Mid-session IV Report May 21, 2020

Mid-session IV Report May 21, 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: NVDA SRNE YUMC DE BABA

Popular options with increasing volume: CCL F LB AAL DAL MRNA

Boeing (BA) May weekly call option implied volatility is at 83, June is at 67; compared to its 52-week range of 23 to 221 as shares rally 5% to $140. Call put ratio 5 calls to 1 put with focus on May weekly (29) 130 calls.

United States Oil Fund (USO) 30-day option implied volatility is at 72; compared to its 52-week range of 23 to 247 as oil trends higher. Call put ratio 4.4 calls to 1 put.

Winnebago Industries (WGO) 30-day option implied volatility is at 61; compared to its 52-week range of 34 to 154 as shares rally sharply into summer travel season. Call put ratio 4 calls to 1 put.

Camping World (CWH) 30-day option implied volatility is at 95; compared to its 52-week range of 50 to 24 as shares rally sharply into summer travel season. Call put ratio 9 calls to 1 put with focus on June 21 calls.

United Airlines (UAL) May weekly call option implied volatility is at 110, June is at 98; compared to its 52-week range of 20 to 421. Call put ratio 1.8 calls to 1 put amid shares up 30% this week.

First Trust Dow Jones Internet Index Fund Etf (FDN) 30-day option implied volatility is at 28; compared to its 52-week range of 14 to 77 as shares near record high. Call put ratio 4 calls to 1 put.

Option implied volatility into EPS and outlook

NVIDIA (NVDA) May weekly call option implied volatility is at 153, June is at 79; compared to its 52-week range of 28 to 110 into the expected release of quarter results today after the bell. Call put ratio 1.9 calls to 1 put with focus on May weekly 360 and 370 calls amid shares near record high.

Agilent (A) May weekly call option implied volatility is at 35, June is at 33; compared to its 52-week range of 18 to 97 into the expected release of quarter results today after the bell.

Hewlett Packard (HPE) May weekly call option implied volatility is at 131, June is at 52; compared to its 52-week range of 23 to 106 into the expected release of quarter results today after the bell. Call put ratio 6.5 calls to 1 put with focus on May weekly 10.50 calls.

Intuit (INTU) May weekly call option implied volatility is at 86, June is at 36; compared to its 52-week range of 18 to 93 into the expected release of quarter results today after the bell.

Palo Alto Networks (PANW) May weekly call option implied volatility is at 155, June is at 47; compared to its 52-week range of 20 to 83 into the expected release of quarter results today after the bell.

Alibaba (BABA) May weekly call option implied volatility is at 111, June is at 45; compared to its 52-week range of 22 to 63. Call put ratio 1.6 calls to 1 put into the expected release of quarter results before the bell on May 22. Call put ratio 3 calls to 1 put.

Deere (DE) May weekly call option implied volatility is at 88, June is at 41; compared to its 52-week range of 19 to 101 into the expected release of quarter results before the bell on May 22.

Pinduoduo (PDD) May weekly call option implied volatility is at 285, June is at 76; compared to its 52-week range of 38 to 85 into the expected release of quarter results before the bell on May 22.

Increasing unusual option volume: BJ EGHT VGK AZN ECL DT HUYA TIF LB
Increasing unusual call option volume: EGHT BJ AZN ECL TIF HUYA LB ZEN
Increasing unusual put option volume: VGK SRNE ECL MNK TTWO FOXA SNE BDX
Options with decreasing option implied volatility: CODX APT CLVS CAR AAL
Active options: FB BA AAPL TSLA AMZN BABA BAC NFLX AMD DAL DIS MSFT AAL NVDA NCLH LK MRNA CCL F LB