Mid-session IV Report February 18, 2020

Mid-session IV Report February 18, 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: BB FIT FEYE ADI I SPCE CXO VIPS GRMN

Popular options with increasing volume: SPCE Z GRMN PBR SNAP BYND YELP TEVA YOKU FLR

Devon Energy (DVN) February call option implied volatility is at 85, March is at 44; compared to its 52-week range of 33 to 57 into the expected release of quarter results today after the bell. Call put ratio 1 call to 2.7 puts.

Groupon (GRPN) February call option implied volatility is at 161, March is at 61; compared to its 52-week range of 36 to 79 into the expected release of quarter results today after the bell.

Herbal Life (HLF) February call option implied volatility is at 109, March is at 46; compared to its 52-week range of 22 to 52 into the expected release of quarter results today after the bell.

Albemarle (ALB) February call option implied volatility is at 84, March is at 41; compared to its 52-week range of 25 to 51 into the expected release of quarter results on February 19.

Analog Devices (ADI) February call option implied volatility is at 48, March is at 25; compared to its 52-week range of 22 into 43 the expected release of quarter results on February 19.

Avis Budget (CAR) February call option implied volatility is at 119, March is at 51; compared to its 52-week range of 36 to 72 into the expected release of quarter results on February 19.

Bausch Health (BHC) February call option implied volatility is at 186, March is at 101; compared to its 52-week range of 28 to 54 into the expected release of quarter results on February 19.

Blue Apron (APRN) February call option implied volatility is at , March is at ; compared to its 52-week range of 73 to 168 into the expected release of quarter results before the bell on February 19.

Cheesecake (CAKE) February call option implied volatility is at 75, March is at 33; compared to its 52-week range of 23 to 44 into the expected release of quarter results on February 19. Call put ratio 3.8 calls to 1 put.

Dish Network (DISH) February call option implied volatility is at 112, March is at 55; compared to its 52-week range of 30 to 64 into the expected release of quarter results on February 19. Call put ratio 1 call to 3.8 puts.

Garmin (GRMN) February call option implied volatility is at 86, March is at 33; compared to its 52-week range of 17 to 36 into the expected release of quarter results before the bell on February 19.Call put ratio 2.6 calls to 1 put.

Hyatt (H) February call option implied volatility is at 49, March is at 26; compared to its 52-week range of 18 to 32 into the expected release of quarter results after the bell on February 19. Call put ratio 1 call to 2.8 puts.

Jack in the Box (JACK) February call option implied volatility is at 83, March is at 32; compared to its 52-week range of 21 to 49 into the expected release of quarter results on February 19. Call put ratio 1 call to 5.9 puts.

Noble (NE) call put ratio 3.9 calls to 1 put into the expected release of quarter results after the bell on February 19.

Petrobras (PBR) February call option implied volatility is at 53, March is at 37; compared to its 52-week range of 26 to 45 into the expected release of quarter results on February 19. Call put ratio 2.2 calls to 1 put.

Zillow (Z) February call option implied volatility is at 155, March is at 61; compared to its 52-week range of 37 to 76 into the expected release of quarter results after the bell on February 19.

Apple (AAPL) February call option implied volatility is at 27 compared to a level of 19 from Friday, March is at 24; compared to its 52-week range of 18 to 35 after warns revenue will be lower than expected. Call put ratio 1.2 calls to 1 put.

Walmart (WMT) February call option implied volatility is at 20, compared to a level of 39 from Friday, March is at 22; compared to its 52-week range of 13 to 30 into an investment community meeting today.

Fluor (FLR) February call option implied volatility is at 83, March is at 50; compared to its 52-week range of 26 to 80 amid shares down 25% after announcing that the SEC is conducting an investigation of the company’s past accounting and financial reporting.

Berkshire should discuss its holdings more on February 22, when it releases its annual report and Buffett’s annual letter to shareholders.

Kroger (KR) 30-day option implied volatility is at 36 compared to a level of 33 from Friday and compared to its 52-week range of 20 to 46 after Warren Buffett’s Berkshire Hathaway (BRK-B) on Friday disclosed an 18.9M share stake. Call put ratio 4.8 calls to 1 put.

Goldman (GS) 30-day option implied volatility is at 21; compared to its 52-week range of 18 to 32 after Warren Buffett’s Berkshire Hathaway (BRK-B) on Friday disclosed it reduced its stake 35% to $2.8B.

Wells Fargo (WFC) 30-day option implied volatility is at 20, compared to 18 from Friday; compared to its 52-week range of 16 to 29 after Warren Buffett’s Berkshire Hathaway (BRK-B) on Friday disclosed the sale of more than 86M shares, or 21%, of its stake since June 30.

Biogen (BIIB) 30-day option implied volatility is at 32; compared to its 52-week range of 25 to 54 after Warren Buffett’s Berkshire Hathaway (BRK-B) on Friday disclosed it took a new 648K share stake in the drugmaker. Call put ratio 2.4 calls to 1 put.

Increasing unusual option volume: TERP I YELP EXC CIM EBIX
Increasing unusual call option volume: CYH EXC NCLH SVMK
Increasing unusual put option volume: CIM SPCE KRE AGRX DISH
Options with decreasing option implied volatility: WMT S XBIT APPS CHGG YELP UAA UA HAS
Active options: AAPL MSFT AMD SPCE TSLA ROKU FB BABA NVDA AMZN BAC TEVA NFLX WMT DIS GE SNAP TWTR MU BYND