Mid-session IV Report January 17, 2020

Mid-session IV Report January 17, 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: JMIA TLRY PINS ROKU CGC SPCE ANET YELP TRIP ROKU XLE PINS BOX ACHN​
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Popular stocks with increasing unusual volume: BYND CSCO LK HD CMCSA ​
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VIX February 22 calls active on 173K contracts trading at 49c ​

Capital One (COF) January weekly call option implied volatility is at 32, February is at 21; compared to its 52-week range of 17 to 34 into the expected release of quarter results on January 21. ​

Comerica (CMA) February call option implied volatility is at 25, April is at 23; compared to its 52-week range of 22 to 37 into the expected release of quarter results before the bell on January 21. ​

Halliburton (HAL) January weekly call option implied volatility is at 44, February is at 33; compared to its 52-week range of 28 to 50. Call put ratio 3 calls to 1 put with focus on January 23.50 calls. ​

Interactive Broker (IBKR) February and March call option implied volatility is at 25; compared to its 52-week range of 26 to 40 into the expected release of quarter results on January 21.​

IBM (IBM) January weekly call option implied volatility is at 37, February is at 22; compared to its 52-week range of 14 to 33 into the expected release of quarter results after the bell on January 21. ​

Las Vegas Sands (LVS) January weekly call option implied volatility is at 23, February is at 22; compared to its 52-week range of 22 to 40 into the expected release of quarter results on January 21. ​

TD Ameritrade (AMTD) January weekly call option implied volatility is at 37, February is at 29; compared to its 52-week range of 22 to 53 into the expected release of quarter results after the bell on January 21. Call put ratio 4.9 calls to 1 put with focus on January weekly 51 calls. ​

United Airlines (UAL) January weekly call option implied volatility is at 42, February is at 27; compared to its 52-week range of 20 to 36 into the expected release of quarter results after the bell on January 21. ​

Zions Bancorporation (ZION) February call option implied volatility is at 22, April is at 23; compared to its 52-week range of 20 to 34 into the expected release of quarter results after the bell on January 21. ​
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Visa Inc Class A (V) January weekly call option implied volatility is at 16, February is at 18; compared to its 52-week range of 15 to 29 into Financial Services agenda in Davos and the expected release of quarter results on January 30. Call put ratio 3 calls to 1 put with focus on January weekly 205 calls as shares near record high.​
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Master Card (MA) January weekly call option implied volatility is at 16, February is at 18; compared to its 52-week range of 16 to 31 into Financial Services agenda in Davos and the expected release of quarter results on January 29. ​
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American Express (AXP) January weekly call option implied volatility is at 24, February is at 17; compared to its 52-week range of 14 to 28 into Financial Services agenda in Davos and the expected release of quarter results on January 24. Call put ratio 2.7 calls to 1 put with focus on January weekly 132 calls. ​
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Goldman Sachs (GS) 30-day option implied volatility is at 21; compared to its 52-week range of 18 to 32 into Davos and 2020 investor day on January 29, 2020. Call put ratio 2.2 calls to 1 put with focus on January 250 calls and puts.​

Citigroup (C) 30-day option implied volatility is at 18; compared to its 52-week range of 19 to 33 into Financial Services agenda in Davos 2020 investor day on investor day on May 13. Call put ratio 1.8 calls to 1 put with focus on February 82.50 calls.
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Banks into Financial Services agenda in Davos​

Bank of America (BAC) 30-day option implied volatility is at 17; compared to its 52-week range of 19 to 32. Call put ratio 2.2 calls to 1 put with focus on January 34.50 calls into expiration. ​
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Blackrock (BLK) 30-day option implied volatility is at 15; compared to its 52-week range of 16 to 32. Call put ratio 1 call to 2.2 puts as shares at high end of range. ​

JPMorgan (JPM) 30-day option implied volatility is at 15; compared to its 52-week range of 15 to 28. ​

Wells Fargo (WFC) 30-day option implied volatility is at 17; compared to its 52-week range of 16 to 28.​

Clovis Oncology (CLVS) January weekly call option implied volatility is at 105, February is at 87; compared to its 52-week range of 65 to 208. Call put ratio 9.6 calls to 1 put with focus on February 9 calls.​
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NantKwest (NK) February call option implied volatility is at 169, April is at 142; compared to its 52-week range of 103 to 208. Call put ratio 1.7 calls to 1 put.​

Jumia Technologies (JMIA) February call option implied volatility is at 126, May is at 105; compared to its 52-week range of 69 to 169. Call put ratio 12 calls to 1 put with focus on January 7 and 8 calls. ​

Biogen (BIIB) January weekly call option implied volatility is at 24, February is at 43; compared to is 52-week range of 25 to 47 into an expected patent challenge decision to its top product, Tecfidera, a multiple sclerosis drug. Call put ratio 1.4 calls to 1 put into the expected release of quarterly results on January 30.​
Fed put continues ​

Increasing unusual option volume: ALLT FHN JMIA INSM DISCA CTVA BTG DISCA​
Increasing unusual call option volume: JBLU FHN JMIA SNA AXU BTG DISCA CTBA NK GPN ​
Increasing unusual put option volume: EGO NOG ALLT ERIC ENDP CTVA JBHT ​
Options with decreasing option implied volatility: SLB STT IOVA EXAS WVE SIG EXEL AEO ANF CLF FIVE SLB TGTX​
Active options January 17: AAPL NIO AMD TSLA SNAP MSFT TWTR BABA FB AMZN QCOM BYND CSCO LK BAC HD MU NFLX ROKU CMCSA​
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