Mid-session IV Report February 25, 2020

Mid-session IV Report February 25, 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 is up across the board… MRVL SPCE FIT SDC AMRN SDC GILD FIT​ APT ZM DDD TNA
​
Popular stocks with increasing unusual volume: XOM NIO SPCE GE M​
​
Travel stocks option implied volatility elevated as shares at low end of range amid reports of coronavirus spreading to Spain, Switzerland and Portugal. ​
​
Royal Caribbean Cruises (RCL) February weekly call option implied volatility is at March is at ; compared to its 52-week range of 20 to 46 amid reports of coronavirus spreading to Spain, Switzerland and Portugal. Call put ratio 1 call to 3.5 puts. ​
​
Carnival Cruise Lines (CCL) February weekly call option implied volatility is at 70, March is at 51; compared to its 52-week range of 18 to 49. Call put ratio 1 call to 4.6 puts. ​
​
Norwegian Cruise Line (NCLH) March call option implied volatility is at March is at 50, April is at 43; compared to its 52-week range of 20 to 42. Call put ratio 1 call to 5 puts. ​

United Airlines (UAL) February weekly call option implied volatility is at 60, March is at 38; compared to its 52-week range of 20 to 36. Call put ratio 2.3 calls to 1 put. ​

Delta (DAL) February weekly call option implied volatility is at 50, March is at 38; compared to its 52-week range of 20 to 34.​

Southwest Airlines (LUV) February weekly call option implied volatility is at 26, February is at 24; compared to its 52-week range of 17 to 34. Call put ratio 1 call to 4 puts.​

