Mid-session IV Report January 8, 2020

Mid-session IV Report January 8, 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.​
​
Options with increasing option implied volatility: BBBY TGTX IRBT GRUB COTY TWTR SNAP TPR CPRI FEYE RL BIIB SNE SKX COTY WW CVM DDD EA MELI CIEN KTOS​
​
Popular stocks with increasing unusual volume: ​WBA FDX SQ NIO LK I UBER
​
​
Option implied volatility flat into President Trump to make statement on Iran, EPS season and expected China Phase 1 trade tariff signing on January 15​

S&P Dep Receipts (SPY) January weekly call option implied volatility is at 12, January is at 11, February is at 12, June is at 14; compared to its 52-week range of 10 to 23 into President Trump to make statement on Iran at 11am ET, EPS season and expected China Phase 1 trade tariff signing on January 15.​
​
PowerShares QQQ Trust (QQQ) January weekly call option implied volatility is at 17, January is at 15, February is at 16, June is at 17; compared to its 52-week range of 12 to 27.

iShares Russell 2000 ETF (IWM) January weekly call option implied volatility is at 17, January is at 14, February is at 14, June is at 16; compared to its 52-week range of 12 to 25 into Trump statement.
​
​
Bed Bath & Beyond (BBBY) January weekly call option implied volatility is at 204, January is at 112, February is at 72; compared to its 52-week range of 40 to 104 into the expected release of quarter results today after the bell.​

Boeing (BA) January weekly call option implied volatility is at 34, January is at 28, February is at 29; compared to its 52-week range of 23 to 41 after 737 crash in Iran. Call put ratio 1 call to 1 put with focus on January weekly 335 calls and January weekly 330 puts. ​
​
Option implied volatility flat for Biotech & Pharma stocks into JPMorgan 38th Annual Healthcare Conference January 13-16​

iShares Nasdaq Biotechnology (IBB) 30-day option implied volatility is at 21; compared to its 52-week range of 17 to 30 into JPMorgan 38th Annual Healthcare Conference January 13-16.​

Health Care Select Sect Fd (XLV) 30-day option implied volatility is at 14; compared to its 52-week range of 11 to 24 into JPMorgan 38th Annual Healthcare Conference January 13-16.​

Amarin Corp. (AMRN) 30-day option implied volatility is at 78; compared to its 52-week range of 55 to 136 into JPMorgan 38th Annual Healthcare Conference January 13-16.​

Amgen (AMGN) 30-day option implied volatility is at 22; compared to its 52-week range of 17 to 31​

Pfizer (PFE) 30-day option implied volatility is at 20; compared to its 52-week range of 15 to 26​

Biogen (BIIB) 30-day option implied volatility is at 46; compared to its 52-week range of 25 to 48​

Mylan (MYL) 30-day option implied volatility is at 40; compared to its 52-week range 31 to 77​

Carvana (CVNA) 30-day option implied volatility is at 48; compared to its 52-week range of 43 to 106​

Akcea Therapeutics (AKCA) 30-day option implied volatility is at 64; compared to its 52-week range 55 to 91​

Ligand Pharmaceuticals (LGND) 30-day option implied volatility is at 52; compared to its 52-week range 39 to 92​
​
Macy’s (M) January weekly call option implied volatility is at 65, January is at 47, February is at 44; compared to its 52-week range of 31 to 71 into a company hosted investor meeting on February 5. ​
​
Semiconductor option implied volatility flat to low on active call volume as shares at upper end of range​
​
Market Vectors Semiconductor ETF (SMH) January weekly call option implied volatility is at 25, January is at 23, February is at 22; compared to its 52-week range of 20 to 36 as shares near record high into CES 2020 Las Vegas January 7 to January 10. Call put ratio 1 call to 4.5 puts with focus on January 127 and 137 puts. ​

AMD (AMD) January weekly call option implied volatility is at 45, January is at 42, February is at 52; compared to its 52-week range of 36 to 87. Call put ratio 3.3 calls to 1 put with focus on January 40 and 44 calls. ​
​
KLA-Tencor (KLAC) January weekly call option implied volatility is at 31, January is at 28, February is at 32; compared to its 52-week range of 27 to 48 as shares near record high.​

Lam Research (LRCX) January weekly call option implied volatility is at 30, January is at 29, February is at 34; compared to its 52-week range of 26 to 52. Call put ratio 3 calls to 1 put with focus on January calls. ​

Analog Devices (ADI) January weekly call option implied volatility is at 26, January is at 23, February is at 23; compared to its 52-week range of 22 to 43. Call put ratio 8.2 calls to 1 put with focus on January calls. ​

Micron Technology (MU) January weekly call option implied volatility is at 39, January is at 35, February is at 36; compared to its 52-week range of 31 to 59. Call put ratio 1.9 calls to 1 put with focus on January weekly 57 and 57.50 calls with focus on January 62.50 calls. ​

Qualcomm (QCOM) January weekly call option implied volatility is at 29, January is at 26, February is at 31; compared to its 52-week range of 25 to 43. Call put ratio 3.3 calls to 1 put. ​

Intel (INTC) January weekly call option implied volatility is at 25, January is at 22, February is at 27; compared to its 52-week range of 19 to 38. Call put ratio 2.4 calls to 1 put. ​
​
Increasing unusual option volume: DCPH ACOR SWK EUFN LYG DDD​ I
Increasing unusual call option volume: I BCRX EUFN SWK GRPN RUBI​
Increasing unusual put option volume: DCPH SWK BHVN HUN ICE ALB LB​
Options with decreasing option implied volatility: APLS LK ARQL FIT AMD F OSTK​
Active options January 8: TSLA AMD AAPL BYND BA M MU FB LK BAC MSFT AMZN NIO UBER ROKU WBA T X FDX SQ​
​
​
​