Mid-session IV Report February 20, 2019

Mid-session IV Report February 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 overlooked information.

Options with increasing option implied volatility: Z ZG ROKU HRL BMY CZR DBX DPZ FLR UNIT CLDR FDC EW NKE NVAX BHC NLSN UNIT

Popular stocks with increasing unusual: HRL GRMN WMT FITB

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) weekly IV increases into release of January FOMC minutes

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) February weekly call option implied volatility is at 18, March is at 15; compared to its 52-week range of 16 to 26 into the release of January FOMC minutes. Call put ratio 1 call to 1.7 puts.

iShares 20+ Year Treasury Bond ETF (TLT) February weekly call option implied volatility is at 9, March is at 8; compared to its 52-week range of 8 to 13

Magellan Health (MGLN) March call option implied is at 44, April is at 32; compared to its 52-week range of 24 to 62 into Reuters says exploring sale.

Bunge (BG) March call option implied volatility is at 32, April is at 28; compared to its 52-week range of 19 to 44 into the expected release of EPS on February 21.

Baidu (BIDU) February weekly call option implied volatility is at 91, March is at 41; compared to its 52-week range of 26 to 58 into the expected release of EPS after the bell on February 21.

Caesars (CZR) February weekly call option implied volatility is at 94, March is at 55; compared to its 52-week range of 34 to 83 into the expected release of EPS on February 21.

Domino’s Pizza (DPZ) March call option implied volatility is at 33, April is at 28; compared to its 52-week range of 20 to 46 into the expected release of EPS on February 21. Call put ratio 1 call to 2.98 puts with focus on March puts.

Dropbox (DBX) call option implied volatility is at 123, March is at 54; compared to its 52-week range of 38 to 77 into the expected release of EPS after the bell on February 21. Call put ratio 6.2 calls to 1 put with focus on February 26 and 26.50 calls.

First Solar (FSLR) call option implied volatility is at 122, March is at 51; compared to its 52-week range of 32 to 59 into the expected release of EPS after the bell on February 21. Call put ratio 3.3 calls to 1 put.

Flour (FLR) February weekly call option implied volatility is at 110, March is at 45; compared to its 52-week range of 20 to 52 into the expected release of EPS after the bell on February 21.

Hewlett Packard (HPE) February weekly call option implied volatility is at 95, March is at 36; compared to its 52-week range of 22 to 46 into the expected release of EPS after the bell on February 21. Call put ratio 6.2 calls to 1 put with focus on January calls.

Hormel (HRL) February weekly call option implied volatility is at 63, March is at 27; compared to its 52-week range of 17 to 34 into the expected release of EPS before the bell on February 21. Call put ratio 1 call to 36 calls with focus on March 42 puts.

Intuit (INTU) March call option implied volatility is at 28, April is at 24; compared to its 52-week range of 19 to 46 into the expected release of EPS after the bell on February 21.

Roku (ROKU) February weekly call option implied volatility is at 215, March is at 84; compared to its 52-week range of 45 to 116 into the expected release of EPS after the bell on February 21. Call put ratio 1.8 calls to 1 put.

Sprouts Farmers (SFM) March call option implied volatility is at 43, April is at 34; compared to its 52-week range of 25 to 51 into the expected release of EPS before the bell on February 21. Call put ratio 29 calls to 1 put with focus on March 27.50.

Kraft Heinz (KHC) March call option implied volatility is at 34, April is at 26; compared to its 52-week range of 19 to 38 into the expected release of EPS on February 21.

Wendy’s (WEN) March call option implied volatility is at 28, April is at 21; compared to its 52-week range of 28 to 49 into the expected release of EPS on February 21. Call put ratio 8.4 calls to 1 put with focus on March 19 calls.

Zillow Group (Z) call option implied volatility is at 180, March is at 68; compared to its 52-week range of 30 to 77 into the expected release of EPS after the bell on February 21. Call put ratio 1 call to 2.2 puts.

Wayfair (W) February weekly call option implied volatility is at 184, March is at 69; compared to its 52-week range of 35 to 94 into the expected release of EPS before the bell on February 21. Call put ratio 1 call to 8.7 puts.

Bank of America (BAC) February weekly call option implied volatility is at 24, March is at 21; compared to its 52-week range of 16 to 56 into Berkshire Hathaway’s Warren Buffett releasing his annual shareholder letter on February 23. Call put ratio 1 call to 1.3 puts.

Bank of New York Mellon (BK) February weekly call option implied volatility is at 21, March is at 19; compared to its 52-week range of 16 to 39 into Berkshire Hathaway’s Warren Buffett releasing his annual shareholder letter on February 23.

Charter Communications (CHTR) February weekly call option implied volatility is at 25, March is at 23; compared to its 52-week range of 25 to 43 into Berkshire Hathaway’s Warren Buffett releasing his annual shareholder letter on February 23.

Costco Wholesale (COST) February weekly call option implied volatility is at 19, March is at 24; compared to its 52-week range of 15 to 33 into Berkshire Hathaway’s Warren Buffett releasing his annual shareholder letter on February 23.

Increasing unusual option volume: MGLN HRL SFM WEN CVS KO DVN EBAY LLY
Increasing unusual call option volume: WEN MTW WIX DATA NVTA GRMN ELAN FCEL DHT
Increasing unusual put option volume: HRL KEYS PWR GRMN INFN HRL ELAN UBS KNDI DAKT AAOI JKS CQP
Options with decreasing option implied volatility: ICPT YELP CRON FOSL GOOS TWLO TRIP ATVI VKTX CTL EXEL
Active options: AAPL CVS LLY WMT AMD MU TSLA FB NVDA FCX KO NFLX BABA BAC GOLD EBAY SNAP F DVN JD