Mid-session IV Report March 27, 2020

Mid-session IV Report March 27, 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 stabilizes to ticks higher FCAU PAA COTY GE PAGP SDC FTI MOS TJX SC FAZ LB LVS

Popular options with increasing volume: TLRY CCL AAL ACB

Stocks benefiting from stay at home work business

Cisco (CSCO) 30-day option implied volatility is at 58; compared to its 52-week range of 17 to 87 amid Cisco Webex near-term beneficiary of remote work business. Call put ratio 3.1 calls to 1 put.

Citrix (CTXS) 30-day option implied volatility is at 45; compared to its 52-week range of 15 to 76 amid near-term beneficiary of remote work business. Call put ratio 1 call to 11.5 puts with focus on June 100 and 140 puts.

Slack (WORK) 30-day option implied volatility is at 94; compared to its 52-week range of 43 to 170 amid near-term beneficiary of remote work business. Call put ratio 2.4 calls to 1 put.

Zoom Video (ZM) 30-day option implied volatility is at 151; compared to its 52-week range of 36 to 137 amid near-term beneficiary of remote work business. Call put ratio 2 calls to 1 put.

Netflix (NFLX) 30-day option implied volatility is at 65; compared to its 52-week range of 27 to 98.

iQIYI (IQ) 30-day option implied volatility is at 73; compared to its 52-week range of 38 to 109.

Procter & Gamble (PG) 30-day option implied volatility is at 58; compared to its 52-week range of 13 to 96.

Clorox (CLX) 30-day option implied volatility is at 58; compared to its 52-week range of 15 to 81. Call put ratio 3.4 calls to 1 put with focus on April 175 calls.

Colgate-Palmolive (CL) 30-day option implied volatility is at 58; compared to its 52-week range of 14 to 96. Call put ratio 7.2 calls to 1 put with focus on April 65 calls.

Campbell Soup (CPB) 30-day option implied volatility is at 51; compared to its 52-week range of 16 to 76. Call put ratio 1 call to 1 put.

General Mills (GIS) 30-day option implied volatility is at 55; compared to its 52-week range of 15 to 72. Call put ratio 6.7 calls to 1 put with focus on April 60 calls.

Mondelez (MDLZ) 30-day option implied volatility is at 63; compared to its 52-week range of 12 to 105. Call put ratio 4.4 calls to 1 put with focus on in the money April and June calls.

Kraft Heinz (KHC) 30-day option implied volatility is at 71; compared to its 52-week range of 20 to 89. Call put ratio 2.4 calls to 1 put with focus on June 25 calls.

ConAgra Brands (CAG) 30-day option implied volatility is at 89; compared to its 52-week range of 23 to 116. Call put ratio 6.5 calls to 1 put with focus on January 42 calls.

Kellogg (K) 30-day option implied volatility is at 58; compared to its 52-week range of 16 to 64.

Hormel Foods (HRL) 30-day option implied volatility is at 56; compared to its 52-week range of 15 to 70.

Hill-Rom Holdings (HRC) 30-day option implied volatility is at 75; compared to its 52-week range of 18 to 94 amid the need for hospital beds.

Stryker (SYK) 30-day option implied volatility is at 67; compared to its 52-week range of 17 to 118 amid the need for hospital beds.

Abbott (ABT) 30-day option implied volatility is at 54; compared to its 52-week range of 16 to 70.

Halliburton (HAL) 30-day option implied volatility is at 167; compared to its 52-week range of 29 to 223.

Schlumberger Ltd. (SLB) 30-day option implied volatility is at 129; compared to its 52-week range of 25 to 174 as shares pull back 7%.

Flour (FLR) 30-day option implied volatility is at 159; compared to its 52-week range of 30 to 177 as shares sell off 6.5%.

ViacomCBS (VIAC) 30-day option implied volatility is at 104; compared to its 52-week range of 21 to 135. Call put ratio 3.2 calls to 1 put with focus on January 15 calls.

Howard Hughes Corp. (HHC) 30-day option implied volatility is at 131; compared to its 52-week range of 18 to 158.
Tesla (TSLA) 30-day option implied volatility is at 117; compared to its 52-week range of 34 to 154.

Tilray, Inc. (TLRY) 30-day option implied volatility is at 264; compared to its 52-week range of 48 to 267.

Aurora Cannabis (ACB) 30 day option implied volatility is at 305; compared to its 52-week range of 37 to 308.

Canopy Growth (CGC) 30 day option implied volatility is at 117; compared to its 52-week range of 41 to 185.

Cronos Group (CRON) 30 day option implied volatility is at 150; compared to its 52-week range of 53 to 166. Call put ratio 8.2 calls to 1 put.

Increasing unusual option volume: CARG EUO MFA NYMT HEXO THC ZION DTE
Increasing unusual call option volume: CARG EUO NYMT MFA HEXO SABR
Increasing unusual put option volume: CARG MFA THC ZION VHC CTXS
Options with decreasing option implied volatility: JNUG NVAX SAVE NUGT AAL UAL PENN GES MGM DAL NAV CZR
Active options: AAPL BA TSLA BAC MSFT TLRY AMD FB ACB DIS CCL UBER GE F AAL ZM NFLX AMZN