Mid-session IV Report May 29, 2020

Mid-session IV Report May 29, 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: ADAP DVAX ERJ FTI OKE HOG KSS NTNX OXY

Popular options with increasing volume: SNAP TWTR AAL CRM TLRY

Twitter (TWTR) May weekly option implied volatility is at 112, July is at 61; compared to its 52-week range of 27 to 125 after President Trump signs executive order targeting social media firms. Call put ratio 1 call to 2.2 puts.

Facebook (FB) May weekly option implied volatility is at 62, July is at 37; compared to its 52-week range of 21 to 82 after President Trump signs executive order targeting social media firms. Call put ratio 1.8 calls to 1 put.

Option implied volatility flat into ASCO20 Virtual and Covid 19

Pfizer (PFE) 30-day option implied volatility is at 24; compared to its 52-week range of 15 to 72 into ASCO20 Virtual and Covid 19. Call put ratio 4.2 calls to 1 put.

Merck (MRK) 30-day option implied volatility is at 27; compared to its 52-week range of 15 to 63.

Baxter (BAX) 30-day option implied volatility is at 26; compared to its 52-week range of 16 to 66 .

AstraZeneca (AZN) 30-day option implied volatility is at 33; compared to its 52-week range of 16 to 85.

Bristol-Myers (BMY) 30-day option implied volatility is at 28; compared to its 52-week range of 20 to 71.

GlaxoSmithKline (GSK) 30-day option implied volatility is at 26; compared to its 52-week range of 13 to 74.

Johnson & Johnson (JNJ) 30-day option implied volatility is at 22; compared to its 52-week range of 14 to 70.

Novartis (NVS) 30-day option implied volatility is at 22; compared to its 52-week range of 12 to 62.

Sanofi (SNY) 30-day option implied volatility is at 29; compared to its 52-week range of 16 to 94.

Teva Pharma (TEVA) 30-day option implied volatility is at 53; compared to its 52-week range of 45 to 133.

Gilead (GILD) 30-day option implied volatility is at 39; compared to its 52-week range of 19 to 109. Call put ratio 3 calls to 1 put.

AbbVie (ABBV) 30-day option implied volatility is at 30; compared to its 52-week range of 20 to 78. Call put ratio 3 calls to 1 put.

Amgen (AMGN) 30-day option implied volatility is at 30; compared to its 52-week range of 17 to 82.. Call put ratio 3.3 calls to 1 put.

Abbott (ABT) 30-day option implied volatility is at 28; compared to its 52-week range of 16 to 70.

iShares Russell 2000 (RUT) May weekly option implied volatility is at 47, June weekly is at 41, June is at 38; 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 3.6 puts with focus on June weekly 1420 and 1430 puts into President Trump presentation on China.

DraftKings (DKNG) May weekly call option implied volatility is at 186, June is at 112; compared to its 52-week range of 54 to 143. Call put ratio 2.2 calls to 1 put with focus on May weekly 38 calls.

Option volume increases into quarter results

Autohome (ATHM) June call option implied volatility is at 58, July is at 48 ; compared to its 52-weeek range of 35 to 84 into the expected release of quarter results before the bell on June 1. Call put ratio 2.3 calls to 1 put.

Embraer (ERJ) June call option implied volatility is at 101, July is at 87; compared to its 52-weeek range of 25 to 164 into the expected release of quarter results before the bell on June 1. Call put ratio 58 calls to 1 put with focus on June 7.5 calls.

Party City (PRTY) 30-day option implied volatility is at 262; compared to its 52-weeek range of 54 to 389 into the expected release of quarter results before the bell on June 1. Call put ratio 8 calls to 1 put.

Increasing unusual option volume: ECL MARK AZUL HSBC CRWD DVAX PRTY ERJ
Increasing unusual call option volume: ECL MARK AZUL COMM ZS DVAX AVEO WSM NAK NTNX
Increasing unusual put option volume: ECL DXC HRB SABR DKNG SRNE WSM ZS CNP
Options with decreasing option implied volatility: CRM ACB TGTX PDD ADSK ANF ULTA DELL VIPS HPQ BOX
Active options: AAPL FB TWTR SNAP TSLA AMD GE BAC BA MSFT CGC BABA ZNGA AMZN ZS AAL CRM UBER TLRY NVDA