Mid-session IV Report March 6, 2020

Mid-session IV Report March 6, 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 up across the board…. HTZ CZR CCL JBLU SAVE INO SIX ​
​
Popular stocks with increasing unusual volume: BA BABA NIO INO F DIS​
​
Short term funding. Roll over financing. Financing short term.​
​
Will financiers adopt “Coronavirus Bonds” ?​
​
Banks have solid balance sheets. Will banks step forward?​
​
S&P Dep Receipts (SPY) March weekly call option implied volatility is at 85, March is at 49, April is at 40; compared to its 52-week range of 9 to 38. Call put ratio 1 call to 1.9 puts. ​
​
PowerShares QQQ Trust (QQQ) March weekly call option implied volatility is at 88, March is at 50, April is at 42; compared to its 52-week range of 12 to 40. Call put ratio 2.6 calls to 1 put. ​
​
Financial Select Sector SPDR ETF (XLF) March weekly call option implied volatility is at 99, March is at 55; compared to its 52-week range of 13 to 46. Call put ratio 1 call to 13 puts.​
​
Ishares Iboxx $ High Yield Corporate Bond Etf (HYG) March weekly call option implied volatility is at 29, March is at 18, April is at 13; compared to its 52-week range of 5 to 17. Call put ratio 1 call to 20 puts with focus on March 78 puts.​
​
Spdr Barclays High Yield Bond Etf (JNK) March call option implied volatility is at 18, April is at 14; compared to its 52-week range of 4 to 21. Call put ratio 1 call to 111 puts with focus on April 100 puts.​
​
Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) March weekly call option implied volatility is at 160, March is at 68, April is at 53; compared to its 52-week range of 15 to 45. Call put ratio 7.1 calls to 1 put with focus on April 20 calls. ​
​
United States Oil Fund (USO) March weekly call option implied volatility is at 126, March is at 64, April is at 57; compared to its 52-week range of 22 to 51. Call put ratio 1 calls to 2 puts. ​WTI oil down 6%.

Market Vectors Gold Miners ETF (GDX) 30-day call option implied volatility is at 45; compared to its 52-week range of 21 to 43. Call put ratio 1.4 calls to 1 put. ​
​
Russell 2000 Index (RUT) March weekly call option implied volatility is at 68, March is at 45, April is at 37; compared to its 52-week range of 12 to 39. Call put ratio 1 call to 2.7 puts.​
​
​Market Rebellion

Apple (APPL) March weekly call option implied volatility is at 98, March is at 55, April is at 50; compared to its 52-week range of 18 to 51. Call put ratio 1.2 calls to 1 put. ​
​
Microsoft (MSFT) March weekly call option implied volatility is at 106, March is at 64, April is at 50; compared to its 52-week range of 15 to 51. Call put ratio 1.7 calls to 1 put.​
​
Alphabet (GOOG) March weekly call option implied volatility is at 95, March is at 51, April is at 43; compared to its 52-week range of 14 to 43. Call put ratio 1 call to 1 put. ​
​
Amazon (AMZN) March weekly call option implied volatility is at 65, March is at 48, April is at 43; compared to its 52-week range of 17 to 45. Call put ratio 1. 5 calls to 1 put.​
​
Netflix (NFLX) March weekly call option implied volatility is at 108, March is at 64, April is at 57; compared to its 52-week range of 27 to 58. Call put ratio 1.5 calls to 1 put. ​
​
Facebook (FB) March weekly call option implied volatility is at 77, March is at 51, April is at 45; compared to its 52-week range of 21 to 44. Call put ratio 1.1 calls to 1 put. ​
​
Options with decreasing option implied volatility: MEET KPTI APT SPCE​
Increasing unusual call option volume: OPK FXA IOVA GMED MRCY FXA TMV CY IAU FRO BJ​
Increasing unusual put option volume: OPK AMLP BBL TMV BIG BBL AOBC UNP PEI​
Popular stocks with increasing unusual volume: BA BABA NIO INO F DIS​
Active options on March 6: AAPL BAC AMD TSLA MSFT GE AAL OPK TWTR AMZN BABA DIS F NFLX CCL NIO NVDA FB BA INO​

​Market Rebellion Mid-session IV Report March 6, 2020
​
If a 7% S&P 500 decline is touched:
​
7% decline (Level 1 circuit breaker) in the S&P 500 Index before 2:25 p.m. CT will trigger a NYSE Rule 80B trading halt for both the cash equity market AND all U.S.-based equity index futures and options, including E-mini S&P 500 and S&P 500 futures and options. Trading will resume once trading in the cash equity market resumes, with price limits expanded to Level 2 (13%).​

​
​