Mid-session IV Report February 19, 2020

Mid-session IV Report February 19, 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: APPS TSLA ZM SPCE BB FIT VIAC Z DBX FSLY I VIAC

Popular options with increasing volume: X LK GRPN PLUG

Virgin Galactic Holdings and Tesla March option implied volatility increases as shares rally

Virgin Galactic Holdings (SPCE) February call option implied volatility is at 250, March is at 207; compared to its 26-week range of 39 to 188 as Richard Branson’s spaceship company’s share price has wide price movement. Call put ratio 1.9 calls to 1 put with focus on February calls.

Tesla (TSLA) February call option implied volatility is at 96, March is at 90; compared to its 52-week range of 34 to 117 as shares rally 9%.

Albemarle (ALB) February call option implied volatility is at 98, March is at 42; compared to its 52-week range of 25 to 51 into the expected release of quarter results today.

Avis Budget (CAR) February call option implied volatility is at 127, March is at 50; compared to its 52-week range of 36 to 72 into the expected release of quarter results today. Call put ratio 4 calls to 1 put with focus on February 41, 42 and 44 calls.

Cheesecake (CAKE) February call option implied volatility is at 87, March is at 33; compared to its 52-week range of 23 to 44 into the expected release of quarter results today after the bell. Call put ratio 3.8 calls to 1 put with focus on March 45 calls.

Hyatt (H) February call option implied volatility is at 55, March is at 24; compared to its 52-week range of 18 to 32 into the expected release of quarter results today after the bell.

Jack in the Box (JACK) February call option implied volatility is at 99, March is at 34; compared to its 52-week range of 21 to 49 into the expected release of quarter results today after the bell. Call put ratio 3.8 calls to 1 put with focus on February 90 calls.

Noble (NE) February and March 1 calls active into the expected release of quarter results today after the bell.

Petrobras (PBR) February call option implied volatility is at 55, March is at 33; compared to its 52-week range of 26 to 45 into the expected release of quarter results today. Call put ratio 9.8 calls to 1 put with focus on February 15 calls.

Zillow (Z) February call option implied volatility is at 179, March is at 62; compared to its 52-week range of 37 to 76 into the expected release of quarter results today after the bell. Call put ratio 4 calls to 1 put with focus on February 55 calls.

AKS Steel (AKS) February call option implied volatility is at 83, March is at 43; compared to its 52-week range of 44 to 85 into the expected release of quarter results before the bell on February 20. Call put ratio 2.5 calls to 1 put with focus on February 3 calls.

Cleveland Cliff (CLF) February call option implied volatility is at 125, March is at 55; compared to its 52-week range of 37 to 69 into the expected release of quarter results before the bell on February 20. Call put ratio 4.6 calls to 1 put with focus on February 8 calls.

Dominos Pizza (DPZ) February call option implied volatility is at 90, March is at 34; compared to its 52-week range of 22 to 41 into the expected release of quarter results on February 20. Call put ratio 2.5 calls to 1 put with focus on February and March calls.

Dropbox (DBX) February call option implied volatility is at 160, March is at 55; compared to its 52-week range of 31 to 62 into the expected release of quarter results after the bell on February 20.

Fastly (FSLY) February call option implied volatility is at 177, March is at 71; compared to its 52-week range of 53 to 128 into the expected release of quarter results after the bell on February 20. Call put ratio 5.7 calls to 1 put with focus on February 24 and 25 calls.

Hormel (HRL) February call option implied volatility is at 67, March is at 28 compared to its 52-week range of 15 to 38 into the expected release of quarter results before the bell on February 20.

Intelsat (I) February call option implied volatility is at 238, March is at 189; compared to its 52-week range of 57 to 259 into the expected release of quarter results on February 20. Call put ratio 2.9 calls to 1 put with focus on February 4 calls.

Nabors (NBR) February call option implied volatility is at 143, March is at 83; compared to its 52-week range of 60 to 125 into the expected release of quarter results after the bell on February 20.

Norwegian Cruise Lines (NCLH) February call option implied volatility is at 68, March is at 35; compared to its 52-week range of 20 to 40 into the expected release of quarter results on February 20. Call put ratio 2.7 calls to 1 put with focus on March 57.50 calls.

Vale (VALE) February call option implied volatility is at 50, March is at 34; compared to its 52-week range of 27 to 46 into the expected release of quarter results on February 20.

ViacomCBS (VIAC) February call option implied volatility is at 80, March is at 36; compared to its 52-week range of 21 to 44 into the expected release of quarter results after the bell on February 20. Call put ratio 2.3 calls to 1 put with focus on February 37.50 calls.

Option implied volatility for cybersecurity companies into RSA Conference 2020

Check Point (CHKP) 30 day option implied volatility is at 20; compared to its 52-week range of 17 to 32 into RSA Conference 2020 on February 24.

F5 Networks (FFIV) 30 day option implied volatility is at 27; compared to its 52-week range of 21 to 38.

FireEye (FEYE) 30 day option implied volatility is at 49; compared to its 52-week range of 31 to 62.

Fortinet (FTNT) 30 day option implied volatility is at 28; compared to its 52-week range of 25 to 52.

Proofpoint (PFPT) 30 day option implied volatility is at 38; compared to its 52-week range of 21 to 46.

Qualys (QLYS) 30 day option implied volatility is at 28; compared to its 52-week range of 27 to 56.

Palo Alto Networks (PANW) 30 day option implied volatility is at 35; compared to its 52-week range of 20 to 50.

Fortinet (FTNT) 30 day option implied volatility is at 28; compared to its 52-week range of 25 to 52.

Microsoft (MSFT) 30 day option implied volatility is at 24; compared to its 52-week range of 15 to 32.

CyberArk Software (CYBR) 30 day option implied volatility is at 34; compared to its 52-week range of 30 to 60 into RSA Conference 2020 on February 24.

Increasing unusual option volume: FLR AVT FG ELY MEET MYGN ERIC SYF ALLY GRPN
Increasing unusual call option volume: FG ERIC APO TRP GBX PS ZGNX
Increasing unusual put option volume: SYF MYGN KNX NE ZGNX SOXS
Options with decreasing option implied volatility: FSCT AIMT LK GOOS IRBT GRUB SKX PTON SNAP MU GRPN LK TEVA
Active options: TSLA AAPL AMD NVDA SPCE MSFT ROKU NIO SQ BABA FB AMZN NFLX BAC X PLUG TEVA