Mid-session IV Report May 30, 2019

Mid-session IV Report May 30, 2019

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.​
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Options with increasing option implied volatility: MLNX WYNN TSLA GOOG AABA WYNN LVS NLY CRM BX VIAB ARQL BBBY CY KHC NKE​

Popular stocks with increasing unusual volume: BYND X NIO​

Uber (UBER) May weekly call option implied volatility is at 144, June is at 57; compared to its 2-week range of 48 to 58 into introducing 1st quarterly results today after the bell. Call put ratio 1.3 calls to 1 put with focus on May weekly 40 calls and puts.

Lyft (LYFT) May weekly call option implied volatility is at 81, June weekly is at 56, June is at 52; compared to its 4-week range of 48 to 79 into Uber (UBER) results.

Facebook (FB) May weekly call option implied volatility is at 33, June is at 28; compared to its 52-week range of 20 to 53 into annual shareholder meeting. Call put ratio 2.1 calls to 1 put with focus on May weekly calls.​
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Kraft Heinz (KHC) May weekly call option implied volatility is at 48, June is at 39; compared to its 52-week range of 18 to 44 as shares sell off 2.2%. Call put ratio 1.1 calls to 1 put with focus on May 27.50 calls and puts.​
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Costco (COST) May weekly call option implied volatility is at 80, June is at 28; compared to its 52-week range of 15 to 33 into the expected release of quarterly results today after the bell.​
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Dell Technologies (DELL) June call option implied volatility is at 55, July is at 37; compared to its 52-week range of 28 to 48 into the expected release of quarterly results today after the bell. Call put ratio 4.5 calls to 1 put.​
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Gap (GPS) May weekly call option implied volatility is at 215, June is at 64; compared to its 52-week range of 28 to 65 into the expected release of quarterly results today after the bell. Call put ratio 1 call to 4.9 puts with focus on May weekly 19 and 19.50 puts.​
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Marvell Technology (MRVL) May weekly call option implied volatility is at 126, June is at 46; compared to its 52-week range of 29 to 58 into the expected release of quarterly results today after the bell.​
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VMware (VMW) May weekly call option implied volatility is at 110, June is at 43; compared to its 52-week range of 22 to 53 into the expected release of quarterly results today after the bell.​
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Zuora (ZUO) June call option implied volatility is at 77, July is at 65; compared to its 52-week range of 46 to 116 into the expected release of quarterly results today after the bell. Call put ratio 3.9 calls to 1 put with focus on June 25 calls. ​
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Big Lots (BIG) June call option implied volatility is at 58, July is at 48; compared to its 52-week range of 28 to 70 into the expected release of quarterly results before the bell on May 31. ​
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Build A Bear Workshop (BBW) June call option implied volatility is at 72, July is at 61; compared to its 52-week range of 41 to 111 into the expected release of quarterly results before the bell on May 31. ​
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Amgen (AMGN) May weekly call option implied volatility is at 32, June weekly is at 30, June is at 26; compared to its 52-week range of 15 to 39 into members of Amgen’s clinical development team and clinical investigators, discuss Amgen’s data presented at ASCO 2019 at an Investor Meeting being held in Chicago on June 3. Call put ratio 1 call to 2.5 puts with focus on June 152.50 puts.​
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CBS Corp. (CBS) May weekly call option implied volatility is at 20, June is at 22, July is at 23; compared to its 52-week range of 21 to 41 after CNBC says CBS board preparing for talks with Viacom (VIAB). CBS Corp. (CBS) call put ratio 4.1 calls to 1 put with focus on July 27.50 calls.​
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Viacom (VIAB) May weekly call option implied volatility is at 39, June is at 29, July is at 28; compared to its 52-week range of 22 to 47 after CNBC says CBS (CBS) board preparing for talks with Viacom (VIAB). Call put ratio 4.1 calls to 1 put with focus on July 27.50 calls.​
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Bank option implied volatility on wide share price movement as US Treasury prices continue to rise​

BNY Mellon (BK) 30-day option implied volatility is at 23; compared to its 52-week range of 16 to 39​
Comerica (CMA) 30-day option implied volatility is at 27; compared to its 52-week range of 18 to 43​
BB&T (BBT) 30-day option implied volatility is at 22; compared to its 52-week range of 16 to 37​
KeyCorp (KEY) 30-day option implied volatility is at 27; compared to its 52-week range of 19 to 49​
Citigroup (C) 30-day option implied volatility is at 28; compared to its 52-week range of 16 to 56​
JPMorgan (JPM) 30-day option implied volatility is at 22; compared to its 52-week range of 15 to 41 ​
PNC Financial (PNC) 30-day option implied volatility is at 23; compared to its 52-week range of 16 to 43 ​
Bank of America (BAC) 30-day option implied volatility is at 25; compared to its 52-week range of 16 to 46​
Wells Fargo (WFC) 30-day option implied volatility is at 22; compared to its 52-week range of 16 to 45 ​
Goldman Sachs (GS) 30-day option implied volatility is at 26; compared to its 52-week range of 15 to 50 ​
Morgan Stanley (MS) 30-day option implied volatility is at 27; compared to its 52-week range of 18 to 50​

Implied volatility is the volatility expectation that is priced into individual options. All the inputs of an options pricing model are known (time to expiration, strike, price, interest rates) except for the volatility that the option is pricing in.​
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Increasing unusual option volume: WPRT MOH JCI FOLD FDS VEEV PVH JILL​ JCI
Increasing unusual call option volume: WPRT JCI NDLS VEEV
Increasing unusual put option volume: MOH JCI PVH NAV PANW ADS OKTA VEEV​
Options with decreasing option implied volatility: CARA CPRI BMRN GOOS ANF CTRP DBI FL BBY LB HRL S INDA EPI PDD​
Active options: AAPL AMD TSLA SNAP JCI X BYND FB MU NIO NFLX ROKU INTC AMZN BABA QCOM BAC NVDA T GE​
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