Mid-session IV Report March 11, 2020

Mid-session IV Report March 11, 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.​
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Options with increasing option implied volatility: IV increases…. BBBY GEL FAZ DCP FAS TRGP NCLH TRGP CLR UCO OXY RCL HAL CCL​
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Popular stocks with increasing unusual volume: BA AAL OXY UBER INO XOM MDLZ MGM​
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Boeing (BA) IV increases as shares sell off after reports the company will draw down rest of $13B loan​
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Boeing (BA) March weekly call option implied volatility is at 126, March is at 105, April is at 84; compared to its 52-week range of 23 to 82 as shares sell off 8.5% after Bloomberg reported the aerospace company will draw down rest of $13.825B loan as precaution.​
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Spirit AeroSystems (SPR) March call option implied volatility is at 83, April is at 64; compared to its 52-week range of 24 to 86 as shares sell off 5% after Bloomberg reported Boeing (BA) will draw down rest of $13B loan as precaution.​
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Parker-Hannifin (PH) March call option implied volatility is at 75, April is at 63; compared to its 52-week range of 20 to 82. ​
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Apple (AAPL) March weekly call option implied volatility is at 82, March is at 69, April is at 57; compared to its 52-week range of 18 to 63 as shares sell off 3%. ​
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Bank option implied volatility increases as shares sell off into bank leaders meeting with President Trump in White House​
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Financial Select Sector SPDR ETF (XLF) March weekly call option implied volatility is at 98, March is at 78, April is at 61; compared to its 52-week range of 12 to 77 into bank executives meeting with President Trump today. Call put ratio 1 call to 16.9 puts with focus on April 18 puts. ​
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Bank of America (BAC) March weekly call option implied volatility is at 119, March is at 98, April 76; compared to its 52-week range of 17 to 80.​
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Goldman Sachs (GS) March weekly call option implied volatility is at 99, March is at 87, April 71; compared to its 52-week range of 18 to 75.​
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JPMorgan (JPM) March weekly call option implied volatility is at 114, March is at 87, April 70; compared to its 52-week range of 15 to 78 into bank executives meeting with President Trump today. Call put ratio 1 call to 1.9 puts. ​
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Wells Fargo (WFC) March weekly call option implied volatility is at 112, March is at 88, April 64; compared to its 52-week range of 16 to 70. Call put ratio 1 call to 4.3 puts. ​
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Citigroup (C) March weekly call option implied volatility is at 112, March is at 93, April 77; compared to its 52-week range of 18 to 86.​
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Abbott (ABT) March weekly call option implied volatility is at 58, March is at 53, April is at 51; compared to its 52-week range of 15 to 55. Call put ratio 1 call to 8.4 puts with focus on March 71 puts.​
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Option implied volatility for shelf-stable categories​
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Campbells Soup (CPB) 30-day option implied volatility is at 44; compared to its 52-week range of 16 to 43 amid shelf-stable product category.​
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Mondelez (MDLZ) 30-day option implied volatility is at 35; compared to its 52-week range of 13 to 36.​
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General Mills (GIS) 30-day option implied volatility is at 51; compared to its 52-week range of 16 to 54. Call put ratio 36 calls to 1 put with focus on March 60 calls.​
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Kraft Heinz (KHC) 30-day option implied volatility is at 67; compared to its 52-week range of 20 to 57 amid shelf-stable product category and investor meeting this spring.​
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ConAgra Brands (CAG) 30-day option implied volatility is at 66; compared to its 52-week range of 22 to 80.​
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Kellogg (K) 30-day option implied volatility is at 52; compared to its 52-week range of 16 to 52.​
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Coca-Cola Co (KO) 30-day option implied volatility is at 43; compared to its 52-week range of 12 to 47.​
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Pepsi (PEP) 30-day option implied volatility is at 43; compared to its 52-week range of 12 to 43 after announcing the purchase of Rockstar.​
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Tree House Foods (THS) 30-day option implied volatility is at 59; compared to its 52-week range of 22 to 67.​
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Kimberly-Clark (KMB) March weekly call option implied volatility is at 34, March is at 33; compared to its 52-week range of 16 to 47. ​
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Colgate (CL) March weekly call option implied volatility is at 49, March is at 31; compared to its 52-week range of 14 to 45. ​
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Clorox (CLX) March weekly call option implied volatility is at 59, March is at 51; compared to its 52-week range of 14 to 45.​
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iShares Russell 2000 (RUT) 30-day call option implied volatility is at 51; compared to its 52-week range of 12 to 50. Call put ratio 1 call to 2.3 calls as shares sell off 4.2%

iShares Russell 2000 ETF (IWM) 30-day call option implied volatility is at 52; compared to its 52-week range of 11 to 50. Call put ratio 1 call to 2.1 calls as shares sell off 4.6%

ViacomCBS (VIAC) 30-day option implied volatility is at 87; compared to its 52-week range of 21 to 82 as shares trade at low end of range amid ad fears, cord cutting and sporting event ratings.
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Options with decreasing option implied volatility: MEET SMSI​
Increasing unusual option volume: INO MNK OMF CIM SNCR MLND VIRT CAR CBOE ING STLD​
Increasing unusual call option volume: ING VIRT ENBL IGV WAB NTRS VSTM MGM UBS TDOC​
Increasing unusual put option volume: CIM CC STLD CBOE SNCR MLND CAR ETSY
Popular stocks with increasing unusual volume: DIS GILD AAL OXY UBER XOM​
Active options on March 11: AAPL MGM T BAC TSLA BA AMD MSFT DIS GILD CC BABA AAL GE AMZN OXY FB UBER INO XOM​

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