Mid-session IV Report February 27, 2020

Mid-session IV Report February 27, 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.​
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Options with increasing option implied volatility: IV up across the board. APT MRNA GUSH NCLH CCL RCL UAL AAL DAL, CTL CLR MRVL…….​
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Popular stocks with increasing unusual volume: GILD CLR SQ DIS​
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IV increases ​
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United States Oil Fund (USO) February weekly call option implied volatility is at 69, March is at 47; compared to its 52-week range of 22 to 46 as WTI Crude oil below $47.​

S&P Dep Receipts (SPY) February weekly call option implied volatility is at 49, March is at 33, April is at 27; compared to its 52-week range of 10 to 25. Call put ratio 1 call to 1.8 puts. ​
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PowerShares QQQ Trust (QQQ) February weekly call option implied volatility is at 52, March is at 33, April is at 29; compared to its 52-week range of 12 to 29.​

Russell 2000 Index (RUT) February weekly call option implied volatility is at 51, March is at 34, April is at 27; compared to its 52-week range of 12 to 27.​
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Ishares Iboxx $ High Yield Corporate Bond Etf (HYG) call put ratio 1 call to 9.6 puts with focus on March 85 and 86 puts. ​

Autodesk (ADSK) February weekly call option implied volatility is at 155, March is at 53; compared to its 52-week range of 21 to 64 into the expected release of quarter results today after the bell.​

Baidi (BIDU) February weekly call option implied volatility is at 127, March is at 51; compared to its 52-week range of 26 to 55 into the expected release of quarter results today after the bell.​

Cronos (CRON) February weekly call option implied volatility is at 161, March is at 91; compared to its 52-week range of 53 to 96 into the expected release of quarter results today.​

Dell Technologies (DELL) March call option implied volatility is at 60, April is at 48; compared to its 52-week range of 27 to 62 into the expected release of quarter results today after the bell. March 45 and 47.50 calls active​

IQIYI (IQ) February weekly call option implied volatility is at 204, March is at 72; compared to its 52-week range of 39 to 71 into the expected release of quarter results today after the bell. ​

VMWare (VMW) February weekly call option implied volatility is at 133, March is at 49; compared to its 52-week range of 23 to 50 into the expected release of quarter results today after the bell. February weekly 140 puts active.​

Workday (WDAY) February weekly call option implied volatility is at 160, March is at 55; compared to its 52-week range of 27 to 51 into the expected release of quarter results today after the bell.​

Beyond Meat (BYND) February weekly call option implied volatility is at 290, March is at 97; compared to its 52-week range of 47 to 141 into the expected release of quarter results today after the bell. Call put ratio 2.2 calls to 1 put.​

Occidental Petroleum (OXY) February weekly call option implied volatility is at 127, March is at 62; compared to its 52-week range of 20 to 52 into the expected release of quarter results before the bell on February 28.​
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EOG (EOG) February weekly call option implied volatility is at 125, March is at 60; compared to its 52-week range of 26 to 55 into the expected release of quarter results before the bell on February 28. Call put ratio 1 call to 2 puts with focus on March 67.50 puts. ​

Footlocker (FL) February weekly call option implied volatility is at 209, March is at 68; compared to its 52-week range of 27 to 77 into the expected release of quarter results before the bell on February 28. Call put ratio 1 call to 16 puts as shares sell off 4%​.

Wayfair (W) February weekly call option implied volatility is at 320, March is at 103; compared to its 52-week range of 37 to 104 into the expected release of quarter results before the bell on February 28. Call put ratio 1 call to 2.9 puts with focus on March 70 puts as shares sell off 3.8%. ​
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Gilead Sciences (GILD) February weekly call option implied volatility is at 99, March is at 53; compared to its 52-week range of 19 to 45 amid Covid-19 coronavirus. Call put ratio 8.9 calls to 1 put.​
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Regeneron (REGN) February weekly call option implied volatility is at 74, March is at 47; compared to its 52-week range of 24 to 47 amid Covid-19 coronavirus. Call put ratio 1 call to 1 put as shares near four-year high.​
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Alpha Pro Tech Ltd. (APT) IV, volume and share price increase amid Coronavirus​

