Mid-session IV Report May 22, 2020

Mid-session IV Report May 22, 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: EOLS LK FG EURN BJ YINN NTES DDOG ASHR EWH MU

Popular options with increasing volume: ROKU JD TLRY CGC BIDU DAL LUV

Micron (MU) May weekly call option implied volatility is at 72, June is at 52; compared to its 52-week range of 31 to 115 into a company hosted investor update conference call on May 22 at 1 pm. Call put ratio 1 call to 1 put.

AutoZone (AZO) May weekly call option implied volatility is at 52, June is at 40; compared to its 52-week range of 16 to 97 into the expected release of quarter results before the bell on May 26. Call put ratio 1 call to 3 puts.

Industrial metal stock option implied volatility amid iron ore near $100 a ton

ArcelorMittal (MT) 30-day option implied volatility is at 70; compared to its 52-week range of 34 to 148 as iron ore rises to nearly $100 a ton.

Nucor (NUE) 30-day option implied volatility is at 45; compared to its 52-week range of 21 to 110 as iron ore rises to nearly $100 a ton.

Steel Dynamics (STLD) 30-day option implied volatility is at 51; compared to its 52-week range of 27 to 125 as iron ore rises to nearly $100 a ton.

TimkenSteel (TMST) 30-day option implied volatility is at 103; compared to its 52-week range of 46 to 203 as iron ore rises to nearly $100 a ton.

U.S. Steel (X) 30-day option implied volatility is at 83; compared to its 52-week range of 45 to 173 as iron ore rises to nearly $100 a ton. Call put ratio 3.5 calls to 1 put with focus on May weekly 8 calls.

Cleveland-Cliffs (CLF) 30-day option implied volatility is at 78; compared to its 52-week range of 37 to 186 as iron ore rises to nearly $100 a ton. Call put ratio 2.8 calls to 1 put.

Freeport McMoRan (FCX) 30-day option implied volatility is at 63; compared to its 52-week range of 34 to 184 as iron ore rises to nearly $100 a ton. Call put ratio 4.9 calls to 1 put with focus on June and August 9 calls.

Brazil stock option implied volatility

iShares MSCI Brazil (EWZ) 30-day option implied volatility is at 51; compared to its 52-week range of 22 to 145.

Vale S.A. (VALE) 30-day option implied volatility is at 52; compared to its 52-week range of 27 to 157.

Petrobras (PBR) 30-day option implied volatility is at 64; compared to its 52-week range of 26 to 224.

Embraer (ERJ) 30-day option implied volatility is at 87; compared to its 52-week range of 24 to 164 amid spread of Covid-19 in Brazil. Call put ratio 386 calls to 1 put with focus on January 7.5 calls.

Itau Unibanco Banco Multiplo S.a. (ITUB) 30-day option implied volatility is at 68; compared to its 52-week range of 25 to 186.

Ambev S.a. (ABEV) 30-day option implied volatility is at 56; compared to its 52-week range of 23 to 161.

Azul (NYSE: AZUL) 30-day option implied volatility is at 124; compared to its 52-week range of 33 to 329.

Gerdau SA (GGB) 30-day option implied volatility is at 78; compared to its 52-week range of 30 to 129.

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

Increasing unusual option volume: BJ MARK EIX FEYE CHWY LK
Increasing unusual call option volume: BJ EGHT LEVI MARK SIG SPLK
Increasing unusual put option volume: SRNE UA BIDU CGC KWEB DKS LK
Options with decreasing option implied volatility: SRNE APT PCG CODX DKNG CAR CLVS
Active options: BABA NVDA AAPL FB TSLA AMD ROKU BA JD BAC TLRY AMZN MSFT F NFLX CGC WFC BIDU DAL LUV