Mid-session IV Report June 3, 2020

Mid-session IV Report June 3, 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: TIF SGMO FIT CRON AVGO GPS DOCU WORK

Popular options with increasing volume: ZM MGM AAL DKNG BA

Boeing (BA) June weekly call option implied volatility is at 85, June is at 67; compared to its 52-week range of 22 to 222 after Third Point reveals stake. Call put ratio 3.5 calls to 1 put as shares up 9.5%.

IV into EPS and outlook

Gap Inc (GPS) June weekly call option implied volatility is at 188, June is at 97; compared to its 52-week range of 30 to 131 into the expected release of quarter results today after the bell. Call put ratio 2.8 calls to 1 put with focus on June 11.50 calls.

At Home (HOME) June call option implied volatility is at 160, July is at 120; compared to its 52-week range of into the expected release of quarter results before the bell on June 4.

Broadcom (AVGO) June weekly call option implied volatility is at 82, June is at 44; compared to its 52-week range of 21 to 95 into the expected release of quarter results after the bell on June 4.

Ciena (CIEN) June weekly call option implied volatility is at 120, June is at 55; compared to its 52-week range of into the expected release of quarter results before the bell on June 4.

DocuSign (DOCU) June weekly call option implied volatility is at 170, June is at 82; compared to its 52-week range of 28 to 108 into the expected release of quarter results after the bell on June 4. Call put ratio 2.7 calls to 1 put with focus on June weekly 150 calls.

J.M. Smucker (SJM) June call option implied volatility is at 39, July is at 34; compared to its 52-week range of 17 to 61 into the expected release of quarter results on June 4. Call put ratio 5.5 calls to 1 put.

Navistar (NAV) bid ask spreads wide into the expected release of quarter results before the bell on June 4. Call put ratio 3.6 calls to 1 put on light volume.

Slack (WORK) June weekly call option implied volatility is at 187, June is at 95; compared to its 52-week range of 43 to 149 into the expected release of quarter results after the bell on June 4. Call put ratio 6.5 calls to 1 put with focus on January 45 calls.

Toro (TTC) June call option implied volatility is at 43, July is at 33; compared to its 52-week range of 17 to 74 into the expected release of quarter results before the bell on June 4. Call put ratio 19 calls to 1 put on light volume.

Tsakos Energy (TNP) June call option implied volatility is at 91; compared to its 52-week range of 49 to 229 into the expected release of quarter results before the bell on June 4. Call put ratio 76 calls to 1 put on light volume.

Vail Resorts (MTN) June call option implied volatility is at 53, July is at 43; compared to its 52-week range of 21 to 125 into the expected release of quarter results after the bell on June 4. Call put ratio 1 call to 3.8 puts.

Kandi Technologies (KNDI) 30-day option implied volatility is at 92; compared to its 52-week range of 47 to 177 into the expected release of quarter results before the bell on June 5. Call put ratio 12 calls to 1 put with focus on June 4 calls.

5G stocks option implied volatility

Dycom Industries (DY) 30-day option implied volatility is at 42; compared to its 52-week range of 21 to 85 amid expectations of 5G in 2021.

Ericsson (ERIC) 30-day option implied volatility is at 42; compared to its 52-week range of 21 to 85 amid expectations of 5G in 2021.

Infinera (INFN) 30-day option implied volatility is at 69; compared to its 52-week range of 43 to 183 amid expectations of 5G in 2021.

Inseego Corp. (INSG) 30-day option implied volatility is at 92; compared to its 52-week range of 53 to 192 amid expectations of 5G in 2021.

Nokia (NOK) 30-day option implied volatility is at 56; compared to its 52-week range of 24 to 115 amid expectations of 5G in 2021. Call put ratio 17 calls to 1 put with focus on June, July and January calls.

Ciena (CIEN) 30-day option implied volatility is at 51; compared to its 52-week range of 24 to 88 into EPS on June 4 and expectations of 5G in 2021.

United States Oil Fund (USO) June weekly call option implied volatility is at 70, June is at 56; compared to its 52-week range of 23 to 250 into OPEC+ Video Conference meeting about continued production cuts. Call put ratio 3.5 calls to 1 put with focus on June weekly 27, 28 and 29 calls.

ExxonMobil (XOM) 30-day option implied volatility is at 36; compared to its 52-week range of 16 to 111 into OPEC+ Video Conference meeting about continued production cuts. Call put ratio 2.8 calls to 1 put.

Sturm Ruger (RGR) 30-day option implied volatility is at 44; compared to its 52-week range of 23 to 120 as shares rally amid rioting. Call put ratio 1.5 calls to 1 put with focus on June calls.

Smith & Wesson Brands (SWBI) 30-day option implied volatility is at 97; compared to its 52-week range of 32 to 159 as shares rally amid rioting. Call put ratio 3.7 calls to 1 put.

Increasing unusual option volume: ECL MDLA LTM CS RRR APPS
Increasing unusual call option volume: ECL RRR CS APPS FLEX SAVA TIF
Increasing unusual put option volume: ECL MDLA SRNE UNM CIM DKNG
Options with decreasing option implied volatility: SPCE PCG BOX NTNX APT BID
Active options: ECL NIO BAC ZM BA AAPL TSLA MGM FB UAL BABA SQ WFC JPM AMD CRWD AAL DKNG DIS GE