Mid-session IV Report May 1, 2020

Mid-session IV Report May 1, 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: CAR HTZ PENN

Popular options with increasing volume: AAL X GILD BAC DAL C ZM CCL F DIS

Tesla (TSLA) 30-day option implied volatility is at 78; compared to its 52-week range of 34 to 154 after Elon Musk says stock price to high. Call put ratio 1.1 calls to 1 put.

Amazon (AMZN) May weekly option implied volatility is at 40, May is at 38; compared to its 52-week range of 16 to 69 after release of quarter results. Call put ratio 1.4 calls to 1 put after DJ report CEO Jeff Bezos called to testify before Congress, panel wants to know about it’s private-label practices.

iShares MSCI Brazil (EWZ) 30-day option implied volatility is at 65; compared to its 52-week range of 22 to 144 amid crude oil trending up. Call put ratio 2.5 calls to 1 put with focus on May weekly 29 calls.

Ishares Msci Mexico Capped Etf (EWW) 30-day option implied volatility is at 41; compared to its 52-week range of 15 to 105 amid crude oil trending up.

American International Group (AIG) May weekly call option implied volatility is at 82, May is at 76; compared to its 52-week range of 18 to 145 into the expected release of quarter results after the bell on May 4. Call put ratio 1.2 calls to 1 put.

Avis Budget Group (CAR) May call option implied volatility is at 165, June is at 131; compared to its 52-week range of 36 to 320 into the expected release of quarter results before the bell on May 4. Call put ratio 1 call to 4.3 puts amid shares down 11%.

Cirrus Logic (CRUS) May weekly call option implied volatility is at 77, May is at 69; compared to its 52-week range of 27 to 93 into the expected release of quarter results after the bell on May 4. Call put ratio 1 call to 1.3 puts.

Diamondback Energy (FANG) May call option implied volatility is at 117, June is at 100; compared to its 52-week range of 30 to 201 into the expected release of quarter results after the bell on May 4. Call put ratio 5.3 calls to 1 put with focus on June calls.

Hertz Global (HTZ) May weekly call option implied volatility is at 450, May is at 310; compared to its 52-week range of 40 to 434 into the expected release of quarter results before the bell on May 4. Call put ratio 1 call to 3.6 puts.

Shake Shack (SHAK) May weekly call option implied volatility is at 104, June is at 90; compared to its 52-week range of 31 to 185 into the expected release of quarter results after the bell on May 4. Call put ratio 1.2 calls to 1 put.

Skyworks (SWKS) May weekly call option implied volatility is at 73, June is at 63; compared to its 52-week range of 25 to 108 into the expected release of quarter results after the bell on May 4. Call put ratio 1 call to 1.4 puts amid shares down 3.3%.

Tenet Healthcare (THC) 30-day option implied volatility is at 108; compared to its 52-week range of 36 to 166 into the expected release of quarter results after the bell on May 4. Call put ratio 1.8 calls to 1 put.

Tyson Foods (TSN) May weekly option implied volatility is at 67, May is at 57; compared to its 52-week range of 20 to 112 into the expected release of quarter results before the opening bell on May 4.

Varian (VAR) 30-day option implied volatility is at 58; compared to its 52-week range of 20 to 71 into the expected release of quarter results after the bell on May 4.

Williams Cos (WMB) 30-day option implied volatility is at 58; compared to its 52-week range of 20 to 163 into the expected release of quarter results after the bell on May 4. Call put ratio 4.2 calls to 1 put with focus on May and August calls.

Berkshire Hathaway (BRK.B) 30-day call option implied volatility is at 30; compared to its 52-week range of 12 to 79 into annual meeting. Call put ratio 2.2 calls to 1 put with focus on May weekly 195 calls.

Increasing unusual option volume: APO IVR HUN BYD EMN NAT AKRX
Increasing unusual call option volume: ITB APO SMAR PLCE NAT LUV X
Increasing unusual put option volume: IVR HUN BYD EMN DFS APO WY NAT HTZ
Options with decreasing option implied volatility: USO WW HLF TWTR DD GE HAS SCO
Active options: AAPL TSLA AMD AMZN FB BA AAL MSFT X NFLX GILD BAC DAL C ZM CCL F GE BABA DIS