Mid-session IV Report July 20, 2020

Mid-session IV Report July 20, 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 IBM CMG SNAP CAPR GRPN SPOT BOX TGT TSLA AMZN

Popular stocks with increasing unusual volume: SPCE NIO MRNA NKLA

Tesla (TSLA) July weekly call option implied volatility is at 167, August is at 133; compared to its 52-week range of 33 to 154 into the expected release of quarter results on July 22. Call put ratio 1.3 calls to 1 into annual shareholder meeting and ‘Battery Day’ on September 22.

NIO Inc. (NIO) July weekly call option implied volatility is at 166, August is at 151; compared to its 52-week range of 76 to 221. Call put ratio 1.9 calls to 1 put with focus on July weekly calls as shares rally 11%.

Workhorse Group (WKHS) July weekly call option implied volatility is at 146, August is at 159; compared to its 52-week range of 102 to 286 as shares sell off 1.9%. Call put ratio 1.6 calls to 1 put with focus on July weekly calls.

Nikola (NKLA) July weekly call option implied volatility is at 188, August is at 150; compared to its 52-week range of 67 to 305 as shares sell off 19% after files to sell 249M shares of common stock for holders. Call put ratio 1.9 calls to 1 put.

Tech momentum

Dropbox (DBX) 30-day option implied volatility is at 58; compared to its 52-week range of 31 to 101. Call put ratio 5.8 calls to 1 put with focus on July weekly 23 calls as shares rally 8%.

Zoom Video Communications (ZM) July weekly call option implied volatility is at 65, August is at 57; compared to its 52-week range of 36 to 137 as shares rally 5%. Call put ratio 2.4 calls to 1 put with focus on July weekly 160 calls.

Twillio (TWLO) July weekly call option implied volatility is at 67, August is at 73; compared to its 52-week range of 33 to 97 as shares rally 7%. Call put ratio 4.2 calls to 1 put with focus on July weekly 250 and 260 calls.

Service Now (NOW) July weekly option implied volatility is at 45, August is at 43; compared to its 52-week range of 26 to 84 as shares rally 3.9%.

Peloton (PTON) July weekly call option implied volatility is at 80, August is at 84; compared to its 52-week range of 58 to 158. Call put ratio 3.3 calls to 1 put amid shares up 9%.

IV into quarter results

IBM (IBM) July weekly call option implied volatility is at 60, August is at 32; compared to its 52-week range of 15 to 85 into the expected release of quarter results today after the bell.

Lands End (LE) overall option implied volatility is at 87; compared to its 52-week range of 46 to 123.

Steel Dynamics (STLD) August call option implied volatility is at 46, September is at 45; compared to its 52-week range of 27 to 125 into the expected release of quarter results today. Call put ratio 1 call to 2.6 puts.

United Airlines (UAL) July weekly call option implied volatility is at 120, August is at 91; compared to its 52-week range of 19 to 420 into the expected release of quarter results after the bell on July 21.

Chipotle (CMG) July weekly call option implied volatility is at 78, August is at 40; compared to its 52-week range of 20 to 125 into the expected release of quarter results after the bell on July 22. Call put ratio 1.6 calls to 1 put as shares at record high into quarter results.

Intuitive Surgical (ISRG) July weekly call option implied volatility is at 67, August is at 38; compared to its 52-week range of 20 to 101 into the expected release of quarter results after the bell on July 21.

iRobot (IRBT) July weekly call option implied volatility is at 140, August is at 73; compared to its 52-week range of 36 to 121 into the expected release of quarter results after the bell on July 21. Call put ratio 2.2 calls to 1 put.

Lockheed Martin (LMT) July weekly call option implied volatility is at 48, August is at 32; compared to its 52-week range of 14 to 87 into the expected release of quarter results before the bell on July 21.

Philip Morris (PM) July weekly call option implied volatility is at 46, August is at 31; compared to its 52-week range of 16 to 74 into the expected release of quarter results before the bell on July 21.

Snap (SNAP) July weekly call option implied volatility is at 167, August is at 75; compared to its 52-week range of 38 to 126 into the expected release of quarter results after the bell on July 21. Call put ratio 2.6 calls to 1 put.

Southern Copper (SCCO) August call option implied volatility is at 38, September is at 36; compared to its 52-week range of 23 to 113 into the expected release of quarter results after the bell on July 21.

Texas Instruments (TXN) July weekly call option implied volatility is at 62, August is at 37; compared to its 52-week range of 19 to 94 into the expected release of quarter results after the bell on July 21. Call put ratio 3.7 calls to 1 put with focus on July weekly calls.

Microsoft (MSFT) July weekly call option implied volatility is at 63, August is at 37; compared to its 52-week range of 15 to 90 into the expected release of quarter results after the bell on July 22.

Noble Energy (NBL) August call option implied volatility is at 67, September is at 59; compared to its 52-week range of 33 to 249 after Chevron (CVX) acquiring in all-stock transaction valued at $5B. Call put ratio 2.2 calls to 1 put.

Increasing unusual option volume: FTAI WKHS TIP TAN INFN IDEX AZN
Increasing unusual call option volume: FTAI WKHS INFN AZN BNTX IDEX NBL
Increasing unusual put option volume: DHT URBN NBL FTCH APD AZN ERIC IBKR
Options with decreasing option implied volatility: HAL NBL CVM CZR BSGM BCRX
Active options: NIO AAPL AZN AMD MSFT NKLA BAC MRNA AMZN FB BABA PFE TSLA AAL SPCE NFLX BA SNAP T JPM