Mid-session IV Report June 10, 2020

Mid-session IV Report June 10, 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: IVR CHK NKLA TWO SPG TCO COTY AAL NCLH LULU

Popular options with increasing volume: DAL NIO SNAP MGM CCL M UAL

Tesla (TSLA) June weekly option implied volatility is at 66, June is at 64; compared to its 52-week range of 34 to 154 as shares trade above $1000. Call put ratio 1.9 calls to 1 put with focus on June weekly 1000 calls.

Nikola (NKLA) June weekly option implied volatility is at 250, June is at 280; compared to its 52-week range of 67 to 305. Call put ratio 1.39 calls to 1 put.

Boeing (BA) June weekly call option implied volatility is at 106, June is at 96; compared to its 52-week range of 22 to 222 as shares sell off 8%. Call put ratio 1.5 calls to 1 put.

Option implied volatility into Federal Reserve Policy Decision

SPDR S&P 500 ETF Trust (SPY) June weekly call option implied volatility is at 31, June is at 25; compared to its 52-week range of 10 to 77 into Federal Reserve policy decision.

PowerShares QQQ Trust (QQQ) June weekly call option implied volatility is at 34, June is at 28; compared to its 52-week range of 12 to 79. Call put ratio 1 call to 1.4 puts.

iShares Russell 2000 ETF (IWM) June weekly option implied volatility is at 61, June is at 45; compared to its 52-week range of 12 to 81.

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 44; compared to its 52-week range of 21 to 158. Call put ratio 2 calls to 1 put.

Bank of America (BAC) 30-day option implied volatility is at 48; compared to its 52-week range of 16 to 124

Goldman Sachs (GS) 30-day option implied volatility is at 40; compared to its 52-week range of 18 to 116

Morgan Stanley (MS) 30-day option implied volatility is at 44; compared to its 52-week range of 19 to 120

U.S. Bancorp (USB) 30-day option implied volatility is at 51; compared to its 52-week range of 14 to 121

Capital One Financial (COF) 30-day option implied volatility is at 74; compared to its 52-week range of 17 to 107

Option implied volatility into quarter results

Adobe (ADBE) June weekly call option implied volatility is at 74 , June is at 44; compared to its 52-week range of 17 to 86 into the expected release of quarter results after the bell on July 11. Call put ratio 2.2 calls to 1 put.

Luluemon (LULU) June weekly call option implied volatility is at 120, June is at 72; compared to its 52-week range of 21 to 129 into the expected release of quarter results after the bell on July 11. Call put ratio 1.2 calls to 1 put.

Tsakos Energy (TNP) June call option implied volatility is at 120, July is at 121 ; compared to its 52-week range of 48 to 228 into the expected release of quarter results before the bell on July 12. Call put ratio 1 call to 3.5 puts.

PVH (PVH) June call option implied volatility is at 100, July is at 81 ; compared to its 52-week range of 26 to 146 into the expected release of quarter results before the bell on July 12. Call put ratio 1 call to 5.2 puts.

Party City (PRTY) 30-day option implied volatility is at 295; compared to its 52-week range of 53 to 388 into the expected release of quarter results before the bell on July 12. Call put ratio 3 call to 1 put.

Simon Property (SPG) June call option implied volatility is at 83, July is at 75; compared to its 52-week range of 17 to 154 after Simon Property terminates merger pact with Taubman Centers (TCO).

Taubman Centers (TCO) June call option implied volatility is at 87, July is at 69; compared to its 52-week range of 13 to 121 after Simon Property (SPG) terminates merger pact with Taubman Centers.

Grubhub (GRUB) June weekly call option implied volatility is at 82, June is at 81; compared to its 52-week range of 38 to 143 amid renewed M&A headline reports. Call put ratio 3.1 calls to 1 put.

Tailored Brands (TLRD) June call option implied volatility is at 390, July is at 300; compared to its 52-week range of 60 to 354. Call put ratio 2.8 calls to 1 put.

Increasing unusual option volume: TCO NKLA CNP SM TEUM
Increasing unusual call option volume: TCO NKLA TEUM VAL CNP SNE
Increasing unusual put option volume: NKLA BE CNP ABC IVR
Options with decreasing option implied volatility: SFIX AEO RH CIEN TIF
Active options: AAPL AMD TSLA MSFT BA AAL HTZ BAC WFC GE NVDA FB DAL AMZN NIO SNAP MGM CCL M UAL