Mid-session IV Report March 27, 2019

Mid-session IV Report March 27, 2019

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: LULU BB KMX RH STNE KPTI TWTR CMG XLNX BBBY ENDP MOS NIO FIV
E GME S MDT​

Popular stocks with increasing unusual volume: FOSL LEVI ROKU COTY​
​
iShares MSCI Brazil (EWZ) March weekly call option implied volatility is at 43, April is at 35; compared to its 52-week range of 25 to 65. Call put ratio 1.4 calls to 1 put with focus on March weekly 41.50 calls as shares sell off 4.5% on global growth slow down concerns.​
​
iShares 20+ Year Treasury Bond ETF (TLT) March weekly call option implied volatility is at 14, April is at 11; compared to its 52-week range of 8 to 13.​
​
Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) March weekly call option implied volatility is at 18, April is at 17; compared to its 52-week range of 16 to 26 as rates trend lower. ​

Celgene (CELG) March and April weekly call option implied volatility is at 12, April is at 41; compared to its 52-week range of 21 to 57 after CNBC’s David Faber reported proxy advisory service ISS is expected to weigh in on the Bristol-Myers Squibb (NYSE: BMY)/Celgene CELG deal soon. Call put ratio 1 call to 11 puts with focus on April 80 and 85 puts.​
​
Bristol-Myers Squibb (BMY) March and April weekly call option implied volatility is at 30, April is at 31; compared to its 52-week range of 17 to 44.​

Fossil Group (FOSL) March weekly call option implied volatility is at 74, April is at 51; compared to its 52-week range of 51 to 122. Call put ratio 31 calls to 1 put with focus on March weekly 14.50 calls on renewed takeover chatter. ​
​
Levi (LEVI) 30-day call option implied volatility is at 63. April 18 puts are active on 2,600 contracts.​

Five Below (FIVE) March weekly option implied volatility 112, April is at 52; compared to its 52-week range of 30 to 61 into the expected release of EPS today after the bell.​
​
Lululemon (LULU) March weekly call option implied volatility 159, April is at 59; compared to its 52-week range of 24 to 63 into the expected release of EPS today after the bell. Call put ratio 1.2 calls to 1 put. ​
​
RH (RH) March weekly call option implied volatility is at 206, April is at 86; compared to its 52-week range of 41 to 91 into the expected release of EPS after the bell on March 27. Call put ratio 1 call to 1.7 puts.​

Vale (VALE) March weekly call option implied volatility 61, April is at 39; compared to its 52-week range of 31 to 58 into the expected release of EPS after the bell on March 27. Call put ratio 1.7 calls to 1 put.​
​
BlackBerry (BB) March weekly option implied volatility is at 125, April is at 55; compared to its 52-week range of 31 to 62 into the expected release of EPS before the bell on March 29. Call put ratio 4 calls to 1 put into EPS and outlook.​

CarMax (KMX) March weekly call option implied volatility 100, April is at 41; compared to its 52-week range of 20 to 49 into the expected release of EPS before the bell on March 29.​
​
Sempra Energy (SRE) April and May call option implied volatility is at 15; compared to its 52-week range of 14 to 29 into a company hosted investor meeting today.​
​
Accenture (ACN) March weekly call option implied volatility is at 57, April is at 25; compared to its 52-week range of 14 to 35 into a company hosted investor meeting on March 28. ​
​
The Mosaic Company (MOS) March weekly call option implied volatility is at 61, April is at 34; compared to its 52-week range of 25 to 50 into a company hosted analyst meeting on March 28.​
​
Bed Bath & Beyond (BBBY) March weekly call option implied volatility is at 77, April is at 84; compared to its 52-week range of 32 to 98 a day after Legion Partners Holdings, Macellum Advisor and Ancora Advisors announced the nomination of sixteen independent candidates for election to the board of the company. Call put ratio 1 call to 6.7 puts. BBBY is expected to release EPS after the bell on April 10. ​
​
Nielsen Holdings (NLSN) April call option implied volatility is at 38, May is at 42; compared to its 52-week range of 21 to 58. Call put ratio 8.8 calls to 1 put with focus on April and May 27 calls on renewed deal chatter.​
​
Increasing unusual option volume: FOSL COTY CNC SCVL XEO CNC HOME WCG MAS TUR​
Increasing unusual call option volume: XEO SCVL CNC HOME WCG IRTC TUR MAS ERJ OLLI​
Increasing unusual put option volume: XEO TUR ERJ STM CNC PSEC BHP MAS EWU WPX ERI ZIOP KBH LTHM CVS RH​
Options with decreasing option implied volatility: CAG WSM ZUO TIF QCOM KBH LEN UNG PAYX LEN ​
Active options: AAPL AMD CVS FB TSLA NVDA COTY GE MU BAC NFLX CRON AMZN SQ JD T BA MSFT ROKU CNC​
​