Mid-session IV Report June 24, 2020

Mid-session IV Report June 24, 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: NVAX BSGM SPXS AGNC UAA LAKE CMG PLUG APT

Popular stocks with increasing unusual volume: INO HTZ AAL NKLA CCL

Overall option implied volatility has ticked higher this morning as stock prices have pulled back into the end of the month, quarter and half year.

BlackBerry (BB) June weekly call option implied volatility is at 170, July is at 81, August is at 72; compared to its 52-week range of 30 to 145 into the expected release of quarter results after the bell on June 24. Call put ratio 6.2 calls to 1 put with focus on June weekly 5.5 calls.

Nike (NKE) June weekly call option implied volatility is at 84, July is at 41; compared to its 52-week range of 16 to 111 into the expected release of quarter results after the bell on June 25. Call put ratio 1.9 calls to 1 put with focus on June weekly calls.

Dell Technologies (DELL) July call option implied volatility is at 44, August is at 42; compared to its 52-week range of 26 to 118 after reports the company is considering options on its VMWare (VMW) stake. DELL call put ratio 3.3 calls to 1 put with focus on July 55 and August 52.50 calls.

VMWare (VMW) June weekly call option implied volatility is at 57, July is at 40; compared to its 52-week range of 22 to 87 after reports Dell Technologies (DELL) considering options on its VMW stake. VMW call put ratio 8.7 calls to 1 put with focus on June weekly 160 calls.

Option implied volatility into Federal Reserve Annual Stress Tests and end of the month and quarter

Bank of America (BAC) 30-day option implied volatility is at 51; compared to its 52-week range of 16 to 124.

Goldman Sachs (GS) 30-day option implied volatility is at 45; compared to its 52-week range of 18 to 116.

Morgan Stanley (MS) 30-day option implied volatility is at 47; compared to its 52-week range of 19 to 120.

Citigroup (C) 30-day option implied volatility is at 57; compared to its 52-week range of 18 to 146. Call put ratio 2.6 calls to 1 put with focus on June weekly calls.

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

Capital One Financial (COF) 30-day option implied volatility is at 61; compared to its 52-week range of 17 to 107. Call put ratio 3.5 calls to 1 put with focus on July 72.50 calls.

Spdr S&p Bank Etf (KBE) 30-day option implied volatility is at 53; compared to its 52-week range of 17 to 126 into Federal Reserve Annual Stress Tests.

Newmont Mining (NEM) call put ratio 3.5 calls to 1 put as gold trades at $1786. 30 day option implied volatility is at 47; compared to its 52-week range of 19 to 115

Roundhill Sports Betting & iGaming ETF (BETZ) 30-day option implied volatility is at 82; compared to its 2-week range of 83 to 110. Call put ratio 4.3 calls to 1 put with focus on October 20 calls.

Option implied volatility for stocks trading near 52-week highs into end of month and quarter

Thermo Fisher Scientific (TMO) 30-day option implied volatility at 31; compared to its 52-week range of 17 to 75 as shares near 52-week high.

Novavax (NVAX) 30-day option implied volatility at 150; compared to its 52-week range of 84 to 317 as shares near 52-week high. Call put ratio 3.8 calls to 1 put as shares rally 13%.

CRISPR Therapeutics (CRSP) 30-day option implied volatility at 69; compared to its 52-week range of 50 to 128 as shares near 52-week high. Call put ratio 4.9 calls to 1 put.

Facebook (FB) 30-day option implied volatility at 39; compared to its 52-week range of 21 to 82 as shares near 52-week high. Call put ratio 2.1 calls to 1 put.

Match Group (MTCH) 30-day option implied volatility at 55; compared to its 52-week range of 34 to 114 as shares near 52-week high.

Fastly, Inc. (FSLY) 30-day option implied volatility at 103; compared to its 52-week range of 53 to 128 as shares near 52-week high.

PayPal (PYPL) 30-day option implied volatility at 41; compared to its 52-week range of 19 to 90 as shares near 52-week high.

YETI Holdings, Inc. (YETI) 30-day option implied volatility at 64; compared to its 52-week range of 45 to 121. Call put ratio 1.6 calls to 1 put.

Increasing unusual option volume: WKHS REAL ABEV ELAN VAL
Increasing unusual call option volume: WKHS REAL VAL FEZ PAGP IEF ORCL SONO ORCL
Increasing unusual put option volume: MTDR GDS LEVI PLUG REM NKLA JNPR
Options with decreasing option implied volatility: CVM CHK NKLA HOME SWBI GRPN KR
Active options: AAPL TSLA FB AMD HTZ MSFT BA AAL BAC PLUG NIO AMZN ORCL INO CCL DIS GE BABA JPM NKLA