Mid-session IV Report January 9, 2020

Mid-session IV Report January 9, 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: IRBT SKT INFY CCXI GRUB TWTR SNAP TPR COTY CPRI RL GM SNE LK BYND​
​
Popular stocks with increasing unusual volume: UBER ROKU BYND LK​
​
AMD (AMD) January weekly call option implied volatility is at 41, January is at 40, February is at 51; compared to its 52-week range of 36 to 89 as shares near high end of range. Call put ratio 4.5 calls to 1 put with focus on January weekly 50 calls. ​

Snap (SNAP) January weekly call option implied volatility is at 49, January is at 41, February is at 57; compared to its 52-week range of 37 to 85 after both Jefferies and Cowen upgrade to Buy. Call put ratio 4.1 calls to 1 put with focus on January weekly (10) 17 and January weekly (24) 17.50 calls.​
​
United States Oil Fund (USO) January weekly call option implied volatility is a 35, January is at 31, February is at 28; compared to its 52-week range of 23 to 47 as WTI Crude oil has largest three day decline since September.​
​
Market Vectors Russia ETF Trust (RSX) 30-day option implied volatility is at 18; compared to its 52-week range of 15 to 32 as WTI Crude oil has largest three-day decline since September. The diverging fundamentals of U.S. oil and natural gas can be seen in the markets, where the oil-to-gas price ratio has surged to its highest in six years.​

Nordstrom (JWN) January weekly call option implied volatility at 57, January at 48, February is at 35; compared to its 52-week range of 29 to 75 into the expected release of holiday sales report. Call put ratio 2.1 calls to 1 put with a focus on January 42.50 calls. ​
​
Citigroup (C) January weekly call option implied volatility is at 22, January is at 27, February is at 21; compared to its 52-week range of 19 to 34 into the expected release of quarterly results before the bell on January 14. Call put ratio 1.7 calls to 1 put with focus on January calls. ​

Delta Air Lines (DAL) January weekly call option implied volatility is at 24, January is at 31, February is at 25; compared to its 52-week range of 20 to 36 into the expected release of quarterly results before the bell on January 14. Call put ratio 3.3 calls to 1 put with focus on January calls. ​

JPMorgan (JPM) January weekly call option implied volatility is at 20, January is at 25, February is at 21; compared to its 52-week range of 15 to 28 into the expected release of quarterly results before the bell on January 14. Call put ratio 2.6 calls to 1 put with focus on January 139 calls. ​

Wells Fargo (WFC) January weekly call option implied volatility is at 20, January is at 25, February is at 18; compared to its 52-week range of 16 to 31 into the expected release of quarterly results before the bell on January 14. Call put ratio 2.1 calls to 1 put with focus on February 55 calls. ​

CAE, Inc. (CAE) February and March call option implied volatility is at 21; compared to its 52-week range 15 to 58 as shares trade near record high after Boeing (BA) recommends 737 Max simulator training for pilots. ​

GrubHub (GRUB) January weekly call option implied volatility is at 92, January is at 61, February is at 62; compared to its 52-week range of 38 to 79 a day after the WSJ reported the delivery company is weighing strategic options including possible sale. Call put ratio 1 call to 1 put.​

Peloton (PTON) January weekly call option implied volatility is at 75, January is at 68, February is at 76; compared to its 52-week range of 58 to 98. Call put ratio 3.6 calls to 1 put with focus on January 30 calls. ​

Pinterest (PINS) January weekly call option implied volatility is at 54, January is at 46, February is at 52; compared to its 52-week range of 39 to 98 on renewed chatter. Call put ratio 5.6 calls to 1 put with focus on January 20 and 20.50 calls as shares rally 2.5%. ​

Pinterest (PINS) call put ratio 5.4 calls to 1 put with focus on January 20 and 20.50 calls as shares rally 2.5% on renewed chatter. ​

Nutanix (NTNX) call put ratio 8.9 calls to 1 put with focus on January weekly 34 calls​

Sprint (S) 30-day option implied volatility is at 104; compared to its 52-week range of 28 to 133 into uncertainty of T-Mobile (TMUX) merger. Call put ratio 1 call to 2.2 puts. ​
​
Albermarle (ALB) January call option implied volatility is at 32, February is at 33; compared to its 52-week range of 25 to 51. ​
​
​
Increasing unusual option volume: ZYXI AXNX LNN BBBY SLDB NTNX PINS​
Increasing unusual call option volume: SNAP RMBS DISCK LQD AYI HOLX SPTM HBAN VSTM​
Increasing unusual put option volume: OAS ARNC RUN GLNG DNR HBAN NOG BBBY HLT ​
Options with decreasing option implied volatility: APLS BBBY QGEN RESI STZ LEN XLP XLU ARQL
Active options January 9: AAPL AMD TSLA T SNAP FB MSFT BYND AMZN BBBY LK BABA NIO NVDA UBER BA TWTR BAC ROKU NFLX​
​
​