Mid-session IV Report May 4, 2020

Mid-session IV Report May 4, 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: HTZ CAR UAL LUV DAL AAL DIS CVM EURN SIG EWH CVM CLVS

Popular options with increasing volume: UAL AAL CCL LUV X

Airline IV after Buffett announces sales

American Airlines (AAL) 30-day option implied volatility is at 153; compared to its 52-week range of 29 to 293 after Berkshire Hathaway Inc (BRKa.) sold its entire stakes in the four largest U.S. airlines (AAL, DAL, LUV, UAL). Call put ratio 1 call to 2 puts.

Delta Airlines (DAL) 30-day option implied volatility is at 93; compared to its 52-week range of 20 to 264.
Southwest Airlines (LUV) 30-day option implied volatility is at 77; compared to its 52-week range of 18 to 204.

United Airlines (UAL) 30-day option implied volatility is at 112; compared to its 52-week range of 20 to 420.

IV into quarter results, cash flow and capital outlook

Avis Budget Group (CAR) May call option implied volatility is at 177, June is at 141; compared to its 52-week range of 36 to 320 into the expected release of quarter results today before the bell. Call put ratio 1 call to 1.2 puts.

Cirrus Logic (CRUS) May weekly call option implied volatility is at 88, May is at 75; compared to its 52-week range of 27 to 93 into the expected release of quarter results today after the bell.

Hertz Global (HTZ) May weekly call option implied volatility is at 572, May is at 440; compared to its 52-week range of 40 to 434 into the expected release of quarter results today before the bell Call put ratio 1 call to 5.4 puts.

Shake Shack (SHAK) May weekly call option implied volatility is at 120, June is at 95; compared to its 52-week range of 31 to 185 into the expected release of quarter results today after the bell.

Skyworks (SWKS) May weekly call option implied volatility is at 71, June is at 62; compared to its 52-week range of 25 to 108 into the expected release of quarter results today after the bell.

Activision Blizzard (ATVI) May weekly call option implied volatility is at 86, May is at 59; compared to its 52-week range of 23 to 88 into the expected release of quarter results after the bell on May 5. Call put ratio 2.9 calls to 1 put with focus on May weekly 66.50 and 67 calls.

Alaska Air (ALK) May weekly call option implied volatility is at 100, June is at 91; compared to its 52-week range of 21 to 233 into the expected release of quarter results on May 5.

Beyond Meat (BYND) May weekly call option implied volatility is at 170, May is at 121; compared to its 52-week range of 47 to 140 into the expected release of quarter results after the bell on May 5. Call put ratio 2.9 calls to 1 put.

Cheesecake Factory (CAKE) May call option implied volatility is at 104, June is at 88; compared to its 52-week range of 232 to 278 into the expected release of quarter results after the bell on May 5.

Devon Energy (DVN) May weekly call option implied volatility is at 130, May is at 114; compared to its 52-week range of 33 to 212 into the expected release of quarter results after the bell on May 5.

Electronic Arts (EA) May weekly call option implied volatility is at 73, May is at 52; compared to its 52-week range of 21 to 80 into the expected release of quarter results after the bell on May 5. Call put ratio 1.7 calls to 1 put.

Fiat Chrysler (FCAU) May weekly call option implied volatility is at 63, May is at 62; compared to its 52-week range of 24 to 186 into the expected release of quarter results before the bell on May 5. Call put ratio 1 call to 10.6 puts.

KLA Corp (KLAC) May weekly call option implied volatility is at 81, May is at 63; compared to its 52-week range of 25 to 95 into the expected release of quarter results after the bell on May 5. Call put ratio 1 call to 50 puts with focus on June 150 puts.

Match Group (MTCH) May weekly call option implied volatility is at 123, May is at 86; compared to its 52-week range of 34 to 114 into the expected release of quarter results after the bell on May 5. Call put ratio 5.4 calls to 1 put.

Occidental Petroleum (OXY) May weekly call option implied volatility is at 140, May is at 125; compared to its 52-week range of 25 to 201 into the expected release of quarter results on May 5. Call put ratio 1 call to 2.2 puts with focus on July calls.

Simon Property (SPG) May weekly call option implied volatility is at 82, May is at 79; compared to its 52-week range of 17 to 153 into the expected release of quarter results before the bell on May 5. Call put ratio 1.1 call to 1 put.

Sirius (SIRI) May weekly call option implied volatility is at 49, May is at 41; compared to its 52-week range of 17 to 150 into the expected release of quarter results before the bell on May 5. Call put ratio 2 call to 1 put.

Sysco (SYY) May weekly call option implied volatility is at 97, May is at 80; compared to its 52-week range of 12 to 158 into the expected release of quarter results before the bell on May 5. Call put ratio 1 call to 5.2 puts with focus on 52.50 puts.

Suncor (SU) May weekly call option implied volatility is at 93, May is at 73; compared to its 52-week range of 18 to 148 into the expected release of quarter results before the bell on May 5. Call put ratio 2.8 calls to 1 put.

Trip Advisor (TRIP) May weekly call option implied volatility is at 92, May is at 83; compared to its 52-week range of 31 to 185 into the expected release of quarter results after the bell on May 5. Call put ratio 1.6 calls to 1 put.

Walt Disney (DIS) May weekly call option implied volatility is at 83, May is at 65; compared to its 52-week range of 17 to 101 into the expected release of quarter results after the bell on May 5. Call put ratio 1 call to 1.8 puts into downgraded to Neutral from Buy at MoffettNathanson.

Virgin Galactic (SPCE) May weekly call option implied volatility is at 208, May is at 172; compared to its 52-week range of 39 to 247 into the expected release of quarter results after the bell on May 5. Call put ratio 1.8 calls to 1 put.

Wayfair (W) May weekly call option implied volatility is at 195, May is at 143; compared to its 52-week range of 36 to 209 into the expected release of quarter results after the bell on May 5. Call put ratio 1.5 calls to 1 put.

Honeywell (HON) 30-day call option implied volatility is at 45; compared to its 52-week range of 14 to 104 after downgraded to Hold from Buy at Deutsche Bank. Call put ratio 2.6 calls to 1 put.

Chevron (CVX) 30-day call option implied volatility is at 50; compared to its 52-week range of 15 to 113 after downgraded to Buy from Conviction Buy at Goldman Sachs. Call put ratio 1 call to 1.5 puts.

Increasing unusual option volume: ACWI RRC EURN CCJ NAT
Increasing unusual call option volume: EURN CCJ RRC VSTM NAT SMAR
Increasing unusual put option volume: RRC ACWI NAT AMLP RL QID HTZ HSY
Options with decreasing option implied volatility: SCO UCO USO RRC HOG IRBT
Active options: AAL TSLA AAPL AMD DAL MSFT BA FB DIS GE CCL BAC UAL AMZN NFLX UBER LUV CCJ BABA X