Mid-session IV Report July 24, 2020

Mid-session IV Report July 24, 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: SLQT ECOM SWIR SOGO EVRG IMMU GRUB INTC TSM SLV IAU GLD

Popular stocks with increasing unusual volume: TSM PFE TLRY MRNA

Intel (INTC) to its 52-week range of 20 to 99 after announcing a delay of its next generation of chips. Call put ratio 1.6 calls to 1 put with focus on ATM July weekly calls and puts.

Advanced Micro Devices, Inc. (AMD) July weekly call option implied volatility is at 120, August is at 66; compared to its 52-week range of 36 to 117 after Intel (INTC) announced a next generation chip delay. Call put ratio 3.9 calls to 1 put.

Taiwan Semiconductor (TSMC) July weekly call option implied volatility is at 50, August is at 34; compared to its 52-week range of 20 to 75. Call put ratio 10.8 calls to 1 put with focus on August calls.

Market Vectors Semiconductor ETF (SMH) July weekly call option implied volatility is at 57 August is at 29; compared to its 52-week range of 19 to 91 after Intel (INTC) announced a next generation chip delay. Call put ratio 1 call to 2.8 puts.

Tesla (TSLA) impact on EV company’s option implied volatility

NIO Inc. (NIO) call put ratio 2 calls to 1 put after Tesla (TSLA) results. July weekly call option implied volatility is at 183, August is at 135; compared to its 52-week range of 76 to 221.

Workhorse Group (WKHS) call put ratio 2.1 calls to 1 put after Tesla (TSLA) results. July weekly call option implied volatility is at 134, August is at 108; compared to its 52-week range of 102 to 286.

Nikola (NKLA) July weekly call option implied volatility is at 203, August is at 133; compared to its 52-week range of 67 to 305 as shares sell off 11%. Call put ratio 1 call to 1 .3 puts.

Electrameccanica Vehicles (SOLO) August call option implied volatility is at 155, September is at 152; compared to its 52-week range of 44 to 400. Call put ratio 5 calls to 1 put with focus on August calls.

SPDR Gold Trust (GLD) 30-day option implied volatility is at 20; compared to its 52-week range of 9 to 44 as gold at nine-year high. Call put ratio 2.8 calls to 1 put.

Option implied volatility for stocks reporting on July 27

Dish Network (DISH) July weekly call option implied volatility is at 71, August is at 68; compared to its 52-week range of 27 to 117 into the expected release of quarter results before the bell on July 27. Call put ratio 1 calls to 3.8 puts.

Hasbro (HAS) July weekly call option implied volatility is at 67, August is at 46; compared to its 52-week range of 21 to 112 into the expected release of quarter results before the bell on July 27. Call put ratio 21 calls to 1 put with focus on July weekly 80.50 calls.

SAP (SAP) August call option implied volatility is at 33, September is at 27; compared to its 52-week range of 17 to 79 into the expected release of quarter results on July 27. Call put ratio 1 call to 5.2 puts.

NXP Semiconductors (NXPI) July weekly call option implied volatility is at 57, August is at 45; compared to its 52-week range of 25 to 115 into the expected release of quarter results after the bell on July 27. Call put ratio 1 call to 2.6 puts.

Increasing unusual option volume: FE ASNA PHM EB KTOS QGEN
Increasing unusual call option volume: PHM FE MAT EB MAT KTOS QGEN
Increasing unusual put option volume: WKHS FE NAK EHTH SGMS TME
Options with decreasing option implied volatility: CVM NBL WKHS TSLA IRBT
Active options: AMD AAPL INTC TSLA MSFT NIO AMZN BAC FB AAL BA NKLA TLRY TSM NVDA MRNA NFLX PFE BABA MU