Mid-session IV Report February 21, 2020

Mid-session IV Report February 21, 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: SPCE PLUG MIK BHVN MIK LL BB ALLY DOCU ACN

Popular options with increasing volume: LULU GILD GOLD FCX DBX SPCE GILD SQ FCX WORK

Virgin Galactic Holdings (SPCE) February call option implied volatility is at 310, March is at 210; compared to its 26-week range of 39 to 223 as Richard Branson’s spaceship company’s share price has wide price movement. Call put ratio 1 call to 1 put with focus on February 35 calls and puts.

United States Natural Gas (UNG) February call option implied volatility is at 38, March is at 35; compared to its 52-week range of 21 to 61 as Natural Gas is near multi-year lows. Call put ratio 1.2 calls to 1 put.

Deluxe (DLX) March and April call option implied volatility is at 28; compared to its 26-week range of into 24 to 37 into a company hosted analyst day in New York on February 25.

Arconic (ARNC) March call option implied volatility is at 31, April is at 29; compared to its 26-week range of 20 to 86 into a company hosted analyst day on February 25.

Freshpet (FRPT) March call option implied volatility is at 43, May is at 39; compared to its 26-week range of 30 to 68 into a company hosted investor day on February 25.

JPMorgan Chase (JPM) February call option implied volatility is at 23, March is at 20; compared to its 52-week range of 15 to 28 into Berkshire Hathaway’s Warren Buffett releasing his annual shareholder letter on February 22 and JPM hosting an investor day on February 25.

Qualys (QLYS) March call option implied volatility is at 26, June is at 27; compared to its 26-week range of 27 to 55 into a company hosted investor day on February 25.

CNO Financial (CNO) March and June call option implied volatility is at 25; compared to its 26-week range of 22 to 36 into a company hosted investor day on February 25.

Apple (AAPL) February weekly call option implied volatility is at 28, March is at 27; compared to its 26-week range of into its company shareholder meeting on February 26.

Crane (CR) March call option implied volatility is at 22, June is at 22; compared to its 26-week range of 20 to 38 into company hosted investor day on February 27.

IV into EPS

Dillards (DDS) February weekly call option implied volatility is at 88, March is at 60; compared to its 52-week range of 35 to 79 into the expected release of quarter results on February 24. Call put ratio 2 calls to 1 put.

Hertz (HTZ) February weekly call option implied volatility is at 91, March is at 59; compared to its 52-week range of 40 to 81 into the expected release of quarter results after the bell on February 24. Call put ratio 11.7 calls to 1 put with focus on February weekly 28 calls.

HP (HPQ) February weekly call option implied volatility is at 40, March is at 30; compared to its 52-week range of 19 to 42 into the expected release of quarter results on February 24. Call put ratio 19 calls to 1 put with focus on February weekly 23 and 23.50 calls.

Intuit (INTU) February weekly call option implied volatility is at 43, March is at 30; compared to its 52-week range of 18 to 36 into the expected release of quarter results after the bell on February 24.

Mylan (MYL) February weekly call option implied volatility is at 82, March is at 52; compared to its 52-week range of 31 to 77 into the expected release of quarter results on February 24.

Palo Alto Networks (PANW) February weekly call option implied volatility is at 60, March is at 37; compared to its 52-week range of 20 to 50 into the expected release of quarter results after the bell on February 24.

Shake Shack (SHAK) February weekly call option implied volatility is at 112, March is at 68; compared to its 52-week range of 31 to 65 into the expected release of quarter results after the bell on February 24.

Whiting Petroleum (WLL) February weekly call option implied volatility is at 190, March is at 130; compared to its 52-week range of 50 to 192 into the expected release of quarter results on February 24.

Gold producer IV flat to as gold trends to multi-year highs

Barrick Gold (GOLD) 30 day option implied volatility is at 31; compared to its 52-week range of 26 to 45 as gold trends higher.

Market Vector Junior Gold Miners Etf (GDXJ) 30 day option implied volatility is at 31; compared to its 52-week range of 25 to 43

Direxion Daily Gold Miners Bull 3x Shares (NUGT) 30 day option implied volatility is at 79; compared to its 52-week range of 62 to 107. February 155 calls active on open as shares up 1.4%

SPDR Gold Trust (GLD) 30 day option implied volatility is at 14; compared to its 52-week range of 8 to 17.

Option implied volatility into Berkshire Hathaway’s Warren Buffett releasing annual shareholder letter

General Motors (GM) February call option implied volatility is at 25, March is at 26; compared to its 52-week range of 21 to 38 into Berkshire Hathaway’s Warren Buffett releasing his annual shareholder letter on February 22.

Goldman Sachs Group (GS) February call option implied volatility is at 24, March is at 24; compared to its 52-week range of 18 to 32 into Berkshire Hathaway’s Warren Buffett releasing his annual shareholder letter on February 22.

Johnson & Johnson (JNJ) February call option implied volatility is at 15, March is at 16; compared to its 52-week range of 14 to 33 into Berkshire Hathaway’s Warren Buffett releasing his annual shareholder letter on February 22.

Kraft Heinz Co (KHC) February weekly call option implied volatility is at 26, March is at 24; compared to its 52-week range of 20 to 51 into Berkshire Hathaway’s Warren Buffett releasing his annual shareholder letter on February 22.

Coca-Cola Co (KO) February weekly and March call option implied volatility is at 14; compared to its 52-week range of 12 to 22 into Berkshire Hathaway’s Warren Buffett releasing his annual shareholder letter on February 22.

Incyte (INCY) 30 day option implied volatility is at 30; compared to its 52-week range of 30 to 43 into TCT Transplantation & Cellular Therapy Meetings on February 20 in Orlando, Florida.

Larger declines in smaller companies than larger companies; RUT down 1%, SPY down 0.85%

Increasing unusual option volume: HMY MAC LLNW INSP AERI LL FRPT
Increasing unusual call option volume: MAC TVTY LLNW MIK HMY ALLY SGM LL DBX
Increasing unusual put option volume: APRN HUN LL ZG TME GTX AVLR CHKP CYH APPN ZG APTV OLED
Options with decreasing option implied volatility: APPN AMRN STMP PBYI DOG MAT FLR ZS NWL WMT A DLR HRL SGMS
Active options: AAPL MSFT AMD TSLA SPCE FB AMZN NVDA BABA T ROKU BAC GILD DBX MU GE FCX NFLX WORK SQ