Mid-session IV Report March 16, 2020

Mid-session IV Report March 16, 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: IV up across the board…..BANC NYCB EWP CONN BCS EWG Z ROK

Popular options with increasing volume: OPK AA SBUX ABT

S&P 500 (SPY) 30-day option implied volatility at 70; compared to its 52-week range of 9 to 72 into SPY CME trading halt in over overnight trading. Call put ratio 1 call to 1.7 puts.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility at 64; compared to its 52-week range of 12 to 67.

United States Oil Fund (USO) 30-day option implied volatility is at 121; compared to its 52-week range of 23 to 110.

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 60; compared to its 52-week range of 15 to 70.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day option implied volatility is at 148; compared to its 52-week range of 28 to 150. Call put ratio 3.4 calls to 1 put.

BP plc (BP) 30-day option implied volatility is at 112; compared to its 52-week range of 15 to 107. Call put ratio 3.2 calls to 1 put with focus on March 22 calls. BP has dividend yield of 11.2%

Exxon Mobil (XOM) 30-day option implied volatility is at 90; compared to its 52-week range of 15 to 90. Call put ratio 1.2 calls to 1 put. XOM has dividend yield of 9.1%.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 39; compared to its 52-week range of 8 to 44

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 70; compared to its 52-week range of 16 to 108. Call put ratio 1.3 calls to 1 put.

Financial Select Sector SPDR ETF (XLF) 30-day call option implied volatility is at 90; compared to its 52-week range of 13 to 106. Call put ratio 1 call to 4.2 puts with focus on March 19 puts.

Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 79; compared to its 52-week range of 19 to 76. Call put ratio 1 call to 2.1 puts.

Surge moments of price dislocation.

Increasing unusual option volume: BANC NYCB EWQ EWP GPOR DBC
Increasing unusual call option volume: BANC NYCB GPOR OILU SHY APRN
Increasing unusual put option volume: BANC NYCB EWP EWQ EWI SA WLK CONN FSM HABT INDA
Options with decreasing option implied volatility:
Active options: AAPL AAL ACB ADBE AMD GBT ABBV NVDA OPK NTNX PYPL AEO AA SBUX FB INO ABT TSLA GILD LYFT