Mid-session IV Report June 9, 2020

Mid-session IV Report June 9, 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: TWO NKLA IVR HTZ RWT COTY AAL CCL

Popular options with increasing volume: WFC BYND CCL OXY DAL AAL NKLA

Apple (AAPL) 30-day option implied volatility is at 27; compared to its 52-week range of 18 to 90 as shares at record high. Call put ratio 2 calls to 1 put. Apple is hosting Worldwide Developers Conference virtually WWDC20, beginning June 22.

Sharp price and IV movement continues

Nikola (NKLA) June weekly option implied volatility is at 550, June is at 430; compared to its 52-week range of 67 to 267. Call put ratio 1.5 calls to 1 put.

LatAm Airlines (LTM) 30-day call option implied volatility is at 385; compared to its 52-week range of 29 to 340. Call put ratio 13 calls to 1 put with focus on June 3.5 and 4 calls.

Whiting Petroleum (WLL) June weekly call option implied volatility is at 407, June is at 363; compared to its 52-week range of 65 to 477 as shares sell off 25%. Call put ratio 4.5 calls to 1 put with focus on June 1.5 calls.

Hertz Global (HTZ) June weekly call option implied volatility is at 560, June is at 480; compared to its 52-week range 40 to 456. Call put ratio 1.8 calls to 1 put.

Luckin Coffee Inc. (LK) June weekly call option implied volatility is at 330, June is at 280; compared to its 52-week range of 59 to 350. Call put ratio 4 calls to 1 put.

Coty (COTY) June weekly call option implied volatility is at 164, June is at 193; compared to its 52-week range of 33 to 170 amid sharp price movement. Call put ratio 8 calls to 1 put with focus on June weekly and June 6 calls.

DraftKings (DKNG) June weekly call option implied volatility is at 115, June is at 104; compared to its 52-week range of 54 to 142. Call put ratio 2.9 calls to 1 put with focus on June weekly and June 40 calls.

Beyond Meet (BYND) June weekly call option implied volatility is at 105, June is at 94; compared to its 52-week range of 47 to 140 as shares sell off 5%. Call put ratio 2.4 calls to 1 put.

Option implied volatility into quarter results and outlook

AMC Entertainment (AMC) June weekly call option implied volatility is at 242, June is at 171; compared to its 52-week range of 41 to 387 into the expected release of quarter results today after the bell. Call put ratio 1 call to 1.3 puts.

Chewy (CHWY) June call option implied volatility is at 177, June is at 112 ; compared to its 52-week range of 42 to 113 into the expected release of quarter results today after the bell on July 9. Call put ratio 2.8 calls to 1 put with focus on June weekly and June 50 calls.

Five Below (FIVE) June weekly call option implied volatility is at 112, June is at 78; compared to its 52-week range of 29 to 137 into the expected release of quarter results today after the bell. Call put ratio 1 call to 2.3 puts.

GameStop (GME) June weekly call option implied volatility is at 290, June is at 170; compared to its 52-week range of 36 to 227 into the expected release of quarter results today after the bell. Call put ratio 2.1 calls to 1 put.

Tailored Brands (TLRD) June call option implied volatility is at 480, July is at 280; compared to its 52-week range of 60 to 281 into the expected release of quarter results after the bell on July 10. Call put ratio 3.8 calls to 1 put.

United Natural Foods (UNFI) June call option implied volatility is at 130, July is at 95; compared to its 52-week range of into the expected release of quarter results on July 10. Call put ratio 6.5 calls to 1 put with focus on June 22.50 and 25 calls.

Macy’s (M) June weekly call option implied volatility is at 141, June is at 120; compared to its 52-week range of 31 to 164 after raising $4.5B in financing. Call put ratio 4 calls to 1 put with focus on June weekly 10 calls.

Kohl’s (KSS) 30-day option implied volatility is at 88; compared to its 52-week range of 29 to 159 amid sharp price movement. Call put ratio 2.9 calls to 1.

Increasing unusual option volume: GLOG NKLA LTM ADT FOSL
Increasing unusual call option volume: LTM SONO NKLA TWO VAL
Increasing unusual put option volume: NKLA AER CS OAS SRNE WY VAL
Options with decreasing option implied volatility: SFIX SWBI ZUO CLDR DOCU WORK ZM GOOS
Active options: AAPL AMD FB AAL HTZ BA F TSLA BAC M GE MSFT NKLA WFC BYND CCL AMZN MGM OXY DAL