Mid-session IV Report June 21, 2019

Mid-session IV Report June 21, 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.

Options with increasing option implied volatility: IBM SKX GLD ZAYO RTN

Popular stocks with increasing unusual volume: ORCL GOLD ROKU CSCO CGC VLO DRI KEY NFLX

Beyond Meat (BYND) June call option implied volatility is at 177, July is at 114; compared to its 4-week range of 88 to 140 after Shake Shack (SHAK) not planning to add Beyond Meat products soon, CNBC reports. Call put ratio 1 call to 1.4 puts.

FedEx (FDX) June weekly call option implied volatility is at 49, July is 32; compared to its 52-week range of 16 to 41 into the expected quarterly release after the bell on June 25. Call put ratio 1.6 calls to 1 put.

Lennar (LEN) July call option implied volatility is at is 41, July is at 32, compared to its 52-week range of 25 to 55 into the expected quarterly release before the bell on June 25.

Micron (MU) June weekly call option implied volatility is at 77, July is 53, compared to its 52-week range of 34 to 65 into the expected quarterly release after the bell on June 25. Micron price target was lowered to $50 from $64 at JPMorgan. Call put ratio 1 call to 2.4 puts.

BlackBerry (BB) June weekly call option implied volatility is at 82, July is 54, compared to its 52-week range of 31 to 64 into the expected quarterly release before the bell on June 26, Call put ratio 3.6 calls to 1 put.

Boston Scientific (BSX) June weekly call option implied volatility is at 24, July is 22: compared to its 52-week range of 17 to 44 into a company hosted investor day on June 25.

Wynn Resorts (WYNN) June call option implied volatility is at 38, July is at 39; compared to its 52-week range of 28 to 72 into opening Boston resort and an investor day on July 10.

Option implied volatility for companies in health-care space that could be affected by 2020 Presidential election
Anthem (ANTM) 30 day option implied volatility is at 25; compared to its 52-week range of 15 to 30
CVS Health (CVS) 30 day option implied volatility is at 27; compared to its 52-week range of 21 to 41.
Walgreens Boots Alliance (WBA) 30 day option implied volatility is at 31; compared to its 52-week range of 18 to 37
Centene (CNC) 30 day option implied volatility is at 30; compared to its 52-week range of 18 to 56.
Cigna (CI) 30 day option implied volatility is at 26; compared to its 52-week range of 18 to 42
Humana (HUM) 30 day option implied volatility is at 27; compared to its 52-week range of 15 to 37
Molina Healthcare (MOH) 30 day option implied volatility is at 37; compared to its 52-week range of 25 to 65.
UnitedHealth (UNH) 30 day option implied volatility is at 25; compared to its 52-week range of 14 to 40.
WellCare (WCG) 30 day option implied volatility is at 25; compared to its 52-week range of 20 to 50
HCA Healthcare (HCA) 30 day option implied volatility is at 26; compared to its 52-week range of 17 to 44.
Tenet (THC) 30 day option implied volatility is at 55; compared to its 52-week range of 37 to 78.
Universal Health (UHS) 30 day option implied volatility is at 23; compared to its 52-week range of 17 to 39.

Russell 2000 (RUT) June weekly 1555 straddle priced for a move of 2% into June 28 expiration into quadruple expiration. Russell 2000 (RUT) call put ratio 1 call to 3.9 puts with focus on July 1415 and 1420 puts

The S&P 500 is near record high, while the 10-year Treasury yield is near 2%. Gold futures traded above $1400 per ounce Friday.

Increasing unusual option volume: OPK GLD OC UUP MTG OC AGQ SFM DERM KMX MTG IOVA FI TXMD
Increasing unusual call option volume: OILU IOVA KMX OC SFM OPK AJRD AAOI OC
Increasing unusual put option volume: TXMD MTG GOLD FI MLNT GOLD AMC CAG IIPR KMX
Options with decreasing option implied volatility: S KR BKS DRI ORCL DVA KMX ADBE NRZ
Active options: TSLA FB BYND AAPL AMD GOLD MU CGC ORCL AMZN NFLX BAC CSCO MSFT GE SNAP TWTR LULU BABA DIS