Novavax (NVAX) March call option implied volatility is at 240, April is at 201; compared to its 52-week range of 85 to 330 amid the coronavirus. Call put ratio 15 calls to 1 put as shares rally 21%. ​

Lakeland Industries (LAKE) March call option implied volatility is at 186, April is at 162; compared to its 52-week range of 35 to 142 amid the coronavirus. Call put ratio 16 calls to 1 put as shares rally 16%.​

Alpha Pro Tech Ltd. (APT) March call option implied volatility is at 316, April is at 215; compared to its 52-week range of 40 to 264 amid the coronavirus. Call put ratio 1.5 calls to 1 put as shares rally 68%. ​

Inovio Pharma (INO) March call option implied volatility is at 207, April is at 188; compared to its 52-week range of 61 to 232 amid the coronavirus. Call put ratio 18 calls to 1 put with focus on March 5 calls as shares rally 17%.​

Moderna (MRNA) 30-day option implied volatility is at 160; compared to its 52-week range of 51 to 155 amid the coronavirus.​
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Travel stocks option implied volatility elevated​
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United Airlines (UAL) February weekly call option implied volatility is at 134, March is at 77; compared to its 52-week range of 20 to 64 amid China coronavirus outbreak.​

Delta (DAL) February weekly call option implied volatility is at 69, March is at 60; compared to its 52-week range of 20 to 50 amid impact of COVID-19. Call put ratio 1 call to 1.3 puts.​

Southwest Airlines (LUV) February weekly call option implied volatility is at 107, March is at 54; compared to its 52-week range of 18 to 43 amid impact of coronavirus outbreak. Call put ratio 1 call to 3.9 puts with focus on March 48 puts. ​

American Airlines (AAL) February weekly call option implied volatility is at 166, March is at 92; compared to its 52-week range of 29 to 73 amid virus concerns.​

Alaska Air Group (ALK) March call option implied volatility is at 49, April is at 43; compared to its 52-week range of 21 to 41 amid virus outbreak.​
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Managed Care Organization and hospital stocks under pressure​
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Anthem (ANTM) 30-day option implied volatility is at 50; compared to its 52-week range of 19 to 45​

Centene (CNC) 30-day option implied volatility is at 63; compared to its 52-week range of 25 to 57​

CVS Health (CVS) 30-day option implied volatility is at 41; compared to its 52-week range of 19 to 38​

Humana (HUM) 30-day option implied volatility is at 50; compared to its 52-week range of 20 to 43​

Molina Healthcare (MOH) 30-day option implied volatility is at 58; compared to its 52-week range of 31 to 57. ​

UnitedHealth (UNH) 30-day option implied volatility is at 47; compared to its 52-week range of 18 to 41​
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Hospital groups ​

Community Health (CYH) 30-day option implied volatility is at 94; compared to its 52-week range of 60 to 126
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HCA Healthcare (HCA) 30-day option implied volatility is at 43; compared to its 52-week range of 18 to 42 amid coronavirus concerns.​

Tenet (THC) 30-day option implied volatility is at 72; compared to its 52-week range of 34 to 75 amid coronavirus concerns.​

Universal Health (UHS) 30-day option implied volatility is at 38; compared to its 52-week range of 18 to 38 amid coronavirus concerns.​
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Logitech (LOGI) March call option implied volatility is at 31, April is at 27; compared to its 52-week range of 19 to 40 into hosting an analyst and investor day on March 3rd.​

Rite Aid (RAD) 30-day option implied volatility is at 105; compared to its 52-week range of 65 to 166 into an upcoming analyst day. ​
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ExxonMobil (XOM) February weekly call option implied volatility is at 60, March is at 38; compared to its 52-week range of 15 to 32 as WTI Crude oil at $47. Call put ratio 1.9 calls to 1 put into a company hosted investor day on March 5.​
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Options with decreasing option implied volatility: LL DBX​
Increasing unusual option volume: EWI EWG SC REM BKLN​
Increasing unusual call option volume: SC NLSN ERJ IOVA DXD ​
Increasing unusual put option volume: EWG AMLP SC EMB PTLA​
Popular stocks with increasing unusual volume: AAL NIO SW DIS UBER​
Active options on February 27: AAPL TSLA AMD MSFT SPCE BAC F UBER GILD GE NFLX SQ DIS BABA MU AMZN NIO AAL FB BA​