Daily IV Report
Mid-session IV Report December 20, 2019
Mid-session IV Report December 20, 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: VALE RAD LULU […]
Mid-session IV Report December 20, 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: VALE RAD LULU MRK HYG CLVS I XLP XCLI RAD CNDT SWIR FFIV GSKY SWIR TIF MDCO WMGI
Popular stocks with increasing unusual volume: X VALE NKE XOM BB
Russell 2000 Index (RUT) January call option implied volatility is at 11, March is at 15; compared to its 52-week range of 12 to 34 into quadruple witching. RUT near 17-month highs as March IV bid above January.
Apple (AAPL) January call option implied volatility is at 18, March is at 23; compared to its 52-week range of 18 to 46 as shares at 52-week high up 74% for year. AAPL expected to report quarter results on January 27.
Goldman Sachs (GS) January and February call option implied volatility is at 20; compared to its 52-week range of 19 to 50 into 2020 investor day on January 29, 2020.
U.S. Steel (X) December call option implied volatility is at 144, January is at 56, February is at 57; compared to its 52-week range of 38 to 76 after lowering Q4 guidance and dividend cut. Call put ratio 1.4 calls to 1 put with focus on January 12 puts.
Vale S.A. (VALE) call put ratio 1 call to 1.6 puts with focus on January 11 and 13 puts as IV ticks up.
Rite Aid (RAD) December call option implied volatility is at 222, January is at 95; compared to its 52-week range of 65 to 166. Call put ratio 3.4 calls to 1 put with focus on December 14 calls after sharp rally on better than expected results.
Option implied volatility for Biotech & Pharma stocks into JPMorgan 38th Annual Healthcare Conference January 13-16
iShares Nasdaq Biotechnology (IBB) 30-day option implied volatility is at 17; compared to its 52-week range of 17 to 40 into JPMorgan 38th Annual Healthcare Conference January 13-16.
Health Care Select Sect Fd (XLV) 30-day option implied volatility is at 11; compared to its 52-week range of 11 to 32.
Amarin Corp. (AMRN) 30-day option implied volatility is at 77; compared to its 52-week range of 55 to 136
Amgen (AMGN) 30-day option implied volatility is at 18; compared to its 52-week range of 17 to 38
Pfizer (PFE) 30-day option implied volatility is at 16; compared to its 52-week range of 15 to 34
Biogen (BIIB) 30-day option implied volatility is at 27; compared to its 52-week range of 25 to 48
Mylan (MYL)30-day option implied volatility is at 34; compared to its 52-week range 31 to 77
Carvana (CVNA) 30-day option implied volatility is at 47; compared to its 52-week range of 43 to 108
Akcea Therapeutics (AKCA) 30-day option implied volatility is at 58; compared to its 52-week range 56 to 96
Ligand Pharmaceuticals (LGND) 30-day option implied volatility is at 40; compared to its 52-week range 39 to 92
Option implied volatility for stocks with recent increases in borrow rates:
Myovant Sciences (MVOV) 30-day call option implied volatility is at 93; compared to its 52-week range of 83 to 160
NIO (NIO) 30-day call option implied volatility is at 112; compared to its 52-week range of 60 to 222 as shares trend higher into end of year
Datadog (DDOG) 30-day call option implied volatility is at 58; compared to its 52-week range of 56 to 106
Yamana Gold (AUY) 30-day call option implied volatility is at 41; compared to its 52-week range of 39 to 71 as shares near two-year high
Canopy Growth (CGC) 30-day call option implied volatility is at 69; compared to its 52-week range of 41 to 89 as shares near low end of range
Tilray (TLRY) 30-day call option implied volatility is at 86; compared to its 52-week range of 48 to 139 as shares near low end of range
Stitch Fix (SFIX) 30-day call option implied volatility is at 48; compared to its 52-week range of 46 to 123
Large Cap stocks with low credit ratings
Ford (F) 30-day option implied volatility is at 19; compared to its 52-week range of 20 to 55
Broadcom (AVGO) 30-day option implied volatility is at 21; compared to its 52-week range of 21 to 46
General Electric (GE) 30-day option implied volatility is at 27; compared to its 52-week range of 27 to 72
American Tower (AMT) 30-day option implied volatility is at 21; compared to its 52-week range of 13 to 26
Sprint (S) 30-day option implied volatility is at 77; compared to its 52-week range of 28 to 133 into uncertainty of T-Mobile (TMUX) merger
Increasing unusual option volume: CCL RCL PDCE GSKY EB XAU PRTK RAD
Increasing unusual call option volume: GSKY EB CNDT VTI CRCM WGO PAYX MLCO ABEO RAD CCL BB SCS
Increasing unusual put option volume: XAU OLN KMX JNK VALE SCO UN REGI PII
Options with decreasing option implied volatility: AXSM AMRN REGI ATNX QGEN BMRN SPCE CCL BB NKE PCG MU DRI FDX ORCL CAG GIS
Active options December 20: AAPL TSLA FB AMD NKE MU ROKU NVDA AMZN MSFT X VALE NFLX BAC BB T TWTR XOM LULU CSCO