Mid-session IV Report May 18, 2020

Mid-session IV Report May 18, 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: SRNE CVM SFIX NAT HD BBY WMT TGT

Popular options with increasing volume: DAL CCL UAL MRNA AAL

Moderna (MRNA) calls active as shares rally after experimental COVID-19 vaccine showed promise in a small early-stage trial

Moderna (MRNA) May weekly call option implied volatility is at 185, June is at 130; compared to its 52-week range of 50 to 172 after Moderna said its experimental COVID-19 vaccine showed promise in a small early-stage trial, with the vaccine producing virus-neutralizing antibodies similar to that found in recovered patients. Call put ratio 2.3 calls to 1 put.

United States Oil Fund (USO) 30-day option implied volatility is at 62; compared to its 52-week range of 23 to 247 into WTI front month contracts expire on May 19. Call put ratio 1.6 calls to 1 put.

Uber (UBER) 30 day option implied volatility is at 60; compared to its 26-week range of 36 to 200 amid shares 8% after announcing layoffs.

Wayfair (W) May weekly call option implied volatility is at 95, June is at 83; compared to its 52-week range of 39 to 210 after shares sell off 4.8%. Call put ratio 1 call to 1.6 puts.

Option IV into quarter results

Nordic American Tanker (NAT) May call option implied volatility is at 105, June is at 99; compared to its 52-week range of 44 to 184 into the expected release of quarter results today after the bell. Call put ratio 3.3 calls to 1 put.

Advanced Auto Parts (AAP) May weekly call option implied volatility is at 52, June is at 45; compared to its 52-week range of 24 to 112 into the expected release of quarter results before the bell on May 19. Call put ratio 6.1 calls to 1 put.

Home Depot (HD) May weekly call option implied volatility is at 66, June is at 36; compared to its 52-week range of 15 to 113 into the expected release of quarter results before the bell on May 19. Call put ratio 2.7 calls to 1 put.

Kohls (KSS) May weekly call option implied volatility is at 145, June is at 89; compared to its 52-week range of 28 to 159 into the expected release of quarter results before the bell on May 19. Call put ratio 3 calls to 1 put with focus on June 20 calls.

Urban Outfitters (URBN) May weekly call option implied volatility is at 117, June is at 67; compared to its 52-week range of 33 to 109 into the expected release of quarter results after the bell on May 19.

Walmart (WMT) May weekly call option implied volatility is at 60, June is at 31; compared to its 52-week range of 13 to 67 into the expected release of quarter results before the bell on May 19. Call put ratio 3 calls to 1 put.

Digital travel reservation company option implied volatility comes in on active call volume as shares rally

Booking Holdings (BKNG) 30-day option implied volatility is at 45; compared to its 52-week range of 16 to 121 amid shares up 11%. Call put ratio 2.7 calls to 1 put.

TripAdvisor (TRIP) 30-day option implied volatility is at 69; compared to its 52-week range of 32 to 186 amid shares up 12%. Call put ratio 20 calls to 1 put.

Trivago (TRVG) 30-day option implied volatility is at 165; compared to its 52-week range of 50 to 160 into expected release of quarter results today after the bell. Call put ratio 9 calls to 1 put.

Expedia (EXPE) 30-day option implied volatility is at 78; compared to its 52-week range of 20 to 252 amid shares up 15%.

GSX Techedu Inc. (GSX) June call option implied volatility is at 105, July is at 120; compared to its 52-week range of 61 to 168. Call put ratio 1 call to 6.4 puts with focus on May 35 puts amid short reports.

Sorrento Therapeutics (SRNE) June call option implied volatility is at 300, July is at 290; compared to its 52-week range of 75 to 325 amid sharp two-day rally. Call put ratio 3.1 calls to 1 put.

Increasing unusual option volume: SRNE MDLA GERN FEZ EGHT HEXO BJ AEO
Increasing unusual call option volume: SRNE GERN AEO FEZ BJ HEXO
Increasing unusual put option volume: SRNE GERN AEO FEZ BJ HEXO EGHT ECL
Options with decreasing option implied volatility: BCRX RVLV CLVS MAC SCO FTCH
Active options: DIS AOptions with decreasing option implied volatility: BCRX RVLV CLVS MAC SCO FTCH