Mid-session IV Report December 30, 2019

Mid-session IV Report December 30, 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: LABU QGEN REGI LABD MAXR ALGN AMD NFLX IIPR FCAU CRUS CREE AMZN JNPR IBM MAXR I MNTA AMD

Popular stocks with increasing unusual volume: DIS BA UBER NIO

AMD (AMD) February call option implied volatility at 51, January at 40 as shares near record high

AMD (AMD) January weekly call option implied volatility is at 41, January is at 40, February is at 51; compared to its 52-week range of 36 to 93 as shares near record high into CES 2020 Las Vegas January 7 to January 10. AMD is expected to report quarter results on January 27 and give commentary on 3rd-generation Ryzen Threadrippers results.

Intel (INTC) January weekly, January and February call option implied volatility is at 20; compared to its 52-week range of 20 to 43 into CES 2020 Las Vegas January 7 to January 10. Intel is expected to report quarter results on January 23.

Tesla (TSLA) December weekly call option implied volatility is at 64, January is at 54, February is at 50; compared to its 52-week range of 37 to 75 after reports of Giga factory battery shortages. Call put ratio 1 call to 1 put as shares down 4%.

NIO Inc. (NIO) January weekly call option implied volatility is at 190, January is at 118, February is at 105; compared to its 52-week range of 60 to 223 after announcing Q4 revenue. Call put ratio 5.5 calls to 1 put as shares rally 28%.

Datadog, Inc. (DDOG) January call option implied volatility is at 53, February is at 54; compared to its 26-week range of 53 to 105. Call put ratio 1.1 calls to 1 put.

Dogs of the Dow stocks option implied volatility

Walgreens Boots Alliance (WBA) January weekly call option implied volatility is at 19, January is at 30, February is at 24; compared to its 52-week range of 19 to 37 amid shares mentioned in 2019 as a takeover target and a Dogs of Dow. Call put ratio 5 calls to 1 put with focus on February 62.50 calls.

3M Co. (MMM) January weekly call option implied volatility is at 20, January is at 21, February is at 23; compared to its 52-week range of 16 to 33 as shares underperform Dow Jones Index peers. Call put ratio 5.5 calls to 1 put.

Verizon Communications (VZ) January weekly, January and February call option implied volatility is at 13; compared to its 52-week range of 12 to 28 as shares underperform Dow Jones Index peers.

Cisco Systems (CSCO) January weekly call option implied volatility is at 17, January is at 18, February is at 22; compared to its 52-week range of 16 to 38 as shares underperform Dow Jones Index peers.

Microsoft (MSFT) January weekly and January call option implied volatility is at 17 is at 22; compared to its 52-week range of 15 to 42 into release of new game consoles into 2020.

Sony (SNE) January weekly call option implied volatility is at 15, January is at is at 18, February is at 27; compared to its 52-week range of 19 to 41 into release of new game consoles into 2020.

Goldman Sachs (GS) January weekly and January call option implied volatility is at 16, February is at 23; compared to its 52-week range of 19 to 50 into 2020 investor day on January 29, 2020 and frequent speculation Goldman will engage in a merger deal in 2020.

Option implied volatility for IPO stocks

Peloton (PTON) 30 day option implied volatility is at 77; compared to its 26-week range of 58 to 90
SmileDirectClub (SDC) 30 day option implied volatility is at 84; compared to its 26-week range of 58 to 138
Pinterest (PINS) 30 day option implied volatility is at 41; compared to its 26-week range of 39 to 98
Scientific Games (SGMS) 30 day option implied volatility is at 44; compared to its 26-week range of 43 to 96
SciPlay Corporation (SCPL) 30 day option implied volatility is at 51; compared to its 26-week range of 44 to 92
Progyny (PGNY) 30 day option implied volatility is at 77; compared to its 26-week range of 74 to 87
DouYu International Holdings Limited (DOYU) 30 day option implied volatility is at 66; compared to its 26-week range of 52 to 108
10x Genomics (TXG) 30 day option implied volatility is at 79; compared to its 26-week range of 57 to 81

The stock market is near record highs, option implied volatility continues to trade at the lower end of historical range; when will the least expected occur, resulting in extreme conditions reversing?

Increasing unusual option volume: PTLA CP WVE KODK HSIC CDK RAD PI BA ACB ROKU DIS NIO MDR AMD CHK VMW
Increasing unusual call option volume: NIO SPTM BLDP ASHR MIK PLD RAD PTLA CP KODK PI WVE CDK BLDP RAD
Increasing unusual put option volume: WVE OLN RAD PLD NTR TDOC HSIC AGO BYD ZTO JCOM SKT
Options with decreasing option implied volatility: ITCI WVE BB ARQL RSX ARCC SHY
Active options: NIO AAPL TSLA AMD AMZN MSFT SHOP JD SNAP SQ ROKU BABA MU NFLX RAD DIS BAC NVDA CSCO BA ACB UBER JPM