Mid-session IV Report February 24, 2020

Mid-session IV Report February 24, 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: IV up across the board…..LL PLUG APT

Popular options with increasing volume: GILD UBER XOM SPCE ROKU BYND DBX

Ishares Msci Italy Capped Etf (EWI) February weekly call option implied volatility is at 25, April is at 17; compared to its 52-week range of 12 to 27 as coronavirus spreads. Call put ratio 1 call to 31 puts with focus on March and June puts.

Microsoft (MSFT) February weekly call option implied volatility is at 51, March is at 34; compared to its 26-week range of 15 to 32. Call put ratio 2 calls to 1 put.

Facebook (FB) February weekly call option implied volatility is at 39, March is at 31; compared to its 26-week range of 21 to 40.

Netflix (NFLX) February weekly call option implied volatility is at 47, March is at 37; compared to its 26-week range of 27 to 58.

Alphabet (GOOGL) February weekly call option implied volatility is at 34, March is at 26; compared to its 26-week range of 14 to 34. Call put ratio 1 call to 1 put.

Amazon (AMZN) February weekly call option implied volatility is at 37, March is at 29; compared to its 26-week range of 17 to 35.

Apple (AAPL) February weekly call option implied volatility is at 47, March is at 34; compared to its 26-week range of 18 to 35 into its company shareholder meeting on February 26. Call put 1.1 calls to 1 put.

Virgin Galactic Holdings (SPCE) February weekly call option implied volatility is at 272, March is at 190; 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 1.3 call to 1 put with focus on February weekly 33 calls and puts.

Gilead (GILD) February weekly call option implied volatility is at 60, March is at 42; compared to its 52-week range of 19 to 39 as shares down 5.5% on hopes of virus treatment. Call put ratio 1.3 calls to 1 put with focus on February weekly 74 calls.

Deluxe (DLX) March call option implied volatility is at 33, April is at 30; 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 40, April is at 34; 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 64, May is at 36; compared to its 26-week range of 30 to 68 into a company hosted investor day on February 25. Call put ratio 1.8 calls to 1 put.

JPMorgan (JPM) February weekly call option implied volatility is at 33, March is at 26; compared to its 26-week range of 15 to 28 into a company hosted investor day on February 25. Call put ratio 1 call to 1.1 puts.

Qualys (QLYS) March call option implied volatility is at 29, April is at 23; compared to its 26-week range of 27 to 55 into a company hosted investor day on February 25. June and September 85 puts active as shares sell off 4%.

CNO Financial (CNO) March and June call option implied volatility is at 27; compared to its 26-week range of 22 to 36 into a company hosted investor day on February 25 as shares sell off 4%.

Crane (CR) March call option implied volatility is at 29, April is at 27; compared to its 26-week range of 20 to 38 into company hosted investor day on February 27 as shares sell off 3%.

IV into EPS

Palo Alto Networks (PANW) February weekly call option implied volatility is at 88, March is at 47; compared to its 52-week range of 20 to 50 into the expected release of quarter results today after the bell. Call put ratio 2.6 calls to 1 put.

Shake Shack (SHAK) February weekly call option implied volatility is at 164, March is at 69; compared to its 52-week range of 31 to 65 into the expected release of quarter results today after the bell. Call put ratio 1.5 calls to 1 put.

Whiting Petroleum (WLL) February weekly call option implied volatility is at 220, March is at 166; compared to its 52-week range of 50 to 192 into the expected release of quarter results on February 24. Call put ratio 3.1 calls to 1 put.

American Tower (AMT) February weekly call option implied volatility is at 38, March is at 26; compared to its 52-week range of 14 to 26 into the expected release of quarter results on February 25. Call put ratio 5 calls to 1 put.

Cheniere Energy (LNG) February weekly call option implied volatility is at 55, March is at 39; compared to its 52-week range of 21 to 37 into the expected release of quarter results before the bell on February 25.

Home Depot (HD) February weekly call option implied volatility is at 45, March is at 27; compared to its 52-week range of 15 to 31 into the expected release of quarter results before the bell on February 25.

Macys (M) February weekly call option implied volatility is at 94, March is at 55; compared to its 52-week range of 31 to 76 into the expected release of quarter results before the bell on February 25.

Planet Fitness (PLNT) February weekly call option implied volatility is at 49, March is at 39; compared to its 52-week range of 23 to 53 into the expected release of quarter results on February 25.

RealReal (REAL) February weekly call option implied volatility is at 95, March is at 50; compared to its 52-week range of 51 to 164 into the expected release of quarter results after the bell on February 25.

Salesforce (CRM) February weekly call option implied volatility is at 71, March is at 38; compared to its 52-week range of 19 to 44 into the expected release of quarter results after the bell on February 25. Call put ratio 3 calls to 1 put.

Smile Direct (SDC) February weekly call option implied volatility is at 237, March is at 140; compared to its 52-week range of 59 to 138 into the expected release of quarter results after the bell on February 25.

Toll Brother (TOL) February weekly call option implied volatility is at 64, March is at 35; compared to its 52-week range of 22 to 39 into the expected release of quarter results on February 25.

WW International (WW) February weekly call option implied volatility is at 158, March is at 82; compared to its 52-week range of 47 to 100 into the expected release of quarter results on February 25.

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

Barrick Gold (GOLD) 30 day option implied volatility is at 36; compared to its 52-week range of 26 to 45 as gold trends higher. Call put ratio 5.6 calls to 1 put with focus on February weekly calls

Market Vector Junior Gold Miners Etf (GDXJ) 30 day option implied volatility is at 36; 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 91; compared to its 52-week range of 62 to 107. February 155 calls active on open as shares up 6%

SPDR Gold Trust (GLD) 30 day option implied volatility is at 16; compared to its 52-week range of 8 to 17.

Increasing unusual option volume: CNXM XP CP FXY UEC DXD ZG
Increasing unusual call option volume: JNK STLD NVS UEC DXD FTAI EXPE EGO IAU
Increasing unusual put option volume: CNXM FXY XP BGS ZG UBS
Options with decreasing option implied volatility: STMP FLR Z S DBX SFM WMT HRL TIF
Active options: AAPL AMD MSFT TSLA GILD FB BAC BABA NVDA MU UBER AMZN SPCE F GE DIS RIG ROKU NFLX XOM