Mid-session IV Report January 30, 2020

Mid-session IV Report January 30, 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: EA X CVX XOM AMGN AMZN APPS FSCT NTNX W FL DDOG SCO TTD ETSY LB BBY CLVS EZPW DDD CCL RCL USO ​
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Popular stocks with increasing unusual volume: BABA UPS LUV NVDA LK PYPL UPS NIO I CCJ ​
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Option implied volatility elevated into EPS and outlook​
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Amgen (AMGN) January weekly call option implied volatility is at 61, February is at 26; compared to its 52-week range of 17 to 31 into the expected release of quarter results today after the bell.​
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Amazon (AMZN) January weekly call option implied volatility is at 78, February is at 30; compared to its 52-week range of 17 to 43 into the expected release of quarter results today after the bell. Call put ratio 1.9 calls to 1 put. ​
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Decker Outdoor (DECK) February call option implied volatility is at 48, March is at 37; compared to its 52-week range of 27 to 54 into the expected release of quarter results today after the bell.​
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Electronic Arts (EA) January weekly call option implied volatility is at 112, February is at 34; compared to its 52-week range of 21 to 51 into the expected release of quarter results today after the bell.​
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United States Steel (X) January weekly call option implied volatility is at 202, February is at 73; compared to its 52-week range of 38 to 76 into the expected release of quarter results today after the bell. Call put ratio 3.7 calls to 1 put with focus on January weekly 10 calls. ​
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Aon (AON) February call option implied volatility is at 23, March is at 24; compared to its 52-week range of 15 to 28 into the expected release of quarter results before the bell on January 31.​
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Caterpillar (CAT) January weekly call option implied volatility is at 91, February is at 31; compared to its 52-week range of 20 to 37 into the expected release of quarter results before the bell on January 31.​
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Chevron (CVX) January weekly call option implied volatility is at 41, February is at 22; compared to its 52-week range of 15 to 27 into the expected release of quarter results before the bell on January 31.​
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Colgate (CL) January weekly call option implied volatility is at 61, February is at 22; compared to its 52-week range of 14 to 28 into the expected release of quarter results before the bell on January 31.​
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Exxon Mobil (XOM) January call option implied volatility is at 48, February is at 22; compared to its 52-week range of 15 to 26 into the expected release of quarter results before the bell on January 31.​
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KKR (KKR) January weekly call option implied volatility is at 70, February is at 28; compared to its 52-week range of 22 to 42 into the expected release of quarter results before the bell on January 31.​
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Honeywell (HON) January weekly call option implied volatility is at 55, February is at 22; compared to its 52-week range of 14 to 27 into the expected release of quarter results before the bell on January 31.​
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Tesla (TSLA) January weekly call option implied volatility is at 94, February is at 46; compared to its 52-week range of 34 to 75 as shares rally 11% on revenue growth outlook.​

​Coronavirus travel

United Airlines (UAL) January weekly call option implied volatility is at 43, February is at 33; compared to its 52-week range of 20 to 36 amid coronavirus travel fears. Call put ratio 1 call to 1 put.​
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Delta (DAL) January weekly call option implied volatility is at 35, February is at 27; compared to its 52-week range of 20 to 34 amid coronavirus travel fears. Call put ratio 1 call to 2.3 puts.​
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Southwest Airlines (LUV) January weekly call option implied volatility is at 29, February is at 24; compared to its 52-week range of 18 to 35 amid coronavirus travel fears. Call put ratio 1 call to 2 puts.​
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American Airlines (AAL) January weekly call option implied volatility is at 55, February is at 41; compared to its 52-week range of 29 to 48 amid coronavirus travel fears. Call put ratio 1 call to 2.2 puts.​
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Alaska Air Group (ALK) January weekly call option implied volatility is at 25, February is at 26; compared to its 52-week range of 21 to 36 amid coronavirus travel fears. Call put ratio 1.5 calls to 1 put.​
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Royal Caribbean Cruises (RCL) January weekly call option implied volatility is at 46, February is at 44; compared to its 52-week range of 20 to 39. Call put ratio 1 call to 1.7 puts. ​
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Carnival Cruise Lines (CCL) January weekly call option implied volatility is at 27, February is at 28; compared to its 52-week range of 18 to 36.​
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Norwegian Cruise Line (NCLH) February call option implied volatility is at 34, March is at 33; compared to its 52-week range of 20 to 40. Call put ratio 1 call to 3.4 puts. ​
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Iowa Democratic caucuses on February 3​
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Russell 2000 Index (RUT) January weekly call option implied volatility is at 22, February is at 18, March is at 18, April is at 17; compared to its 52-week range of 12 to 25 into Iowa Democratic caucuses on February 3. ​
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S&P Dep Receipts (SPY) January weekly call option implied volatility is at 20, February is at 17, March is at 16, April is at 15; compared to its 52-week range of 10 to 23 ​
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PowerShares QQQ Trust (QQQ) January weekly call option implied volatility is at 24, February is at 20, March is at 19, June is at 18; compared to its 52-week range of 12 to 27 ​
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Ishares Iboxx $ High Yield Corporate Bond Etf (HYG) January weekly call option implied volatility is at 6, February is at 5, March is at 5, April is at 5; compared to its 52-week range of 4 to 9 ​
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The Intersection: Crypto and Wall Street​
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KODK 30-day option implied volatility is at 111; compared to its 52-week range of 77 to 153 amid being promoted or touted as a way to play the crypto theme.​
RIOT 30-day option implied volatility is at 120; compared to its 52-week range of 85 to 257 amid being promoted or touted as a way to play the crypto theme.​
TEUM 30-day option implied volatility is at 219; compared to its 52-week range of 98 to 343 amid being promoted or touted as a way to play the crypto theme.​
SRAX 30-day option implied volatility is at 147; compared to its 52-week range of 96 to 199 amid being promoted or touted as a way to play the crypto theme. ​
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Increasing unusual option volume: WEX PENN MUSA CCJ SKY FTI EHTH MUR​
Increasing unusual call option volume: PENN EHTH SKY FTI SP PKI FLEX HIMX AMX RIOT ​
Increasing unusual put option volume: PENN MUSA MUR RIO FTI FEZ APTV HLF ASHR​
Options with decreasing option implied volatility: LK SPCE DLPH EXTR ALGN CRUS ERIC TSLA EBAY CREE ​
Active options January 30: TSLA FB AAPL MSFT AMD GE T BABA MU BAC NFLX LK PYPL NVDA NIO AMZN BA I INTC CCJ ​
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