Mid-session IV Report May 28, 2020

Mid-session IV Report May 28, 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: JWN ULTA CRM WSM COST DELL SHY AVEO NGL COMM TGI DXC XONE DDD BHC LMT STWD AKAM

Popular options with increasing volume: DKNG M F SNAP

Salesforce (CRM) May weekly call option implied volatility is at 92, June is at 37; compared to its 52-week range of 18 to 96 into the expected release of quarter results today after the bell. Call put ratio 4.1 calls to 1 put with focus on May 177.50 and 180 calls.

Costco (COST) May weekly call option implied volatility is at 67, June is at 29; compared to its 52-week range of 14 to 75 into the expected release of quarter results today after the bell. Call put ratio 3.1 calls to 1 put with focus on May 310 calls.

Dell Technologies (DELL) June call option implied volatility is at 58, July is at 46; compared to its 52-week range of 26 to 117 into the expected release of quarter results today after the bell. Call put ratio 5.3 calls to 1 put with focus on June 50 calls.

Nordstrom (JWN) May weekly call option implied volatility is at 210, June is at 101; compared to its 52-week range of 32 to 170 into the expected release of quarter results today after the bell. Call put ratio 1.3 calls to 1 put.

Marvell Technology (MRVL) May weekly call option implied volatility is at 115, June is at 50; compared to its 52-week range of 26 to 98 into the expected release of quarter results today after the bell. Call put ratio 1.1 calls to 1 put.

Ulta Beauty (ULTA) May weekly call option implied volatility is at 160, June is at 61; compared to its 52-week range of 22 to 144 into the expected release of quarter results today after the bell. Call put ratio 2 calls to 1 put with focus on May weekly 250 calls.

VMware (VMW) May weekly call option implied volatility is at 118, June is at 50; compared to its 52-week range of 23 to 88 into the expected release of quarter results today after the bell. Call put ratio 1 call to 1.1 puts.

Williams-Sonoma (WSM) June call option implied volatility is at 61, July is at 50; compared to its 52-week range of 22 to 133 into the expected release of quarter results today after the bell. Call put ratio 1.8 calls to 1 put with focus on June 70 and 72.50 calls.

Big Lots (BIG) June call option implied volatility is at 77, July is at 67; compared to its 52-week range of 35 to 160 into the expected release of quarter results before the bell on May 29.

Canopy Growth (CGC) May weekly call option implied volatility is at 220, June is at 101; compared to its 52-week range of 40 to 184 into the expected release of quarter results before the bell on May 29. Call put ratio 4 calls to 1 put with focus on May weekly 22 calls.

Canada Goose (GOOS) May weekly call option implied volatility is at 62, June is at 82; compared to its 52-week range of 39 to 118 into the expected release of quarter results on June 3. Call put ratio 3.7 calls to 1 put.

Slack (WORK) May weekly call option implied volatility is at 105, June is at 83; compared to its 52-week range of 43 to 150 into the expected release of quarter results on June 4. Call put ratio 5.2 calls to 1 put with focus on June weekly 35 calls.

iShares Russell 2000 (RUT) May weekly option implied volatility is at 45, June weekly is at 40, June is at 36; compared to its 52-week range of 12 to 128 into Russell releasing its preliminary indexes on June 5. Call put ratio 1 call to 1 put.

Increasing unusual option volume: CWH SEAS MRNA GE COMM MARK NGL AVEO DLTR BOX HPQ
Increasing unusual call option volume: COMM MARK DLTR ECL BOX AZN TGI
Increasing unusual put option volume: NGL SRNE CWH ECL AOBC DKNG BOX MNK DLTR
Options with decreasing option implied volatility: SRNE NTNX CAR LB EURN FL HUYA PDD TNK ANF HPQ CZR
Active options: GE AAPL FB BA AMD TSLA BAC NVDA MU MSFT TWTR M DKNG SNAP DIS NIO NFLX AAL F AMZN