Mid-session IV Report March 9, 2020

Mid-session IV Report March 9, 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…..TECK HPE FCAU HTZ INO SEAS CLR OXY DVN NCLH M CCL SIX

Popular options with increasing volume: JPM BA DIS FB GE

Price dislocation. IV up.

S&P 500 (SPY) 30-day option implied volatility at 50; compared to its 52-week range of 9 to 38 into SPY CME trading halt in over overnight trading. Call put ratio 1 call to 2.3 puts.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility at 53; compared to its 52-week range of 12 to 41.

United States Oil Fund (USO) 30-day option implied volatility is at 100; compared to its 52-week range of 23 to 63.

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 60; compared to its 52-week range of 15 to 70

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day option implied volatility is at 134; compared to its 52-week range of 28 to 82

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 44; compared to its 52-week range of 8 to 40

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 109; compared to its 52-week range of 16 to 79. Call put ratio 6.8 calls to 1 put.

Financial Select Sector SPDR ETF (XLF) 30-day call option implied volatility is at 73; compared to its 52-week range of 13 to 60. Call put ratio 1 call to 10.5 puts with focus on April 26 puts.

Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 60; compared to its 52-week range of 19 to 50. Call put ratio 1 call to 3.8 puts.

Stitch Fix (SFIX) March weekly call option implied volatility is at 155, March is at 133; compared to its 52-week range of 45 to 122 into the expected release of quarter results after the bell. Call put ratio 6.5 calls to 1 put.

Dicks Sporting Goods (DKS) 30-day option implied volatility is at 88; compared to its 52-week range of 27 to 84 into expected release of quarter results before the bell on March 10. Call put ratio 1 call to 3.3 puts.

Increasing unusual option volume: EWA SNR MGM OPK RIO
Increasing unusual call option volume: MGM OPK DGX SYNH
Increasing unusual put option volume: EWA EPI EWU SNR RIO MGM BB NKTR
Options with decreasing option implied volatility: AMRN CRON BYFT TNA
Active options: AAPL AMD TSLA MSFT GILD INO BAC GE OPK AMZN JPM AAL ET BA TWTR DB NOK DIS FB NFLX