Mid-session IV Report March 19, 2020

Mid-session IV Report March 19, 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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IV coming in. Oil, oil service share price stable to bid with lower IV after leading over all market sell off four-weeks ago.

Options with increasing option implied volatility: Dramatic IV movement continues. Quadruple expiration is Friday ​
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Popular stocks with increasing unusual volume: ​
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S&P 500 (SPY) 30-day option implied volatility at 71; compared to its 52-week range of 10 to 77 into quadruple expiration on Friday.​

PowerShares QQQ Trust (QQQ) 30-day option implied volatility at 67; compared to its 52-week range of 12 to 79 into quadruple expiration on Friday. Call put ratio 1 call to 1 puts. ​
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REGN and GILD IV bid as shares gain​

Regeneron (REGN) 30-day option implied volatility at 84; compared to its 52-week range of 25 to 77. Call put ratio 2.7 calls to 1 put with focus on March and April calls amid virus research. ​
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Gilead Sciences (GILD) 30-day option implied volatility at 101; compared to its 52-week range of 19 to 108. Call put ratio 7.8 calls to 1 put as shares rally 6%.​
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Boeing (BA) March call option implied volatility is at 334, April is at 218; compared to its 52-week range of 23 to 222. Call put ratio 1.3 calls to 1 put.

Halliburton (HAL) 30-day option implied volatility is at 215; compared to its 52-week range of 28 to 223 as shares up 10%.​

Schlumberger Ltd. (SLB) 30-day option implied volatility is at 157; compared to its 52-week range of 25 to 173 as shares rally 9.5%.​
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Blue Apron (APRN) March call option implied volatility is at 640, April is at 456; compared to its 52-week range of 73 to 600. Daily range $10.25 to $28.84​

IV for 5G plays

NXP Semiconductor (NXPI) 30-day option implied volatility is at 108; compared to its 52-week range of 25 to 115​
Taiwan Semiconductor (TSM) 30-day option implied volatility is at 118; compared to its 52-week range of 20 to 75.​
Skyworks (SWKS) 30-day option implied volatility is at 106; compared to its 52-week range of 26 to 107. Call put ratio 1 call to 1 put as shares rally 7.8%.​
Qorvo (QRVO) 30-day option implied volatility is at 97; compared to its 52-week range of 28 to 93. ​
Qualcomm (QCOM) 30-day option implied volatility is at 85; compared to its 52-week range of 25 to 85. Call put ratio 2.5 calls to 1 put with focus on ATM options as shares rally 6.6%.​
Analog Devices (ADI) 30-day option implied volatility is at 87; compared to its 52-week range of 22 to 94. Call put ratio 2.8 calls to 1 put as shares rally 5.2%. ​
Broadcom (AVGO) 30-day option implied volatility is at 93; compared to its 52-week range of 21 to 95​
Intel (INTC) 30-day option implied volatility is at 87; compared to its 52-week range of 20 to 99.​
Xilinx (XLNX) 30-day option implied volatility is at 77; compared to its 52-week range of 24 to 85. ​
Marvel (MRVL) 30-day option implied volatility is at 86; compared to its 52-week range of 27 to 99. Call put ratio 3 calls to 1 put with focus on April 20 calls. ​
Keysight Technologies (KEYS) 30-day option implied volatility is at 79; compared to its 52-week range of 22 to 71. Call put ratio 1 call to 3.5 puts as shares down 4.6%.​
Viavi Solutions (VIAV) 30-day option implied volatility is at 96; compared to its 52-week range of 26 to 116. December 10 calls active. ​
Corning (GLW) 30-day option implied volatility is at 87; compared to its 52-week range of 19 to 96​
Ciena (CIEN) 30-day option implied volatility is at 80; compared to its 52-week range of 24 to 85​
Cisco (CSCO) 30-day option implied volatility is at 77; compared to its 52-week range of 17 to 87
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Luxury Good Retailers ​

Tapestry (TPR) 30-day option implied volatility is at 29; compared to its 52-week range of 26 to 60​

Tiffany (TIF) 30-day option implied volatility is at 11; compared to its 52-week range of 5 to 50​

Capri Holdings (CPRI) 30-day option implied volatility is at 37; compared to its 52-week range of 31 to 69​

Canadian Goose (GOOS) 30-day option implied volatility is at 39; compared to its 52-week range of 39 to 82 ​

Ferrari (RACE) 30-day option implied volatility is at 19; compared to its 52-week range of 18 to 43​
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Options with decreasing option implied volatility: ​INO RAD S A
Increasing unusual option volume: WTRH OILU UUP GO APRN OUT SIRI​
Increasing unusual call option volume: WRTH UUP APRN SCOR RGR​
Increasing unusual put option volume: SIRI ALLT APRN HIMX FCAU CHKP LEVI​
Popular stocks with increasing unusual volume: UBER GILD SNAP BA FCAU SIRI LK DIS ​
Active options on March 19: AAPL TSLA SNAP UBER MSFT BAC AMD GILD F DIS AMZN GE FB BA AAL NFLX ROKU NVDA SQ JPM​
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