American Airlines (AAL) February weekly call option implied volatility is at 75, March is at 54; compared to its 52-week range of 29 to 50.​
​
Alaska Air Group (ALK) February weekly call option implied volatility is at 34, March is at 30; compared to its 52-week range of 21 t0 35. Call put ratio 1 call to 4.8 puts. ​
​
​
Gilead Sciences (GILD) February weekly call option implied volatility is at 51, March is at 39; compared to its 52-week range of 19 to 39 after positive statements from the World Health Organization that remdesivir may be the only drug right now that may have efficacy in treating the Covid-19 coronavirus. Call put ratio 6.9 calls to 1 put with focus on February weekly 72.50 calls. ​
​
Moderna (MRNA) March call option implied volatility is at 117, April is at 108; compared to its 52-week range of 51 to 99 after disclosing shipment of mRNA vaccine for Phase 1 coronavirus study. Call put ratio 15.5 calls to 1 put with focus on March 20, 22.50 and 25 calls.​
​
Ishares Msci Italy Capped Etf (EWI) March call option implied volatility is at 27, April is at 22; compared to its 52-week range of 12 to 27 as coronavirus spreads. Call put ratio 1 call to 57 puts with focus on March and April puts.​
​
Market Vectors Gold Miners ETF (GDX) 30-day call option implied volatility is at 32; compared to its 52-week range of 21 to 36. Call put ratio 3.9 calls to 1 put with focus on May 36 calls.​
​
Inovio Pharma (INO) 30-day option implied volatility is at 158; compared to its 52-week range of 61 to 232 as coronavirus spreads to Spain. Call put ratio 6.6 calls to 1 put with focus on March 4 calls.​
​
Lakeland Industries (LAKE) 30-day option implied volatility is at 95; compared to its 52-week range of 35 to 141 as coronavirus spreads to Spain. Call put ratio 6.1 calls to 1 put. ​
​
Novavax (NVAX) 30-day option implied volatility is at 206; compared to its 52-week range of 85 to 350 as coronavirus spreads. Call put ratio 2.7 calls to 1 put.​
​
Alpha Pro Tech Ltd. (PT) March call option implied volatility is at 200, April is at 153; compared to its 52-week range of 40 to 209 as coronavirus spreads. ​
​
Smile Direct (SDC) February weekly call option implied volatility is at 276, March is at 128; compared to its 52-week range of 59 to 138. Call put ratio 1.8 calls to 1 put into the expected release of quarter results today after the bell.​
​
RealReal (REAL) March call option implied volatility is at 105, April is at 71; compared to its 52-week range of 52 to 164 into the expected release of quarter results today after the bell.​
​
Salesforce (CRM) February weekly call option implied volatility is at 75, 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 3.3 calls to 1 put with focus on February weekly 190 calls. ​
​
3D Systems (DDD) February weekly call option implied volatility is at 155, March is at 71; compared to its 52-week range of 31 to 107 into the expected release of quarter results after the bell on February 26. Call put ratio 1.7 calls to 1 put. ​
​
Box (BOX) March call option implied volatility is at 72, April is at 55; compared to its 52-week range of 32 to 65 into the expected release of quarter results after the bell on February 26.​
​
Chesapeake (CHK) 30-day option implied volatility is at 191; compared to its 52-week range of 57 to 201 into the expected release of quarter results before the bell on February 26. Call put ratio 16 calls to 1 put with focus on February weekly 0.5 calls. ​
​
Continental Resources (CLR) February weekly call option implied volatility is at 89, March is at 61; compared to its 52-week range of 35 to 61 into the expected release of quarter results after the bell on February 26.​
​
L Brands (LB) February weekly call option implied volatility is at 101, March is at 57; compared to its 52-week range of 32 to 83 into the expected release of quarter results after the bell on February 26.​
​
Lowes (LOW) February weekly call option implied volatility is at 89, March is at 40; compared to its 52-week range of 18 to 41 into the expected release of quarter results before the bell on February 26.​
​
Marriott (MAR) February weekly call option implied volatility is at 70, March is at 39; compared to its 52-week range of 17 to 35 into the expected release of quarter results after the bell on February 26.​
​
PG&E (PCG) February weekly call option implied volatility is at 70, March is at 72; compared to its 52-week range of 59 to 254 into the expected release of quarter results before the bell on February 26.​
​
TJX (TJX) March call option implied volatility is at 31, April is at 25; compared to its 52-week range of 16 to 33 into the expected release of quarter results before the bell on February 26.​
​
Nordstrom (JWN) February weekly call option implied volatility is at 49, March is at 66; compared to its 52-week range of 29 to 75 into the expected release of quarter results after the bell on March 3.​
​
Peloton (PTON) and Nautilus (NLS) IV bid ​
​
Peloton (PTON) February weekly call option implied volatility is at 93, March is at 70; compared to its 26-week range of 58 to 103.​
​
Nautilus (NLS) 30-day option implied volatility is at 127, compared to its 52-week range of 50 to 212. Call put ratio 1 call to 1.1 puts.​
​
Diamond Eagle Acquisition (DEAC) March call option implied volatility is at 77, April is at 74; compared to its 52-week range of 54 to 94. Call put ratio 31 calls to 1 put with focus on March 17.50 calls. ​
​
Intelsat S. A. (I) February weekly call option implied volatility is at 195, March is at 178; compared to its 52-week range of 56 to 260 into FCC meeting on February 28.​
​
Teva (TEVA) February weekly call option implied volatility is at 83, March is at 63; compared to its 52-week range of 29 to 106 after Mallinckrodt (MNK) opioid settlement agreement.​
​
Endo (ENDP) February weekly call option implied volatility is at 169, March is at 105; compared to its 52-week range of 51 to 153 after Mallinckrodt (MNK) opioid settlement agreement. Call put ratio 4.7 calls to 1 put with focus on February weekly and March 7 calls. ​
​
JPMorgan Chase (JPM) February weekly call option implied volatility is at 35, March is at 26; compared to its 52-week range of 15 to 28 as hosts an investor day.​
​
​
Options with decreasing option implied volatility: LL SHAK HPQ HTZ PANW CLVS INTU M HD HTZ MNK ​
Increasing unusual option volume: MNK MTDR GEL VGK DXD​
Increasing unusual call option volume: DXD YELP MYOK TEL PRGO BCLI​
Increasing unusual put option volume: MTDR GEL AER CPRI​
Popular stocks with increasing unusual volume: XOM NIO SPCE GE M​
Active options on February 25: AAPL NIO TSLA MSFT AMD BAC GILD NVDA MU FB SPCE AMZN BABA MNK GE XOM UBER ROKU M NFLX​