Mid-session IV Report June 17, 2019

Mid-session IV Report June 17, 2019

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.​
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Options with increasing option implied volatility: HTZ ZIOP BB BKS APC BPL CLDR DB CELG FOLD RTN LK TSN​ BYND

Popular stocks with increasing unusual volume: BYND DIS TEVA RIG CLDR NVDA ​
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Beyond Meat (BYND) June call option implied volatility is at 146, July is at 111; compared to its 4-week range of 89 to 141 as shares rally 8% to $164. Call put ratio 1.6 calls to 1 put.​
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Option implied volatility into FOMC meeting ​
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CBOE (VIX) futures premium Friday 9.26% vs. 4.78% week ending June 7, 2019. June futures expire Wednesday.​
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S&P Dep Receipts (SPY) June and July call option implied volatility is at 14; compared to its 52-week range of 8 to 32 into FOMC policy decision.​
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iShares 20+ Year Treasury Bond ETF (TLT) June call option implied volatility is at 14, July is at 12; compared to its 52-week range of 8 to 13 FOMC policy decision. Call put ratio 1 call to 1.8 puts.​
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Adobe (ADBE) June call option implied volatility is at 53, July is at 31; compared to its 52-week range of 21 to 51 into the expected release results after the bell on June 18.​

Oracle (ORCL) June call option implied volatility is at 55, July is at 28; compared to its 52-week range of 15 to 40 into the expected release quarterly results after the bell on June 19.​
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BlackBerry Ltd. (BB) June call option implied volatility is at 49, July is at 61; compared to its 52-week range of 31 to 64 into the expected to release quarterly results before the bell on May 26. Call put ratio 6.8 calls to 1 put with focus on June 8.5 calls.​
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Hertz Global Holdings, Inc. (HTZ) June call option implied volatility is at 30, July is at 51; compared to its 52-week range of 47 to 109 in the expected release of quarterly results on August 5. On Thursday Hertz announced a complicated rights offer for June 24 and with 25% of the float.​

Sprint (S) June call option implied volatility is at 77, July is at 69; compared to its 52-week range of 30 to 132 as investors wait for regulatory approval of T-Mobile (TMUS) merger. Call put ratio 2.9 calls to 1 put.​

T-Mobile (TMUS) June call option implied volatility is at 30, July is at 28; compared to its 52-week range of 18 to 38. June 75.50 calls active as investors wait for regulatory approval of Sprint (S) merger.​

Ventas (VTR) June call option implied volatility is at 23, July is at 19; compared to its 52-week range of 15 to 32 into a company hosted investor day on June 18. June 67.50 calls active.​
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Deutsche Bank (DB) June call option implied volatility is at 39, July is at 36; compared to its 52-week range of 29 to 61 after reports of set up EUR50B bad bank.​

Incyte (INCY) June call option implied volatility is at 49, July is at 37; compared to its 52-week range of 31 to 53 on conference call to discuss its portfolio of inflammation and autoimmunity drugs. Share prices up 4%.​
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Deal stock IV collapses ​
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Sotheby’s (BID) June call option implied volatility is at 10, July is at 11; compared to its 52-week range of 22 to 50 after acquired by Patrick Drahi for $57/Share in $3.7B deal.​
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Array BioPharma (ARRY) June call option implied volatility is at 8, July is at 9; compared to its 52-week range of 42 to 101 after Pfizer (PFE) acquiring for $48 per share in cash, or $11.4B.​
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Pfizer (PFE) June call option implied volatility is at 19, July is at 17; compared to its 52-week range of 12 to 33 after acquiring Array BioPharma (ARRY) for $48 per share in cash, or $11.4B. Call put ratio 3.1 calls to 1 put with focus on June 43.50 calls.​
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Drug distributors IV and share prices at low end of rang​e

McKesson (MCK) June call option implied volatility is at 24, July is at 22; compared to its 52-week range of 20 to 43.​

Cardinal Health (CAH) June call option implied volatility is at 31, July is at 26; compared to its 52-week range of 21 to 44.​

AmerisourceBergen (ABC) June call option implied volatility is at 28, July is at 26; compared to its 52-week range of 23 to 42.​
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Increasing unusual option volume: KN FOLD ARRY BID FI AVAV EBIX DHR BID​
Increasing unusual call option volume: FXB FOLD BJ KN FXB CLDR DHR BID BJ AVAV PLD BPMC​
Increasing unusual put option volume: BID ARRY STNG ZEN SPR FXY NUE​
Options with decreasing option implied volatility: ARQL TLRD RH LULU GBT HRB PLAY AVGO NLY NYCB BID ARRY I IBB​
Active options: FB AAPL BYND DIS NFLX AMD AMZN TSLA BAC ROKU MU UBER TEVA X T MSFT GE SNAP CSCO BABA​
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