Mid-session IV Report May 20, 2020

Mid-session IV Report May 20, 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 is coming in as stocks trend higher

Popular options with increasing volume: LK MRNA DAL TGT TWTR

Option implied volatility into EPS and outlook

Best Buy (BBY) May weekly call option implied volatility is at 111, June is at 55; compared to its 52-week range of 23 to 106 into the expected release of quarter results before the bell on May 21. Call put ratio 1.3 calls to 1 put.

L Brands (LB) May weekly call option implied volatility is at 223, June is at 113; compared to its 52-week range of 35 to 203 into the expected release of quarter results after the bell on May 21. Call put ratio 17 calls to 1 put.

NVIDIA (NVDA) May weekly call option implied volatility is at 123, June is at 57; compared to its 52-week range of 28 to 110 into the expected release of quarter results after the bell on May 21. Call put ratio 1.7 calls to 1 put with focus on May weekly 360 calls amid shares near record high.

Agilent (A) May weekly call option implied volatility is at 34, June is at 30; compared to its 52-week range of 18 to 97 into the expected release of quarter results after the bell on May 21.

Hewlett Packard (HPE) May weekly call option implied volatility is at 95, June is at 51; compared to its 52-week range of 23 to 106 into the expected release of quarter results after the bell on May 21. Call put ratio 14 calls to 1 put with focus on May weekly 10.50 calls.

Hormel (HRL) May weekly call option implied volatility is at 76, June is at 32; compared to its 52-week range of 15 to 69 into the expected release of quarter results before the bell on May 21. Call put ratio 3.5 calls to 1 put.

Intuit (INTU) May weekly call option implied volatility is at 66, June is at 36; compared to its 52-week range of 18 to 93 into the expected release of quarter results after the bell on May 21.

Medtronic (MDT) May weekly call option implied volatility is at 53, June is at 33; compared to its 52-week range of 15 to 88 into the expected release of quarter results before the bell on May 21. Call put ratio 3.3 calls to 1 put.

Palo Alto Networks (PANW) May weekly call option implied volatility is at 118, June is at 48; compared to its 52-week range of 20 to 83 into the expected release of quarter results after the bell on May 21.

Ross Stores (ROST) May weekly call option implied volatility is at 49, June is at 48; compared to its 52-week range of 17 to 89 into the expected release of quarter results after the bell on May 21. Call put ratio 1 call to 1.5 puts.

Teekay Tankers (TNK) May call option implied volatility is at 94, June is at 82; compared to its 52-week range of 63 to 183 into the expected release of quarter results before the bell on May 21.

TJX (TJX) June call option implied volatility is at 44, July is at 41; compared to its 52-week range of 16 to 121 into the expected release of quarter results before the bell on May 21. Call put ratio 11 calls to 1 put with focus on June 52.50 calls.

Apple (AAPL) 30-day option implied volatility is at 28; compared to its 52-week range of 18 to 90 amid Apple Glass reports from MacRumors, CNET and Techspot. Call put ratio 1.5 calls to 1 put. Apple is hosting Worldwide Developers Conference virtually WWDC20, beginning June 22.

iShares Nasdaq Biotechnology (IBB) 30-day option implied volatility is at 30; compared to its 52-week range of 17 to 80. Call put ratio 2.6 calls to 1 put with focus on June 138 calls.

Wells Fargo (WFC) 30-day option implied volatility is at 53; compared to its 52-week range of 16 to 137.

Luckin Coffee Inc. (LK) 30-day option implied volatility is at 237 amid wide price movement. Call put ratio 3 calls to 1 put

Entertainment and Gaming resort calls more active than puts into casino openings

Wynn Resorts Ltd (WYNN) 30-day option implied volatility is at 71; compared to its 52-week range of 31 to 216.

Las Vegas Sands (LVS) 30-day option implied volatility is at 59; compared to its 52-week range 22 to 179. Call put ratio 8 calls to 1 put with focus on June 55 calls.

MGM Resorts (MGM) 30-day option implied volatility is at 77; compared to its 52-week range of 22 to 337. Call put ratio 5.5 calls to 1 put with focus on May weekly calls.

Caesars Entertainment (CZR) 30-day option implied volatility is at 52; compared to its 52-week range 10 to 343. Call put ratio 2.6 calls to 1 put.

Melco Resorts (MLCO) 30-day option implied volatility is at 60; compared to its 52-week range of 31 to 151.

Penn National Gaming (PENN) 30-day option implied volatility is at 98; compared to its 52-week range of 29 to 435. Call put ratio 2.5 calls to 1 put with focus on June calls as shares rally 10%.

Boyd Gaming (BYD) 30-day option implied volatility is at 79; compared to its 52-week range of 25 to 261. Call put ratio 4.3 calls to 1 put with focus on June 21 calls as shares rally 4.8%.

Eldorado Resorts (ERI) 30-day option implied volatility is at 123; compared to its 52-week range of 30 to 413.

Increasing unusual option volume: HOME ECL URBN SRNE RRR LK
Increasing unusual call option volume: HOME ECL GPN HBI BJ LK
Increasing unusual put option volume: SRNE URBN QD LK
Options with decreasing option implied volatility: CODX RVLV CLVS SDC DKNG SIG SIX
Active options: FB AAPL TSLA TWTR LK AMD INTEQ INO BAC AMZN BABA WMT INTC GE MSFT BA TGT DAL MRNA BYND