Mid-session IV Report March 24, 2020

Mid-session IV Report March 24, 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 moving collapses as stocks move up

Popular options with increasing volume: UBER BA

Nvidia (NVDA) 30-day option implied volatility is at 63; compared to its 52-week range of 28 to 110 into Founder & CEO Huang provides a company update on a conference call to be held on March 24 at 11 am.

General Motors (GM) 30-day option implied volatility is at 103; compared to its 52-week range 21 to 188 after announcing intends to drawdown approx. $16B from revolving credit facilities.

Airlines draft plans for voluntary shutdown of most domestic flights, WSJ says

United Airlines (UAL) 30-day option implied volatility is at 200; compared to its 52-week range 20 to 418 after Airlines draft plans for voluntary shutdown of most domestic flights, WSJ says.

Delta (DAL) 30-day option implied volatility is at 164; compared to its 52-week range of 20 to 265

Southwest Airlines (LUV) 30-day option implied volatility is at 135; compared to its 52-week range after 17 to 204

American Airlines (AAL) 30-day option implied volatility is at 203; compared to its 52-week range of 29 to 293

Alaska Air Group (ALK) 30-day option implied volatility is at 137; compared to its 52-week range of 21 to 232

Nike (NKE) 30-day option implied volatility is at 72; compared to its 52-week range of 16 to 112 into the expected release of quarter results today.

Micron (MU) 30-day option implied volatility is at 73; compared to its 52-week range of 31 to 115 into the expected release of quarter results on March 25. Call put ratio 1.4 calls to 1 put.

Signet Jeweler (SIG) 30-day option implied u volatility is at 210; compared to its 52-week range of 48 to 232 into the expected release of quarter results on March 26. Call put ratio 4.2 calls to 1 put.

RH (RH) 30-day option implied volatility is at 134; compared to its 52-week range of 32 to 162 into the expected release of quarter results on March 26.

Lulumon (LULU) 30-day option implied volatility is at 97; compared to its 52-week range of 22 to 129 into the expected release of quarter results on March 26.

Sempra (SRE) 30-day option implied volatility is at 55; compared to its 52-week range of 13 to 93 into webcast of investor day today.

Square (SQ) 30-day option implied volatility is at 86; compared to its 52-week range of 30 to 142 into webcast of investor day today.

Increasing unusual option volume: NYMT PHG EWJ RICK UUP
Increasing unusual call option volume: EWT OMC PHG NCLH UUP
Increasing unusual put option volume: DK OC RICK TAL SE
Options with decreasing option implied volatility: IV is collapsing
Active options: AAPL BAC TSLA AMD MSFT XOM F BA GE DIS UBER NVDA ROKU CCL ZM NIO