared to its 52-week range of 39 to 84. Call put ratio 2.9 calls to 1 put with focus on December 30 calls as shares rally 5.5%

Tesla (TSLA) December call option implied volatility is at 41, January is at 38; compared to its 52-week range of 37 to 75 as shares rally 5.2%. Call put ratio 1.8 calls to 1 put with focus on December 380 calls as shares rally 5.3%.

Jabil (JBL) December call option implied volatility is at 77, January is at 35; compared to its 52-week range of 21 to 47 into the expected release of quarter results before the bell on December 17.

Navistar (NAV) December call option implied volatility is at 90, January is at 45; compared to its 52-week range of 21 to 42 into the expected release of quarter results before the bell on December 17.

FedEx (FDX) December call option implied volatility is at 68, January is at 35; compared to its 52-week range of 21 to 42 into the expected release of quarter results after the bell on December 17. Call put ratio 1 call to 1.5 puts with focus on December 165 puts.

Micron (MU) December call option implied volatility is at 84, January is at 44; compared to its 52-week range of 33 to 65 into the expected release of quarter results after the bell on December 18. Call put ratio 1.7 calls to 1 put.

Increasing unusual option volume: MDLA ETRN SPR O WVE DHR CFX LEA SGH HEI TV IFF

Increasing unusual call option volume: AYI LEA IMGN WVE ETRN TRGP DRH CNP SNV

Increasing unusual put option volume: MDLA ETRN SPR O TV WVE IFF DHR PRI SNBR

Options with decreasing option implied volatility: AXSM SFIX UNFI OLLI GME FLXN S CHWY SPCE PLCE PLAY CIEN AXSM RAD HYG SPY BMRN SMH FXI SMH COST SVXY T SPY

Active options December 16: DHR AAPL TSLA AMD MU FB ROKU MSFT AMRN BA BAC UBER BABA AMZN NVDA NFLX CGC GE PCG BHC