Mid-session IV Report June 1, 2020

Mid-session IV Report June 1, 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: DKNG ZNGA SGMO DKS ZM

Popular options with increasing volume: SPCE ZM DKNG BYND

Walmart (WMT) 30-day option implied volatility is at 23; compared to its 52-week range of 13 to 68 into hosting its annual shareholder meeting on June 3.

Alphabet (GOOGL) 30-day option implied volatility is at 27; compared to its 52-week range of 15 to 76 into hosting its annual shareholder meeting on June 3.

Comcast (CMCSA) 30-day option implied volatility is at 31; compared to its 52-week range of 17 to 90 into hosting its annual shareholder meeting on June 3. Call put ratio 2.6 calls to 1 put.

Netflix (NFLX) 30-day option implied volatility is at 40; compared to its 52-week range of 26 to 98 into hosting its annual shareholder meeting on June 4. Call put ratio 1.7 calls to 1 put.

Zoom Video Communications (ZM) June weekly call option implied volatility is at 166, June is at 107; compared to its 52-week range of 35 to 137 into the expected release of quarter results after the bell on June 2. Call put ratio 1.4 calls to 1 put as shares rally 12.5%

IV into expected results

Ambarella (AMBA) call option implied volatility is at 76; compared to its 52-week range of 33 to 110 into the expected release of quarter results after the bell on June 2. Call put ratio 2.5 calls to 1 put.

Cracker Barrel (CBRL) June call option implied volatility is at 60, July is at 55; compared to its 52-week range of 16 to 182 into the expected release of quarter results before the bell on June 2.

CrowdStrike Holdings Inc. (CRWD) June weekly call option implied volatility is at 163, June is at 91; compared to its 52-weeek range of 50 to 117 into the expected release of quarter results after the bell on June 2. Call put ratio 3.2 calls to 1 put.

Dicks Sporting Goods (DKS) June weekly call option implied volatility is at 115, June is at 73; compared to its 52-week range of 26 to 134 into the expected release of quarter results before the bell on June 2.

GameStop (GME) 30-day option implied volatility is at 144; compared to its 52-week range of 36 to 225 into the expected release of quarter results on June 2.

Gap Inc (GPS) June weekly call option implied volatility is at 160, June is at 105; compared to its 52-week range of 30 to 131 into the expected release of quarter results on June 4. Call put ratio 2.9 calls to 1 put as shares rally 12% after upgraded to Neutral from Underweight on valuation at JPMorgan.

Regeneron (REGN) June weekly call option implied volatility is at 37, June is at 35; compared to its 52-week range of 25 to 78 conference call to discuss its portfolio of cancer drugs in clinical trials today. Call put ratio 1.4 calls to 1 put.

Autodesk (ADSK) 30-day option implied volatility is at 33; compared to its 52-week range of 21 to 87 into hosting an investor day on June 3. Call put ratio 22 calls to 1 put with focus on June 220 calls.

Virgin Galactic Holdings (SPCE) June weekly call option implied volatility is at 98, June is at 115; compared to its 52-week range of 39 to 239 after SpaceX successful launch. Call put ratio 4.5 calls to 1 put with focus on June weekly 17 calls.

Tesla (TSLA) 30-day option implied volatility is at 63; compared to its 52-week range of 34 to 154 after SpaceX successful launch as shares rally 5%.

Boeing (BA) June weekly call option implied volatility is at 69, June is at 63; compared to its 52-week range of 22 to 222 after SpaceX successful launch. Call put ratio 2.7 calls to 1 put with focus on June weekly calls.

Aerojet Rocketdyne (AJRD) 30-day option implied volatility is at 50; compared to its 52-week range of 28 to 90. AJRD is a supplier to the new Space Launch System. Call put ratio 70 calls to 1 put with focus on June 50 and July 45 calls.

DraftKings (DKNG) 30-day option implied volatility is at 124; compared to its 52-week range of 54 to 142. Call put ratio 4.3 calls to 1 put with focus on July 50 calls as shares rally 7%.

Zscaler (ZS) 30-day option implied volatility is at 61; compared to its 52-week range of 40 to 118. Call put ratio 3.8 calls to 1 put with focus on June weekly calls as shares rally 5%.

NIO Inc. (NIO) 30-day option implied volatility is at 106; compared to its 52-week range of 76 to 220. Call put ratio 2 calls to 1 put as shares rally 5.6%.

Ishares National Amt-free Muni Bond Etf (MUB) 30-day option implied volatility is at 7; compared to its 52-week range of 3 to 47 into amid social, economic, Covid-19 and property unrest.

U.S. Global Jets ETF (JETS) 30-day option implied volatility is at 69; compared to its 52-week range of 14 to 204 as shares rally 4.9%. Call put ratio 9.8 calls to 1 put.

United States Oil Fund (USO) 30-day option implied volatility is at 64; compared to its 52-week range of 23 to 250 after WTI posts best month ever. Call put ratio 1.2 calls to 1 put.

Increasing unusual option volume: ECL FLEX NCR MARK DVAX
Increasing unusual call option volume: FLEX OI DVAX AAXN
Increasing unusual put option volume: ECL QD DKNG VNO
Options with decreasing option implied volatility: NTNX EURN PCG JWN BOX HPQ
Active options: TSLA AAPL FB BAC AMD ZM DKNG BA SPCE ECL SNAP PFE ZNGA BYND MSFT GE AMZN NIO UBER DIS