Mid-session IV Report March 26, 2020

Mid-session IV Report March 26, 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 lower

Popular options with increasing volume: CCL OXY ROKU TLRY

The ‘FANG’ option implied volatility decreases

Facebook (FB) 30-day option implied volatility is at 59; compared to its 52-week range of 20 to 82.

Apple (AAPL) 30-day option implied volatility is at 61; compared to its 52-week range of 18 to 90.

Netflix (NFLX) 30-day option implied volatility is at 66; compared to its 52-week range of 27 to 98. Call put ratio 2.4 calls to 1 put.

Alphabet (GOOG) 30-day option implied volatility is at 53; compared to its 52-week range of 14 to 75.

Amazon (AMZN) 30-day option implied volatility is at 50; compared to its 52-week range of 16 to 69.

Microsoft (MSFT) 30-day option implied volatility is at 55; compared to its 52-week range of 15 to 90.

Boeing (BA) 30-day call option implied volatility is at 145, compared to its 52-week range of 22 to 222. Call put ratio 1.6 calls to 1 put

Hospital groups IV amid virus volumes

Community Health (CYH) 30-day option implied volatility is at 162; compared to its 52-week range of 61 to 167 amid coronavirus volumes.

HCA Healthcare (HCA) 30-day option implied volatility is at 88; compared to its 52-week range of 18 to 167.

Tenet (THC) 30-day option implied volatility is at 112; compared to its 52-week range of 35 to 116.

Universal Health (UHS) 30-day option implied volatility is at 75; compared to its 52-week range of 18 to 130.

Managed Care Organization stocks amid Virus

Anthem (ANTM) 30-day option implied volatility is at 80; compared to its 52-week range of 21 to 97

Centene (CNC) 30-day option implied volatility is at 87; compared to its 52-week range of 28 to 122

Humana (HUM) 30-day option implied volatility is at 74; compared to its 52-week range of 20 to 100.

Molina Healthcare (MOH) 30-day option implied volatility is at 69; compared to its 52-week range of 31 to 95.

UnitedHealth (UNH) 30-day option implied volatility is at 69; compared to its 52-week range 19 to 94.

CVS Health (CVS) 30-day option implied volatility is at 76; compared to its 52-week range of 19 to 89.

Walgreens Boots Alliance (WBA) 30-day option implied volatility is at 72; compared to its 52-week range of 19 to 88.

Cheesecake Factory (CAKE) 30-day option implied volatility is at 175; compared to its 52-week range of 22 to 279 after report of not making rent. Call put ratio 1 call to 3 puts.

Mall and strip center owners after report Cheese Cake (CAKE) not making rent.

Regency Centers (REG) 30-day option implied volatility is at 83, compared to its 52-week range of 14 to 112.

Brixmor Property (BRX) 30-day option implied volatility is at 112, compared to its 52-week range of 14 to 143.

Retail Properties (RPAI) 30-day option implied volatility is at 120, compared to its 52-week range of 10 to 210 .

Simon Property (SPG) 30-day option implied volatility is at 107, compared to its 52-week range of 17 to 154.

Tapestry (TPR) 30-day option implied volatility is at 102; compared to its 52-week range of 27 to 172 after announcing nearly all of the company’s stores in China have re-opened and customers are gradually returning to stores.

Increasing unusual option volume: MFA NYMT PMT IVR TGNA
Increasing unusual call option volume: NYMT MFA REM IVR PMT STWD
Increasing unusual put option volume: AUDC TWO EGHT CHRW
Options with decreasing option implied volatility: IV decreases across the board
Active options: AAPL BA BAC TSLA GE MSFT MU F AMD SQ TLRY AAL UBER SDC CCL FB OXY DAL ROKU T