Mid-session IV Report January 22, 2020

Mid-session IV Report January 22, 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: KHC S SPCE LK EAF STMP ROKU FLR OLED HLF DPZ WMT INTU FIT USO IQ BYND YETI FXI WYNN LUV AAL TSLA PTON INTC​
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Popular stocks with increasing unusual volume: KHC AAL NKE FCEL JNJ SPCE LK IBM NIO​
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Tesla (TSLA) IV increases as share price up 8% to $591, market capitalization above Volkswagen
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Tesla (TSLA) January weekly call option implied volatility is at 69, February is at 70; compared to its 52-week range of 34 to 75 as shares market cap trades above $107B.​
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Boeing (BA) January weekly call option implied volatility is at 39, February is at 33; compared to its 52-week range of 23 to 41. Call put ratio 1 call to 1 put as shares sell off 1.9% on 737 Max headlines. ​
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iQIYI (IQ) January weekly call option implied volatility is at 52, February is at 51; compared to its 52-week range of 39 to 71 after Netflix (NFLX) announced quarter results today. Call put ratio 1 call to 1 put with focus on January weekly 25 calls. ​
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Snap (SNAP) January weekly call option implied volatility is at 44, February is at 63, compared to its 52-week range of 38 to 86. Call put ratio 2.6 calls to 1 put with focus on January weekly 19.50 calls.​

Virgin Galactic Holdings (SPCE) February call option implied volatility is at 120, March is at 111, compared to its 26-week range of 39 to 98 as Richard Branson’s spaceship company rises 9%. Call put ratio 7.8 calls to 1 put with focus on February 18, 19 and 20 calls.​

Jumia Technologies (JMIA) February call option implied volatility is at 108, March is at 95; compared to its 52-week range of 69 to 169. Call put ratio 18 calls to 1 put with focus on February 9 and 10 calls. ​
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Kraft Heinz (KHC) January weekly call option implied volatility is at 25, February is at 35; compared to its 52-week range of 20 to 51. Call put ratio 1 call to 2.9 puts with focus on February 30 puts. ​
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Texas Instruments (TXN) January weekly call option implied volatility is at 76, February is at 27; compared to its 52-week range of 19 to 39 into the expected release of quarter results today after the bell. ​

Adtran (ADTN) February call option implied volatility is at 41, March is at 36; compared to its 52-week range of 28 to 58 into the expected release of quarter results today after the bell.​

Steel Dynamics (STLD) February call option implied volatility is at 31, March is at 29; compared to its 52-week range of 28 to 43 into the expected release of quarter results today after the bell. ​

American Airlines (AAL) January weekly call option implied volatility is at 81, February is at 40; compared to its 52-week range of 28 to 49 into the expected release of quarter results before the bell on January 23. Call put ratio 5.3 calls to 1 put with focus on January weekly 28 and 28.50 calls.​

Colgate (CL) January weekly call option implied volatility is at 20, February is at 20; compared to its 52-week range of 14 to 28 into the expected release of quarter results before the bell on January 23. Call put ratio 7.1 calls to 1 put. ​

Comcast (CMCSA) January weekly call option implied volatility is at 55, February is at 21; compared to its 52-week range of 17 to 30 into the expected release of quarter results before the bell on January 23. Call put ration 1.3 calls to 1 put with focus on February 48 calls. ​

E*Trade (ETFC) January weekly call option implied volatility is at 70, February is at 30; compared to its 52-week range of 24 to 45 into the expected release of quarter results after the bell on January 23. ​

Freeport-McMoRan (FCX) January weekly call option implied volatility is at 85, February is at 42; compared to its 52-week range of 35 to 53 into the expected release of quarter results before the bell on January 23. Call put ratio 1.4 calls to 1 put with focus on February 12.50 calls. ​

Intel (INTC) January weekly call option implied volatility is at 79, February is at 29; compared to its 52-week range of 20 to 36 into the expected release of quarter results after the bell on January 23. ​

Intuitive Surgical (ISRG) January weekly call option implied volatility is at 44, February is at 22; compared to its 52-week range of 23 to 36 into the expected release of quarter results after the bell on January 23. ​

