Mid-session IV Report July 17, 2020

Mid-session IV Report July 17, 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: AZN ALKS ACB WKHS CEQP COMM

Popular stocks with increasing unusual volume: NIO SPCE NCLH DKNG NKLA WKHS AZN

Halliburton (HAL) July weekly call option implied volatility is at 72, August is at 66; compared to its 52-week range of 30 to 223 into the expected release of quarter results before the bell on July 20. Call put ratio 3.8 calls to 1 put with focus on July weekly 12.50 calls as shares rally 2%.

Lands End (LE) August call option implied volatility is at 62, September is at 71; compared to its 52-week range of 46 to 123 into the expected release of quarter results before the bell on July 20.

Steel Dynamics (STLD) August call option implied volatility is at 51, September is at 49; compared to its 52-week range of 27 to 125 into the expected release of quarter results after the bell on July 20.

IBM (IBM) July weekly call option implied volatility is at 50, August is at 33; compared to its 52-week range of 15 to 85 into the expected release of quarter results after the bell on July 20. Call put ratio 2.3 calls to 1 put.

United Airlines (UAL) July weekly call option implied volatility is at 105, August is at 93; compared to its 52-week range of 19 to 420 into the expected release of quarter results after the bell on July 21.

Microsoft (MSFT) July weekly call option implied volatility is at 55, August is at 38; compared to its 52-week range of 15 to 90 into the expected release of quarter results after the bell on July 22. Call put ratio 2.4 calls to 1 put with focus on July weekly 205 calls.

Chipotle (CMG) July weekly call option implied volatility is at 55, August is at 43; compared to its 52-week range of 20 to 125 into the expected release of quarter results after the bell on July 22.

Amazon (AMZN) July weekly call option implied volatility is at 50, August is at 51; compared to its 52-week range of 16 to 68 into the expected release of quarter results after the bell on July 23.

Social media stocks into quarter results

Snap (SNAP) July weekly call option implied volatility is at 130, August is at 75; compared to its 52-week range of 38 to 127 into expected release of quarter results on July 21. Call put ratio 1.4 calls to 1 put.

Twitter (TWTR) July weekly call option implied volatility is at 108, August is at 66; compared to its 52-week range of 26 to 138 into expected release of quarter results on July 23. Call put ratio 1.1 calls to 1 put.

Facebook (FB) July weekly option implied volatility is at 45, August is at 47; compared to its 52-week range of 21 to 82 into expected release of quarter results on July 29. Call put ratio 2.1 calls to 1 put.

Pinterest (PINS) July weekly option implied volatility is at 64, August is at 75; compared to its 52-week range of 38 to 154 into expected release of quarter results on July 30. Call put ratio 1.6 calls to 1 put.

Amazon (AMZN) July call option implied volatility is at 50, August is at 54; compared to its 52-week range of 16 to 69 into expected release of quarter results on July 23.

Netflix (NFLX) July call option implied volatility is at 130, August is at 47; compared to its 52-week range of 27 to 99 after release of quarter results today after the bell. Call put ratio 1.5 calls to 1 put.

Tesla (TSLA) July weekly call option implied volatility is at 147, August is at 113; compared to its 52-week range of 33 to 154 into the expected release of quarter results on July 22. Call put ratio 1.5 calls to 1 into annual shareholder meeting and ‘Battery Day’ on September 22.

NIO Inc. (NIO) July call option implied volatility is at 311, August is at 150; compared to its 52-week range of 76 to 221 into downgraded to Sell from Neutral at Goldman Sachs. Call put ratio 1.2 calls to 1 put shares down 14%.

Workhorse Group (WKHS) July call option implied volatility is at 220, August is at 170; compared to its 52-week range of 102 to 286 as shares sell off 4.5%. Call put ratio 1 call to 1.5 puts with focus on July puts.

Nikola (NKLA) July call option implied volatility is at 135, August is at 119; compared to its 52-week range of 67 to 305 as shares sell off 2.5%. Call put ratio 1.2 calls to 1 put.

Sonos (SONO) August call option implied volatility is at 100, September is at 88; compared to its 52-week range 41 to 120. Call put ratio 22 calls to 1 put with focus on calls August 17.50 calls.

Electrameccanica Vehicles (SOLO) August call option implied volatility is at 200, September is at 201; compared to its 52-week range 76 to 399. Call put ratio 1.6 calls to 1 put with focus on calls August calls.

Norwegian Cruise Line (NCLH) 30-day option implied volatility is at 111; compared to its 52-week range of 20 to 267 after Norwegian Cruise Line 16.677M share Secondary priced at $15 and CDC extends ‘No Sail Order’ for cruise ships.

Carnival Corp. (CCL) 30-day option implied volatility is at 101; compared to its 52-week range of 18 to 267 after CDC extends ‘No Sail Order’ for cruise ships.

Royal Caribbean Cruises (RCL) 30-day option implied volatility is at 104; compared to its 52-week range of 20 to 271 after CDC extends ‘No Sail Order’ for cruise ships.

Nutanix (NTNX) call put ratio 79 calls to 1 put with focus on July 21 and 21.50 calls.

Increasing unusual option volume: TK LRN CHD ERIC NTNX
Increasing unusual call option volume: CHD LRN ERIC
Increasing unusual put option volume: WY MVIS AZN ERIC NOK DGLY TBT
Options with decreasing option implied volatility: NFLX STT BK BAC WFC GS FIT DAL UNH
Active options: NFLX NIO SPCE AMD AAPL TSLA NKLA BABA FB MSFT AZN AMZN DKNG NCLH BA CZR F COMM BAC CCL