Mid-session IV Report May 13, 2020

Mid-session IV Report May 13, 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: SDC CSCO AAL DAL WFC RTX XOM ABT

Popular options with increasing volume: BYND DAL ALL DIS SDC WFC

Bank of America (BAC) 30-day option implied volatility is at 51; compared to its 52-week range of 17 to 124.

Citigroup (C) 30-day option implied volatility is at 58; compared to its 52-week range of 18 to 146.

Goldman Sachs (GS) 30-day option implied volatility is at 41; compared to its 52-week range of 18 to 116.

JPMorgan (JPM) 30-day option implied volatility is at 45; compared to its 52-week range of 15 to 119.

Morgan Stanley (MS) 30-day option implied volatility is at 48; compared to its 52-week range of 19 to 120.

Wells Fargo (WFC) 30-day option implied volatility is at 51; compared to its 52-week range of 16 to 138.

State Street (STT) 30-day option implied volatility is at 49; compared to its 52-week range of 22 to 112.

U.S. Bancorp (USB) 30-day option implied volatility is at 51; compared to its 52-week range of 14 to 121.

PNC Financial Services (PNC) 30-day option implied volatility is at 51; compared to its 52-week range of 16 to 115.

Bank of New York Mellon (BK) 30-day option implied volatility is at 43; compared to its 52-week range of 17 to 118. Call put ratio 3.8 calls to 1 put.

Comerica (CMA) 30-day option implied volatility is at 72; compared to its 52-week range of 23 to 161. Call put ratio 1 call to 2.4 puts.

Schwab (SCHW) 30-day option implied volatility is at 47; compared to its 52-week range of 22 to 124.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 42; compared to its 52-week range of 13 to 111.

Spdr S&P Bank Etf (KBE) 30-day option implied volatility is at 52; compared to its 52-week range of 16 to 125 as shares sell off 2.9%.

IV increases into EPS and outlook

Cisco (CSCO) May call option implied volatility is at 95, June is at 40; compared to its 52-week range of 17 to 87 into the expected release of quarter results today after the bell. Call put ratio 2.9 calls to 1 put with focus on May 43 and 44 calls.

SmileDirectClub (SDC) May call option implied volatility is at 348, June is at 150; compared to its 52-week range of 59 to 128 into the expected release of quarter results. Call put ratio 3.4 calls to 1 put with focus on May calls.

Applied Materials (AMAT) May call option implied volatility is at 95, June is at 55; compared to its 52-week range of 25 to 118 into the expected release of quarter results after the bell on May 14. Call put ratio 2.6 calls to 1 put.

JD.Com (JD) May call option implied volatility is at 120, June is at 54; compared to its 52-week range of 28 to 81 into the expected release of quarter results before the bell on May 14. Call put ratio 4.2 calls to 1 put with focus on May 50 calls.

V.F. Corp (VFC) May call option implied volatility is at 106, June is at 47; compared to its 52-week range of 18 to 108 into the expected release of quarter results before the bell on May 14. Call put ratio 1 call to 4 puts.

Increasing unusual option volume: EGHT EFX UNFI LOGI ZUO
Increasing unusual call option volume: EGHT LOGI UNFI ZUO KNX DDOG
Increasing unusual put option volume: WELL UNFI DDOG KR BCS INFN JCI EURN
Options with decreasing option implied volatility: INSG ACB ZNGA BE STNG PTON LYFT
Active options: AAPL GE BAC AMD TSLA MSFT BYND FB NFLX WFC CSCO NVDA BA DAL AAL UBER JPM VTIQ DIS AMZN