Mid-session IV Report January 27, 2020

Mid-session IV Report January 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: WYNN LVS MGM MLCO ASHR MRNA EWH UNH ABBV​
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Popular stocks with increasing unusual volume: LK BYND JD AAL WYNN STMP YINN TWOU WW NTNX FLR THC LL ​
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Macau Confirms 7th Case of Novel Coronavirus – Bloomberg​
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Wynn Resorts Ltd (WYNN) January weekly call option implied volatility is at 75, February is at 56; compared to its 52-week range of 31 to 57 as China virus spreads. Call put ratio 1.7 calls to 1 put.​
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Las Vegas Sands (LVS) January weekly call option implied volatility is at 84, February is at 61; compared to its 52-week range of 22 to 40. Call put ratio 9.2 calls to 1 put with focus on February 65 calls into quarter results on February 29. ​
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MGM Resorts (MGM) January weekly call option implied volatility is at 44, February is at 40; compared to its 52-week range of 20 to 41.​
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Melco Resorts (MLCO) February call option implied volatility is at 58, March is at 50; compared to its 52-week range of 31 to 49. Call put ratio 4.2 calls to 1 put with focus on February 22 calls. ​
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Huazhu Group Limited (HTHT) February call option implied volatility is at 48, March is at 50; compared to its 52-week range of 40 to 150 as shares sell off 0.9% as virus spreads. Call put ratio 1 call to 1.7 puts with focus on February 30 puts.​
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Apple (AAPL) January weekly (31) call option implied volatility is at 66, February is at 35; compared to its 52-week range of 18 to 35 into the expected release of quarter results on January 27. Apple is priced like a consumer stock based on valuation. Apple’s P/E as of January 23 is 26.9, McDonalds (MCD) is 27, Coca-Cola (KO) 27.1, Proctor & Gamble (PG) 25.6.​
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Coca-Cola (KO) January weekly (31) call option implied volatility is at 34, February is at 19; compared to its 52-week range of 12 to 22 into the expected release of quarter results on January 30. ​
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Proctor & Gamble (PG) January weekly (31) call option implied volatility is at 19, February is at 15; compared to its 52-week range of 13 to 25. ​
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McDonalds (MCD) January weekly call option implied volatility is at 38, February is at 19; compared to its 52-week range of 13 to 24 into the expected release of quarter results before the bell on January 29. ​
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Goldman Sachs (GS) January weekly call option implied volatility is at 37, February is at 26; compared to its 52-week range of 18 to 32 into investor day on January 29, 2020. Call put ratio 1.1 calls to 1 put with focus on February 237 calls.​
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Novel Coronavirus stocks​
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Novavax (NVAX) February call option implied volatility is at 192, March is at 200; compared to its 52-week range of 85 to 350 amid coronavirus spreading. Call put ratio 6.1 calls to 1 put. ​
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BioCryst Pharma (BCRX) February call option implied volatility is at 134, March is at 146; compared to its 52-week range of 53 to 247 amid coronavirus spreading. Call put ratio 27 calls to 1 put.​
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Lakeland Industries (LAKE) February call option implied volatility is at 105, March is at 94; compared to its 52-week range of 20 to 63 amid the spread of coronavirus. Call put ratio 5.2 calls to 1 put with focus on February 12.50 and 20 calls active as shares rally 12%.​
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Alpha Pro Tech Ltd. (APT) February call option implied volatility is at 142, March is at 121; compared to its 52-week range of 40 to 150 as shares rally 17% as virus spreads. Call put ratio 3 calls to 1 put with focus on February 5 and 7.5 calls. ​
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Meridian Bioscience (VIVO) February call option implied volatility is at 64, March is at 60; compared to its 52-week range of 25 to 58 as shares rally 29% as virus spreads. Call put ratio 73 calls to 1 put with focus on February 12.50 and 15 calls.​
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Inovio Pharma (INO) February call option implied volatility is at 216, March is at 214; compared to its 52-week range of 58 to 165 as shares rally 30% as virus spreads. Call put ratio 7.5 calls to ` put with focus on February 5 and 6 calls.​
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Royal Caribbean Cruises (RCL) January weekly call option implied volatility is at 27, February is at 28; compared to its 52-week range of 20 to 39 as China virus spreads. Call put ratio 1 call to 4.3 puts with focus on February 120 puts. ​
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Carnival Cruise Lines (CCL) January weekly call option implied volatility is at 42, February is at 40; compared to its 52-week range of 18 to 36 as China virus spreads. Call put ratio 1 call to 3.3 puts with focus on January weekly calls. ​
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Norwegian Cruise Line (NCLH) February call option implied volatility is at 34, March is at 30; compared to its 52-week range of 20 to 40 as China virus spreads. Call put ratio 1 call to 8.7 puts with focus on February 52.50 and 55 puts. ​
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Anheuser Busch (BUD) January weekly call option implied volatility is at 23, February is at 21; compared to its 52-week range of 16 to 32 as China virus spreads. ​
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Boeing (BA) January weekly (31) call option implied volatility is at 53, February is at 34; compared to its 52-week range of 23 to 41 amid reports of a downed Boeing aircraft in Afghanistan. Call put ratio 1.9 calls to 1 put as shares sell off 1% into the expected release of quarter results on January 29. ​
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Pharma stocks into CDC coronavirus​ update, EPS and 2020 elections
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AstraZeneca (AZN) 30-day option implied volatility is at 28; compared to its 52-week range of 16 to 33 amid the spread of coronavirus.​
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Bristol-Myers (BMY) 30-day option implied volatility is at 27; compared to its 52-week range of 20 to 43
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Eli Lilly (LLY) 30-day option implied volatility is at 25; compared to its 52-week range of 16 to 30
GlaxoSmithKline (GSK) 30-day option implied volatility is at 21; compared to its 52-week range of 13 to 24
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Johnson & Johnson (JNJ) 30-day option implied volatility is at 17; compared to its 52-week range of 14 to 33 amid the spread of coronavirus.​
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Merck (MRK) 30-day option implied volatility is at 23; compared to its 52-week range of 14 to 28
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Novartis (NVS) 30-day option implied volatility is at 19; compared to its 52-week range of 12 to 24

Pfizer (PFE) 30-day option implied volatility is at 22; compared to its 52-week range of 15 to 26
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Sanofi (SNY) 30-day option implied volatility is at 22; compared to its 52-week range of 15 to 29
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Sanofi (SNY) option implied volatility flat amid the spread of coronavirus​
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Increasing unusual option volume: INO APT MCHI CARS DXD ASHR YUMC MLCO EWH ACHN​
Increasing unusual call option volume: INO ACHN CARS APT DXD MLCO GASL TDG NVAX LVS ​
Increasing unusual put option volume: ASHR YINN KWEB YUMC TCOM MAC PFPT EWH FCAU MLCO CARS HTHT XPO​
Options with decreasing option implied volatility: ACHN ERIC TER IBM​
Active options January 27: AAPL BABA AMD NIO BAC TSLA NFLX MSFT DIS LVS BYND INTC MU GE FB JD LK NVDA AAL WYNN​
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