Mid-session IV Report June 25, 2020

Mid-session IV Report June 25, 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: NKE INO PLUG FLIR CHK SRNE CLDR IRBT GPS FTCH

Popular stocks with increasing unusual volume: BYND DAL NIO

Financial Select Sector SPDR ETF (XLF) June call option implied volatility is at 69, July is at 43; compared to its 52-week range of 13 to 111. Call put ratio 3.6 calls to 1 put with focus on June 23 and 23.50 calls into Federal Reserve Annual Stress Tests.

Spdr S&P Bank Etf (KBE) July call option implied volatility is at 54, August is at 50; compared to its 52-week range of 17 to 126 into Federal Reserve Annual Stress Tests. Call put ratio 1.4 calls to 1 put.

Nike (NKE) June weekly call option implied volatility is at 115, July is at 43; compared to its 52-week range of 16 to 111 into the expected release of quarter results today after the bell. Call put ratio 2.9 calls to 1 put with focus on June weekly 100 calls.

National Beverage (FIZZ) July call option implied volatility is at 63, August is at 53; compared to its 52-week range of 16 to 111 into the expected release of quarter results today. Call put ratio 1.6 calls to 1 put.

Virgin Galactic (SPCE) June weekly call option implied volatility is at 127, July is at 98; compared to its 52-week range of 39 to 238 into announces SpaceShipTwo preparing for second test flight from New Mexico. Call put ratio 2.2 calls to 1 put.

PG&E Corp. (PCG) June weekly call option implied volatility is at 160, July is at 82; compared to its 52-week range of 72 to 253 amid fund raising.

Pinduoduo (PDD) June weekly call option implied volatility is at 77, July is at 63; compared to its 52-week range of 73 to 253 as shares near record high.

Etsy (ETSY) June weekly call option implied volatility is at 83, July is at 61; compared to its 52-week range of 34 to 125 as shares near record high. Call put ratio 1 call to 1 put.

Gilead (GILD) June weekly call option implied volatility is at 41, July is at 36; compared to its 52-week range of 18 to 108 amid rising Covid 19. Call put ratio 2.3 calls to 1 put.

Regeneron (REGN) June weekly call option implied volatility is at 38, July is at 34; compared to its 52-week range of 25 to 79 amid rising Covid 19. Call put ratio 1.8 calls to 1 put.

Moderna (MRNA) June weekly call option implied volatility is at 115, July is at 98; compared to its 52-week range of 50 to 173 as shares sell off 9%. Call put ratio 4 calls to 1 put with focus on June weekly 62 and July 60 calls.

Box (BOX) July call option implied volatility is at 53, August is at 51; compared to its 52-week range of 32 to 108. Call put ratio 9 calls to 1 put with focus on July 20, 21 and 22 calls.

Option implied volatility into Federal Reserve Annual Stress Tests

Bank of America (BAC) June weekly call option implied volatility is at 85, July is at 56; compared to its 52-week range of 16 to 124 into Federal Reserve Annual Stress Tests.

Goldman Sachs (GS) June weekly call option implied volatility is at 66, July is at 50; compared to its 52-week range of 18 to 116 into Federal Reserve Annual Stress Tests. Call put ratio 2.5 calls to 1 put.

Morgan Stanley (MS) June weekly call option implied volatility is at 67, July is at 49; compared to its 52-week range of 19 to 120 into Federal Reserve Annual Stress Tests. Call put ratio 1.8 calls to 1 put.

Citigroup (C) June weekly call option implied volatility is at 91, July is at 62; compared to its 52-week range of 18 to 146 into Federal Reserve Annual Stress Tests. Call put ratio 2.3 calls to 1 put.

U.S. Bancorp (USB) June weekly call option implied volatility is at 75, July is at 54; compared to its 52-week range of 14 to 121 into Federal Reserve Annual Stress Tests. Call put ratio 3.7 calls to 1 put.

Capital One Financial (COF) June weekly call option implied volatility is at 84, July is at 63; compared to its 52-week range of 17 to 107 into Federal Reserve Annual Stress Tests. Call put ratio 1 calls to 1.4 puts.

Increasing unusual option volume: WKHS GNC HZNP CLDR FTCH SPOT KBH RAD ACN
Increasing unusual call option volume: WKHS HZNP GNC CLDR SONO VAL FLIR MITT FTCH
Increasing unusual put option volume: LEVI SRNE NKLA FAST SPOT RGLD RAD
Options with decreasing option implied volatility: NKLA HOME SWBI TWO KR
Active options: AAPL BA AMD TSLA AAL BAC FB BYND DIS INO MSFT JPM GE WFC AMZN ORCL CCL DAL SQ NIO