Mid-session IV Report March 30, 2020

Mid-session IV Report March 30, 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 lower. FCAU AEO NAV RCL SDC PLAY DRI BAX XLNX

Popular options with increasing volume: AAL CCL F GILD OXY ABT

Longer duration IV offered lower than short duration IV

SPDR S&P 500 ETF Trust (SPY) April weekly call option implied volatility is 69, April is at 55, May is at 50, June is at 52; compared to its 52-week range of 10 to 77 as shares rally 2%.

PowerShares QQQ Trust (QQQ) April weekly call option implied volatility is at 69, April is at 55, May is at 49, June is at 42; compared to its 52-week range of 12 to 79 as shares rally 2.7%.

CORVID-19 stocks IV comes in on more calls than puts as shares rally

Abbott (ABT) 30-day option implied volatility is at 71; compared to its 52-week range of 15 to 70 after launches Covid-19 test for use almost anywhere. Call put ratio 7.3 calls to 1 put as shares rally 8.6%.

Johnson & Johnson (JNJ) 30-day option implied volatility is at 50; compared to its 52-week range of 14 to 70 after announcing began efforts in January 2020, as soon as the novel coronavirus sequence became available, to research potential vaccine candidates. Call put ratio 4.9 calls to 1 put as shares rally 7%.

Eli Lilly (LLY) 30-day option implied volatility is at 48; compared to its 52-week range of 16 to 69 amid patient, prescribing and research during COVID-19. Call put ratio 1 call to 1.5 puts as shares rally 5%.

Panty loading stocks option implied volatility offered, volume up, shares rally

Hershey (HSY) 30-day option implied volatility is at 49; compared to its 52-week range of 14 to 87 amid pantry loading. Call put ratio 2.4 calls to 1 put as shares rally 3.8%.

Campbell Soup (CPB) 30-day option implied volatility is at 46; compared to its 52-week range of 16 to 76 amid pantry loading. Call put ratio 3.4 calls to 1 put with focus as shares rally 3.2%.

General Mills (GIS) 30-day option implied volatility is at 51; compared to its 52-week range of 15 to 72 amid pantry loading. Call put ratio 10.8 calls to 1 put as shares rally 2.2%.

Mondelez (MDLZ) 30-day option implied volatility is at 47; compared to its 52-week range of 12 to 105 amid pantry loading. Call put ratio 1 call to 1.8 puts as shares rally 3.8%.

Kraft Heinz (KHC) 30-day option implied volatility is at 67; compared to its 52-week range of 20 to 89 amid pantry loading. Call put ratio 1.9 calls to 1 put.

ConAgra Brands (CAG) 30-day option implied volatility is at 80; compared to its 52-week range of 23 to 116 amid pantry loading. Call put ratio 3.5 calls to 1 put in the expected release of quarter results and guidance on March 31.

Kellogg (K) 30-day option implied volatility is at 49; compared to its 52-week range of 16 to 64 amid pantry loading.

Hormel Foods (HRL) 30-day option implied volatility is at 51; compared to its 52-week range of 15 to 70 amid pantry loading. Call put ratio 24.9 calls to 1 put with focus on April 45 calls as shares rally 4.8%.

Pepsi (PEP) 30-day option implied volatility is at 48; compared to its 52-week range of 12 to 73 amid pantry loading. Call put ratio 8 calls to 1 put with focus on May 130 calls.

Teladoc (TDOC) 30-day option implied volatility is at 35; compared to its 52-week range of 36 to 109 amid societal health net services surge during coronavirus. Call put ratio 5.5 calls to 1 put.

Netflix (NFLX) 30-day option implied volatility is at 65; compared to its 52-week range of 27 to 98 as shares rally 4%.

Zoom Video Communications (ZM) 30-day option implied volatility is at 110; compared to its 52-week range of 36 to 136 amid stay at home communication. Call put ratio 2.8 calls to 1 put.

Increasing unusual option volume: LYG RARX HEAR ARI OMI TGE ABUS
Increasing unusual call option volume: HEAR ABT OMI LVGO ABUS TNP
Increasing unusual put option volume: LYG RARX ARCH AUDC OMI HEAR
Options with decreasing option implied volatility: NVAX SAVE NUGT UAL ARMK HTZ
Active options: MSFT AAPL BA BAC AMD TSLA DIS AMZN NFLX AAL GE ABT FB F UBER OXY GILD DAL INTC CCL