Mid-session IV Report December 9, 2019​

Mid-session IV Report December 9, 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.​
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Options with increasing option implied volatility: ORCL FCAU JBLU YETI ZIOP NRZ MDCO AM FATE I INSG BBBY CLF M LL PLAY IWN GLW LEN S​
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Popular stocks with increasing unusual volume: CGC PCG DHR CLF M SHOP ROKU CLF​
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Chewy (CHWY) December weekly call option implied volatility is at 158, December is at 110, January is at 71; compared to its 52-week range of 47 to 83 into the expected release of quarter results today after the bell.​
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Stitch Fix (SFIX) December weekly call option implied volatility is at 191, December is at 124, January is at 75; compared to its 52-week range of 46 to 124 into the expected release of quarter results today after the bell.​
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Vail Resorts (MTN) December call option implied volatility is at 44, January is at 33; compared to its 52-week range of 21 to 49 into the expected release of quarter results after the bell on December 9.​
Dec 10​.

AutoZone (AZO) December weekly call option implied volatility is at 56, December is at 38, January is at 26; compared to its 52-week range of 19 to 35 into the expected release of quarter results before the bell on December 10.​
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Dave & Buster (PLAY) December weekly call option implied volatility is at 123, December is at 77, January is at 49; compared to its 52-week range of 29 to 62 into the expected release of quarter results on December 10.​
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GameStop (GME) December weekly call option implied volatility is at 180, December is at 80, January is at 85; compared to its 52-week range of 36 to 142 into the expected release of quarter results after the bell on December 10.​
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HD Supply (HDS) December call option implied volatility is at 39, January is at 25; compared to its 52-week range of 18 to 40 into the expected release of quarter results before the bell on December 10.​
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Toll Brother (TOL) December weekly call option implied volatility is at 61, December is at 40, January is at 29; compared to its 52-week range of 24 to 44 into the expected release of quarter results after the bell on December 10.​
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Luluemon (LULU) December weekly call option implied volatility is at 94, December is at 61, January is at 42; compared to its 52-week range of 24 to 61 into the expected release of quarter results after the bell on December 11.​
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Bluebird Bio (BLUE) December call option implied volatility is at 95, January is at 71; compared to its 52-week range of 44 to 113 into topline results from its KarMMa study of bb2121 as a fourth line or later therapy for the treatment of relapsed/refractory multiple myeloma, which are due by year-end.​

Large Pharma stocks option implied volatility after ArQule (ARQL) was acquired by Merck (MRK) for $2.7B and Synthorx (THOR) was purchased by Sanofi (SNY) for $2.5B. J.P. Morgan 38th Annual Healthcare Conference begins January 13, 2020.​
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AstraZeneca (AZN) December weekly call option implied volatility is at 18, December is at 16, January is at 16; compared to its 52-week range of 17 to 33

Bristol-Myers (BMY) December weekly call option implied volatility is at 24, December is at 27, January is at 22; compared to its 52-week range of 20 to 43
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Eli Lilly (LLY) December weekly call option implied volatility is at 19, December is at 21, January is at 18; compared to its 52-week range of 18 to 31

GlaxoSmithKline (GSK) December weekly call option implied volatility is at December is at , January is at ; compared to its 52-week range of 14 to 30

Johnson & Johnson (JNJ) December weekly call option implied volatility is at 14, December is at 13, January is at 12; compared to its 52-week range of 14 to 34

Merck (MRK) December weekly call option implied volatility is at 16, December is at 15, January is at 15; compared to its 52-week range of 14 to 30

Novartis (NVS) December weekly call option implied volatility is at 15, December is at 13, January is at 13; compared to its 52-week range of 13 to 24

Pfizer (PFE) December weekly call option implied volatility is at 16, December is at 16, January is at 17; compared to its 52-week range of 15 to 34
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Sanofi (SNY) December call option implied volatility is at 28, January is at 24; compared to its 52-week range of 15 to 29

IV into FOMC meeting, ECB meeting, U.K. election and December 15 China trade tariff deadline

S&P Dep Receipts (SPY) December weekly, December and January call option implied volatility is at 12, January 2021 is at 15; compared to its 52-week range of 10 to 32
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PowerShares QQQ Trust (QQQ) December weekly call option implied volatility is at 14, December is at 15, January is at 15, January is at 19; compared to its 52-week range of 14 to 37
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iShares Russell 2000 ETF (IWM) December weekly, December, January call option implied volatility is at 15, January 2021 is at 18; compared to its 52-week range of 14 to 34
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Nuance (NUAN) December and January call option implied volatility is at 29; compared to its 52-week range of 22 to 51 into a company hosted investor day on December 10.​
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Despegar.com (DESP) December and January call option implied volatility is at 38; compared to its 52-week range of 37 to 80 into a company hosted investor day​
on December 10.​
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LendingTree (TREE) December call option implied volatility is at 45, January is at 38; compared to its 52-week range of 35 to 71 into a company hosted investor and analyst meeting on December 11.​
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Credit Suisse (CS) December and January call option implied volatility is at 18; compared to its 52-week range of 20 to 40 into a company hosted investor meeting​
on December 11.​
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Quaker Houghton (KWR) December call option implied volatility is at 30, January is at 29; compared to its 52-week range of 22 to 45 into a company hosted investor meeting​
on December 11.​
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MetLife (MET) December weekly call option implied volatility is at 23, December is at 20, January is at 18; compared to its 52-week range of 27 to 41 into investor conference on December 12.​
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Centene (CNC) December weekly call option implied volatility is at 40, December is at 34, January is at 33; compared to its 52-week range of 25 to 56 into investor conference on December 13.​
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Increasing unusual option volume: GLW JBLU BIG NUAN UNG CGC PCG DHR CLF M SHOP ROKU CLF​
Increasing unusual call option volume: AMJ LL ARQL CMA DPLO AGIO GLW EXPR INVA WING​
Increasing unusual put option volume: AMJ MGI INVA PTI BWA BIG PCG OLLI​
Options with decreasing option implied volatility: AUPH ARQL CARA SAGE MIK HOME CLDR WORK RH ZM ​
Active options December 9: AAPL PCG DHR CGC TSLA FB FCX AMD BABA ROKU AMZN GE CLF T MSFT M SHOP DIS NFLX BAC​
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