Mid-session IV Report May 27, 2020

Mid-session IV Report May 27, 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: MRNA JWN BURL CRM ULTA MRVL

Popular options with increasing volume: MRNA ANF DIS GE AAL DAL UAL HTZ

Moderna (MRNA) May weekly call option implied volatility is at 178, June is at 122; compared to its 52-week range of 50 to 172 amid shares selling off 14.5%. Call put ratio 1.1 calls to 1 put amid shares selling off 14.5% amid the company seeking to develop a Covid-19 vaccine. .

Stay at home stocks

Peloton (PTON) May weekly call option implied volatility is at 100, June is at 70; compared to its 52-week range of 58 to 158. Call put ratio 1 call to 1.6 amid shares down 5.5%.

Zoom Video Communications (ZM) May weekly call option implied volatility is at 84, June is at 88; compared to its 52-week range of 36 to 136 into the expected release of quarter results on June 2.

Stocks IV bid into quarter results and outlook

Box (BOX) May weekly call option implied volatility is at 74, June is at 57; compared to its 52-week range of 32 to 107 into the expected release of quarter results today after the bell. Call put ratio 9 calls to 1 put with focus on June 20 calls.

HP (HPQ) May weekly call option implied volatility is at 120, June is at 55; compared to its 52-week range of 20 to 109 into the expected release of quarter results today after the bell. Call put ratio 2.9 calls to 1 put with focus on May weekly 18 calls.

NetApp (NTAP) May weekly call option implied volatility is at 100, June is at 49; compared to its 52-week range of 23 to 121 into the expected release of quarter results today after the bell. Call put ratio 8.9 calls to 1 put with focus on May weekly 47 calls.

PVH (PVH) June call option implied volatility is at 74, July is at 64; compared to its 52-week range of 81 to 145 into the expected release of quarter results today after the bell.

Workday (WDAY) May weekly call option implied volatility is at 107, June is at 54; compared to its 52-week range of 26 to 85 into the expected release of quarter results today after the bell. Call put ratio 2.4 calls to 1 put.

Salesforce (CRM) May weekly call option implied volatility is at 76, June is at 40; compared to its 52-week range of 18 to 96 into the expected release of quarter results after the bell on May 28. Call put ratio 2.4 calls to 1 put.

Dollar General (DG) May weekly call option implied volatility is at 90, June is at 39; compared to its 52-week range of 15 to 69 into the expected release of quarter results before the bell on May 28.

Dollar Tree (DLTR) May weekly call option implied volatility is at 97, June is at 46; compared to its 52-week range of 20 to 116 into the expected release of quarter results before the bell on May 28. Call put ratio 8.7 calls to 1 put with focus on May weekly 88 calls.

Abercrombie & Fitch (ANF) May weekly call option implied volatility is at 201, June is at 93; compared to its 52-week range of 38 to 143 into the expected release of quarter results before the bell on May 28.

Burlington Stores (BURL) May weekly call option implied volatility is at 119, June is at 59; compared to its 52-week range of 21 to 177 into the expected release of quarter results before the bell on May 28.

Costco (COST) May weekly call option implied volatility is at 56, June is at 29; compared to its 52-week range of 14 to 75 into the expected release of quarter results on May 28. Call put ratio 2.6 calls to 1 put with focus on May 305 calls.

Dell Technologies (DELL) June call option implied volatility is at 55, July is at 45; compared to its 52-week range of 26 to 117 into the expected release of quarter results after the bell on May 28. Call put ratio 3 calls to 1 put.

Lumber Liquidators (LL) 30-day option implied volatility is at 84; compared to its 52-week range of 44 to 245 into the expected release of quarter results on May 28.

Nordstrom (JWN) May weekly call option implied volatility is at 151, June is at 101; compared to its 52-week range of 32 to 170 into the expected release of quarter results on May 28. Call put ratio 4.3 calls to 1 put.

Marvell Technology (MRVL) May weekly call option implied volatility is at 95, June is at 54; compared to its 52-week range of 26 to 98 into the expected release of quarter results after the bell on May 28. Call put ratio 4.7 calls to 1 put.

Sanderson Farms (SAFM) June call option implied volatility is at 44, July is at 43; compared to its 52-week range of 26 to 93 into the expected release of quarter results before the bell on May 28.

Ulta Beauty (ULTA) May weekly call option implied volatility is at 135, June is at 65; compared to its 52-week range of 22 to 144 into the expected release of quarter results after the bell on May 28. Call put ratio 2.6 calls to 1 put with focus on May weekly calls.

VMware (VMW) May weekly call option implied volatility is at 98, June is at 51; compared to its 52-week range of 23 to 88 into the expected release of quarter results after the bell on May 28.

Williams-Sonoma (WSM) May weekly call option implied volatility is at 64, June is at 51; compared to its 52-week range of 22 to 133 into the expected release of quarter results on May 28. Call put ratio 22 calls to 1 put with focus on June 70 calls.

Increasing unusual option volume: MRNA UAL AAL COUP
Increasing unusual call option volume: MRNA DIS BAC DAL
Increasing unusual put option volume: MRNA TWTR AAL
Options with decreasing option implied volatility: RL CPRI UAL AAL DAL SRNE CPRI
Active options: GE FB AAPL AMD MSFT TSLA AAL NVDA JPM BA WFC TWTR DAL UAL AMZN F HTZ NFLX DIS