Mid-session IV Report March 18, 2020

Mid-session IV Report March 18, 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…..MAR UAL DAL AAL CCL RCL CZR ERI ERJ APRN JNUG MGM PLAY CAR ERI SAVE SIX UAL BA

Popular options with increasing volume: KR BA NAV DAL ROKU GILD REGN

Quadruple expiration on Friday

S&P 500 (SPY) 30-day option implied volatility is at 71; compared to its 52-week range of 9 to 77 into quadruple expiration on Friday.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 68; compared to its 52-week range 12 to 79.

United States Oil Fund (USO) 30-day option implied volatility is at 133; compared to its 52-week range of 23 to 123 amid WTI crude below $23.

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 120; compared to its 52-week range of 15 to 131

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day option implied volatility is at 174; compared to its 52-week range of 28 to 160, Call put ratio 1 call to 9.2 puts.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 95; compared to its 52-week range of 12 to 110

Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 79; compared to its 52-week range of 19 to 91

Gaming and Streaming media IV as stocks have some stability

Activision Blizzard (ATVI) 30-day option implied volatility is at 67; compared to its 52-week range of 23 to 89.

Electronic Arts (EA) 30-day option implied volatility is at 65; compared to its 52-week range of 21 to 76. Call put ratio 4.7 calls to 1 put.

Take-Two Interactive Software (TTWO) 30-day option implied volatility is at 72; compared to its 52-week range of 25 to 76. Call put ratio 5.9 calls to 1 put with focus on March 120 calls.

Zynga (ZNGA) 30-day option implied volatility is at 99; compared to its 52-week range of 23 to 88. Call put ratio 3.4 calls to 1 put.

NFLX (NFLX) 30-day option implied volatility is at 89; compared to its 52-week range of 26 to 98

iQIYI (IQ) 30-day option implied volatility is at 91; compared to its 52-week range of 39 to 109.

Kroger (KR) 30-day call option implied volatility is at 80; compared to its 52-week range of 20 to 95 as shares rally on home food preparation. Call put ratio 7.9 calls to 1 put.

Navistar (NAV) March call option implied volatility is at 122, April is at 84; compared to its 52-week range of 16 to 170. Call put ratio 120 calls to 1 put with focus on October 20 calls amid uncertainty if Volkswagen (VWAGY) still intends to buy out Navistar.

Increasing unusual option volume: APRN UUP GLP ALLT FCG NRZ MTOR
Increasing unusual call option volume: UUP APRN OILU
Increasing unusual put option volume: NRZ ALLT APRN FLEX IBB
Options with decreasing option implied volatility: TBT EAF
Active options: AAPL BAC TSLA BA MSFT NIO DIS AMD UBER F GE GILD AAL AMZN WMT BABA ROKU DAL FB GM