JetBlue (JBLU) February call option implied volatility is at 31, March is at 29; compared to its 52-week range of 23 to 36 into the expected release of quarter results on January 23. Call put ratio 13 calls to 1 put with focus on February 20 calls. ​

KeyCorp (KEY) February call option implied volatility is at 23, March is at 20; compared to its 52-week range of 20 to 35 into the expected release of quarter results before the bell on January 23.​

Kimberley Clark (KMB) January weekly call option implied volatility is at 55, February is at 21; compared to its 52-week range of 16 to 26 into the expected release of quarter results before the bell on January 23. ​

Proctor & Gamble (PG) January weekly call option implied volatility is at 49, February is at 18; compared to its 52-week range of 13 to 25 into the expected release of quarter results before the bell on January 23. Call put ratio 2.1 calls to 1 put with focus on February 127 calls.​

Skyworks (SWKS) January weekly call option implied volatility is at 105, February is at 40; compared to its 52-week range of 26 to 50 into the expected release of quarter results after the bell on January 23. Call put 4.2 calls to 1 put with focus on January weekly calls.​

Southwest Airlines (LUV) January weekly call option implied volatility is at 67, February is at 26; compared to its 52-week range of 18 to 35 into the expected release of quarter results before the bell on January 23. Call put ratio 1.2 calls to 1 put with focus on January weekly 54 calls. ​

STMicroelectronics (STM) February call option implied volatility is at 38, March is at 33; compared to its 52-week range of 27 to 53 into the expected release of quarter results on January 23. Call put ratio 8 calls to 1 put with focus on February 30 calls. ​

Travelers (TRV) February call option implied volatility is at 17, March is at 16; compared to its 52-week range of 14 to 23 into the expected release of quarter results before the bell on January 23. ​

Union Pacific (UNP) January weekly call option implied volatility is at 60, February is at 23; compared to its 52-week range of 18 to 32 into the expected release of quarter results before the bell on January 23.​

V.F. Corp (VFC) February call option implied volatility is at 28, March is at 24; compared to its 52-week range of 18 to 41 into the expected release of quarter results before the bell on January 23.​

American Express (AXP) January weekly call option implied volatility is at 43, February is at 19; compared to its 52-week range of 14 to 28 into the expected release of quarter results on January 24. Call put ratio 3.7 calls to 1 put with focus on January weekly 130 calls. ​
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Twitter (TWTR) January weekly call option implied volatility is at 36, February is at 50; compared to its 52-week range of 27 to 68 in the expected release of quarter results after the bell on February 6. Over the past five-year shares have gained for lost more than 7% in its response to financial results 85% of the time. Shares have moved by double-digit percentage 60% of time. ​

Novavax (NVAX) February call option implied volatility is at 178, March is at 188; compared to its 52-week range of 85 to 350 as shares sell off 17%. Call put ratio 4.2 calls to 1 put after headlines of Wuhan coronavirus and filing for a potential fund raising. ​
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Lakeland (LAKE) February call option implied volatility is at 100, March is at 78; compared to its 52-week range of 36 to 134 a day after active volume headlines from the China virus outbreak. ​Lakeland manufactures and sells industrial protective clothing and accessories for the industrial and public protective clothing market worldwide.​
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Alpha Pro Tech Ltd. (APT) February call option implied volatility is at 129, March is at 108; compared to its 52-week range of 40 to 150 as shares rally 1%. Call put ratio 22 calls to 1 put with focus on February and March 5 calls after chatter of a mask orders resulting from the Chinese coronavirus.​

Exact Sciences (EXAS) call put ratio 5.2 calls to 1 put with focus on January weekly 95 calls as shares rally 8%​
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Increasing unusual option volume: DERM APT CHNG CRK ARMK CARS VSAT MIK NVAX LAKE APT MRNA XPO​
Increasing unusual call option volume: DERM CRK APT MIK LX TV BCRX NNAX AKCA EXPE ​
Increasing unusual put option volume: CHNG MRNA BTU BKR AVDL VOD BRFS MGI PD MOMO NVAX ​
Options with decreasing option implied volatility: IBM SIG NVAX IOVA NFLX FAST CSX COF KSU STT BAC​
Active options January 22: TSLA NIO NFLX AAPL AMD BYND IBM BA MU FB AMZN ROKU GE INTC UBER SNAP JD MSFT SPCE LK ​
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