Mid-session IV Report June 2, 2020​

Mid-session IV Report June 2, 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: RGR SWBI SGMO ZM WORK MO

Popular options with increasing volume: ZM ZNGA WORK SQ

United States Oil Fund (USO) June weekly call option implied volatility is at 71, June is at 61; compared to its 52-week range of 23 to 250 into OPEC+ Video Conference meeting about continued production cuts. Call put ratio 2.1 calls to 1 put.

ExxonMobil (XOM) 30-day option implied volatility is at 41; compared to its 52-week range of 16 to 111 into OPEC+ Video Conference meeting about continued production cuts. Call put ratio 2.1 calls to 1 put.

Sturm Ruger (RGR) 30-day option implied volatility is at 46; compared to its 52-week range of 23 to 120 as shares rally amid rioting. Call put ratio 14 calls to 1 put with focus on June calls.

Smith & Wesson Brands (SWBI)30-day option implied volatility is at 115; compared to its 52-week range of 32 to 159 as shares rally amid rioting.

Option implied volatility into quarter results

Zoom Video Communications (ZM) June weekly call option implied volatility is at 166, June is at 100; compared to its 52-week range of 35 to 137 into the expected release of quarter results today after the bell.

Ambarella (AMBA) June weekly call option implied volatility is at 143, June is at 92; compared to its 52-week range of 33 to 110 into the expected release of quarter results today after the bell. Call put ratio 5.6 calls to 1 put.

CrowdStrike Holdings Inc. (CRWD) June weekly call option implied volatility is at 166, June is at 100; compared to its 52-week range of 50 to 117 into the expected release of quarter results today after the bell. Call put ratio 3.2 calls to 1 put.

GameStop (GME) June weekly call option implied volatility is at 105, June is at 136; compared to its 52-week range of 36 to 225 into the expected release of quarter results today. Call put ratio 2.3 calls to 1 put.

American Eagle (AEO) June weekly call option implied volatility is at 140, June is at 88; compared to its 52-week range of 33 to 120 into the expected release of quarter results before the bell on June 3.

Campbell Soup (CPB) June weekly call option implied volatility is at 76, June is at 50; compared to its 52-week range of 17 to 76 into the expected release of quarter results before the bell on June 3. Call put ratio 3.8 calls to 1 put.

Canada Goose (GOOS) June weekly call option implied volatility is at 155, June is at 99; compared to its 52-week range of 39 to 119 into the expected release of quarter results on June 3. Call put ratio 2.6 calls to 1 put.

Cloudera (CLDR) June weekly call option implied volatility is at 215, June is at 110; compared to its 52-week range of 41 to 124 into the expected release of quarter results after the bell on June 3. Call put ratio 4 calls to 1 put with a focus on June and November 10 calls.

Express (EXPR) call option implied volatility is at 131; compared to its 52-week range of 55 to 268 into the expected release of quarter results before the bell on June 3. Call put ratio 6.1 calls to 1 put.

United Natural Foods (UNFI) June weekly call option implied volatility is at 110, June is at 90; compared to its 52-week range of 55 to 174 into the expected release of quarter results on June 3. Call put ratio 8.5 calls to 1 put with focus on June weekly and June 22.50 calls.

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.

Grubhub (GRUB) June weekly call option implied volatility is at 77, June is at 54; compared to its 52-week range of 38 to 143 amid Uber Technologies (UBER) remains in talks to acquire GrubHub and progress is being made, CNBC’s David Faber reports, citing sources.

Increasing unusual option volume: ECL MARK VTIQ VSTO FTI RGR SWIR

Increasing unusual call option volume: ECL VTIQ MARK MU FLEX VSTO MGI RGR SWIR

Increasing unusual put option volume: ECL QD DKNG AEO SSYS ZNGA VFS

Options with decreasing option implied volatility: PCG CRON STNE BOX NTNX BIG ZS DELL

Active options: TSLA BAC NIO BABA AAPL FB ZM ZNGA GE AMD DNKG ECL MSFT BA WORK FCX SQ SPCE VTIQ SNAP