Mid-session IV Report March 2, 2020

Mid-session IV Report March 2, 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: RCL CCL NLCH AAL UAL DAL SAVE LUV JBLU APT NVAX GUSH CVM MRNA ​
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Popular stocks with increasing unusual volume: GILD AAL SQ X ​

S&P Dep Receipts (SPY) March weekly call option implied volatility is at 56, March is at 41, April is at 32; compared to its 52-week range of 10 to 34. Call put ratio 1 call to 1.4 puts. ​

PowerShares QQQ Trust (QQQ) March weekly call option implied volatility is at 58, March is at 42, April is at 34; compared to its 52-week range of 12 to 39. Call put ratio 1 call to 1.4 puts. ​

Russell 2000 Index (RUT) 30-day option implied volatility is at 36; compared to its 52-week range of 12 to 38. ​

Ishares Iboxx $ High Yield Corporate Bond Etf (HYG) March weekly call option implied volatility is at 22, March is at 14; compared to its 52-week range of 4 to 13. Call put ratio 1 call to 3.3 puts with focus on March 85 and 86 puts. ​
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OPEC and its allies will meet as scheduled in Vienna on March 5-6, Reuters reports.

United States Oil Fund (USO) March weekly call option implied volatility is at 77, March is at 52; compared to its 52-week range of 22 to 46 OPEC and its allies will meet as scheduled in Vienna on March 5-6. Call put ratio 2.9 calls to 1 put. ​

Option implied volatility elevated into investor conference, OPEC & WTI oil​

Chevron (CVX) March weekly call option implied volatility is at 70, March is at 40; compared to its 52-week range of 15 to 40. Call put ratio 1.2 calls to 1 put into a company hosted investor day on March 3 and OPEC.​
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ExxonMobil (XOM) March weekly call option implied volatility is at 77, March is at 53; compared to its 52-week range of 15 to 55. Call put ratio 1 call to 1 put into a company hosted investor day on March 5 and OPEC.​

Airlines and leisure stocks IV increases​

United Airlines (UAL) March weekly call option implied volatility is at 160, March is at 97; compared to its 52-week range of 20 to 64 amid coronavirus outbreak. Call put ratio 1 call to 2.2 puts with focus on March 50 and 60 calls.​

Delta (DAL) March weekly call option implied volatility is at 133, March is at 88; compared to its 52-week range of 20 to 50 amid impact of COVID-19. Call put ratio 1 call to 1.9 puts.​

Southwest Airlines (LUV) March weekly call option implied volatility is at 107, March is at 54; compared to its 52-week range of 18 to 68 amid impact of coronavirus outbreak. Call put ratio 1 call to 1.5 puts. ​

American Airlines (AAL) March weekly call option implied volatility is at 166, March is at 92; compared to its 52-week range of 29 to 113 amid virus concerns.​

Alaska Air Group (ALK) March call option implied volatility is at 75, April is at 58; compared to its 52-week range of 21 to 74 amid virus outbreak.​

EPS IV​

Tilray (TLRY) March weekly call option implied volatility is at 159, March is at 122; compared to its 52-week range of 48 to 124 into the expected release of quarter results after the bell on March 2. Call put ratio 4.9 calls to 1 put with focus on March weekly calls. ​

Ambarella (AMBA) March weekly call option implied volatility is at 135, March is at 84; compared to its 52-week range of 33 to 82 into the expected release of quarter results after the bell on March 3. Call put ratio 3.4 calls to 1 put with focus on March weekly calls. ​

AutoZone (AZO) March weekly call option implied volatility is at 74, March is at 49; compared to its 52-week range of 17 to 48 into the expected release of quarter results before the bell on March 3.​

Hewlett Packard (HPE) March weekly call option implied volatility is at 90, March is at 59; compared to its 52-week range of 22 to 62 into the expected release of quarter results after the bell on March 3.​

Nordstrom (JWN) March weekly call option implied volatility is at 149, March is at 92; compared to its 52-week range of 29 to 85 into the expected release of quarter results after the bell on March 3. Call put ratio 1 call to 6.7 puts with focus on March 30 and 40 puts. ​

Ross Stores (ROST) March call option implied volatility is at 51, April is at 39; compared to its 52-week range of 17 to 52 into the expected release of quarter results after the bell on March 3.​

Target (TGT) March weekly call option implied volatility is at 90, March is at 50; compared to its 52-week range of 20 to 55 into the expected release of quarter results before the bell on March 3. Call put ratio 2 calls to 1 put. ​

United Natural Foods (UNFI) March call option implied volatility is at 117, April is at 81; compared to its 52-week range of 48 to 162 into the expected release of quarter results on March 3.​

Urban Outfitters (URBN) March weekly call option implied volatility is at 122, March is at 61; compared to its 52-week range of 31 to 74 into the expected release of quarter results after the bell on March 3.​

Coronavirus stay at home stocks option implied volatility ​

Netflix (NFLX) 30-day option implied volatility is at 51; compared to its 52-week range of 27 to 58​

Zoom Video Communications (ZM) 30-day option implied volatility is at 106; compared to its 52-week range of 36 to 114 for stay at home stock. Quarter results are expected on March 4. ​

Slack Technologies (WORK) 30-day option implied volatility is at 97; compared to its 52-week range of 43 to 97 for stay at home stock. Quarter results are expected on March 12.​

Peloton (PTON) 30-day option implied volatility is at 84; compared to its 52-week range of 58 to 104 amid stay at home themes. ​

Nautilus (NLS) 30-day option implied volatility is at 196, compared to its 52-week range of 50 to 212. Call put ratio 1 call to 1.1 puts.​

Okta (OKTA) 30-day option implied volatility is at 64; compared to its 52-week range of 36 to 79​

Roku (ROKU) 30-day option implied volatility is at 78; compared to its 52-week range of 50 to 97​

iQIYI (IQ) 30-day option implied volatility is at 57; compared to its 52-week range of 39 to 71. Call put ratio 2.9 calls to 1 put with focus on March calls.​

Activision Blizzard (ATVI) 30-day option implied volatility is at 41; compared to its 52-week range of 22 to 50​

Electronic Arts (EA) 30-day option implied volatility is at 37; compared to its 52-week range of 21 to 50​

Take-Two Interactive Software (TTWO) 30-day option implied volatility is at 40; compared to its 52-week range of 25 to 56​
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Stocks impacted by coronavirus ​

Uber (UBER) March weekly call option implied volatility is at 96, March is at 71; compared to its 52-week range of 35 to 82.​

Lyft (LYFT) March weekly call option implied volatility is at 98, March is a 71; compared to its 52-week range of 38 to 79. ​

Alibaba (BABA) March weekly call option implied volatility is at 55, March is at 41; compared to its 52-week range of 22 to 43. Call put ratio 1 call to 1.4 puts with focus on March weekly puts. ​
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Options with decreasing option implied volatility: LL BHVN RVLV KPTI PTLA FTCH BOX FTSV SHAK ​
Increasing unusual option volume: AMX LPX FTSV ADT OHI ZAYO FTSV WES IOVA
Increasing unusual call option volume: AMX LPX ADT MTG ERI IOVA GPS OEX ALT EDC PAYS​
Increasing unusual put option volume: OHI CZR LQD EWU ADT CNK CS CZR EWU CNK GPS SAN LQD​
Active options on March 2: AAPL TSLA MSFT TWTR BAC AMD JD GE DIS FB NVDA UBER X SQ BABA AAL T GILD AMZN MU ​
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