Mid-session IV Report March 31, 2020

Mid-session IV Report March 31, 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: FCAU GPS NAN W BUD ICE

Popular options with increasing volume: CCL AMD F GILD TEVA TLRY

Option implied volatility trends lower as share prices stabilize

Boeing (BA) 30-day option implied volatility is at 112; compared to its 52-week range of 23 to 222. Call put ratio 1.2 calls to 1 put.

Option volume, IV and share price builds (VMC, MLM) after Trump proposes a $2 trillion infrastructure bill

Vulcan Materials (VMC) 30-day call option implied volatility is at 62; compared to its 52-week range of 19 to 81 after Trump proposes a $2 trillion infrastructure bill. Call put ratio 12 calls to 1 put with focus on May and January calls as shares rally 6%.

Martin Marietta (MLM) 30-day call option implied volatility is at 65; compared to its 52-week range of 20 to 92 after Trump proposes a $2 trillion infrastructure bill. Call put ratio 2.4 calls to 1 put with as shares rally 5%.

Option implied volatility decreases for airlines, entertainment resorts, cruise ships

United Airlines (UAL) 30-day option implied volatility is at 136; compared to its 52-week range 20 to 419.

Delta (DAL) 30-day option implied volatility is at 116; compared to its 52-week range of 20 to 265.

Southwest Airlines (LUV) 30-day option implied volatility is at 97; compared to its 52-week range after 17 to 204.

American Airlines (AAL) 30-day option implied volatility is at 150; compared to its 52-week range of 29 to 293.

Alaska Air Group (ALK) 30-day option implied volatility is at 121; compared to its 52-week range of 21 to 232. Call put ratio 2 calls to 1 put.

Royal Caribbean Cruises (RCL) 30-day option implied volatility is at 224; compared to its 52-week range of 20 to 271 into Carnival Cruise Lines (CCL) capital raise. Call put ratio 1 call to 3.3 puts.

Carnival Cruise Lines (CCL) 30-day option implied volatility is at 233; compared to its 52-week range of 18 to 266 into capital raise. Call put ratio 1 call to 2.7 puts.

Norwegian Cruise Line (NCLH) 30-day option implied volatility is at 207; compared to its 52-week range of 20 to 281 after Carnival Cruise Lines (CCL) capital raise. Call put ratio 1 call to 1.5 puts.

Wynn Resorts Ltd (WYNN) 30-day option implied volatility is at 127; compared to its 52-week range of 31 to 215. Call put ratio 1 call to 1.2 puts.

Las Vegas Sands (LVS) 30-day option implied volatility is at 96; compared to its 52-week range of 23 to 180. Call put ratio 1 call to 4.6 puts.

MGM Resorts (MGM) 30-day option implied volatility is at 144; compared to its 52-week range of 20 to 339.

Caesars Entertainment (CZR) 30-day option implied volatility is at 153; compared to its 52-week range of 11 to 343. Call put ratio 1 call to 3.4 puts.

Melco Resorts (MLCO) 30-day option implied volatility is at 101; compared to its 52-week range of 31 to 156. Call put ratio 24 calls to 1 put.

Constellation Brands (STZ) April weekly call option implied volatility is at 89, April is at 60; compared to its 52-week range of 18 to 93into the expected release of quarter results before the bell on April 3.

Increasing unusual option volume: VVUS CNQ BW PFF OMI TCO GDOT
Increasing unusual call option volume: NET OMI BWA RIO CNQ SU
Increasing unusual put option volume: CNQ TCO TWO GDOT TROX
Options with decreasing option implied volatility: NUGT PLAY AXSM DAL HTZ SIG LB DVN AAL CZR UAL
Active options: AAPL T MSFT TSLA CCL AMRN BA BAC AMD F FB GE NVDA GILD DIS NFLX AMZN BABA TLRY TEVA