Mid-session IV Report May 8, 2020

Mid-session IV Report May 8, 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: TLRY ACB

Popular options with increasing volume: PTON SPCE WORK BYND SIG

Apple (AAPL) 30-day option implied volatility is at 28; compared to its 52-week range of 18 to 90 into reopening retail stores in Germany on May 11, Bloomberg reports and into hosting Worldwide Developers Conference virtually WWDC20, beginning June 22.

Option implied volatility for stocks report quarter results next week

AutoNation (AN) May call option implied volatility is at 70, June is at 55; compared to its 52-week range of 22 to 119 into the expected release of quarter results before the bell on May 11. Call put ratio 1 call to 3.3 puts.

Caesars Entertainment (CZR) May call option implied volatility is at 56, June is at 46; compared to its 52-week range of 10 to 343 into the expected release of quarter results after the bell on May 11.

Cardinal Health (CAH) May call option implied volatility is at 55, June is at 40; compared to its 52-week range of 22 to 88 into the expected release of quarter results before the bell on May 11. Call put ratio 18 calls to 1 put.

Continental Resources (CLR) May call option implied volatility is at 105, June is at 100; compared to its 52-week range of35 to 253 into the expected release of quarter results after the bell on May 11.

DataDog (DDOG) May call option implied volatility is at 120, June is at 67; compared to its 52-week range of into the expected release of quarter results after the bell on May 11. Call put ratio 15 calls to 1 put with focus on May 50 calls.

Eldorado Resorts (ERI) May call option implied volatility is at 135, June is at 121; compared to its 52-week range of into the expected release of quarter results after the bell on May 11. Call put ratio May 3.4 calls to 1 put with focus on May 25 calls.

Sunoco (SUN) May and June call option implied volatility is at 41; compared to its 52-week range of 15 to 143 into the expected release of quarter results on May 11.

Tilray (TLRY) May call option implied volatility is at 150, June is at 125; compared to its 52-week range of 58 to 268 into the expected release of quarter results on May 11. Call put ratio 14 calls to 1 put with focus on May 8 calls.

Under Armour (UA) May call option implied volatility is at 122, June is at 75; compared to its 52-week range of 28 to 118 into the expected release of quarter results on May 11. Call put ratio 7 calls to 1 put with focus on May calls.

Option implied volatility for stocks benefiting from stay at home work business

Zoom Video Communications (ZM) 30-day option implied volatility is at 87; compared to its 52-week range of 36 to 136 amid stay at home communication.

PayPal (PYPL) 30-day option implied volatility is at 37; compared to its 52-week range of 20 to 90 amid stay at home financial transactions.

Teladoc (TDOC) 30-day option implied volatility is at 65; compared to its 52-week range of 36 to 109 amid societal health net services surge during coronavirus.

eHealth (EHTH) 30-day option implied volatility is at 68; compared to its 52-week range of 46 to 116 amid societal health net services surge during coronavirus.

Grubhub (GRUB) 30-day option implied volatility is at 65; compared to its 52-week range of 38 to 143 amid surge of food delivery during coronavirus.

Netflix (NFLX) 30-day option implied volatility is at 42; compared to its 52-week range of 27 to 98 amid shares near high range amid stay at home entertainment.

Roku (ROKU) 30-day option implied volatility is at 66; compared to its 52-week range of 50 to 129 amid stay at home entertainment and quarter results.

iQIYI (IQ) 30-day option implied volatility is at 73; compared to its 52-week range of 39 to 133.

Cisco (CSCO) 30-day option implied volatility is at 38; compared to its 52-week range of 17 to 87 amid Cisco Webex near-term beneficiary of remote work business. Call put ratio 7.4 calls to 1 put with focus on May 50 calls.

Citrix (CTXS) 30-day option implied volatility is at 37; compared to its 52-week range of 15 to 76 amid near-term beneficiary of remote work business.

Slack (WORK) 30-day option implied volatility is at 76; compared to its 52-week range of 43 to 150 amid near-term beneficiary of remote work business.

Disney (DIS) 30-day option implied volatility is at 37; compared to its 52-week range of 17 to 102 amid Disney+.

Activision Blizzard (ATVI) 30-day option implied volatility is at 34; compared to its 52-week range of 23 to 89 amid stay at home entertainment.

Electronic Arts (EA) 30-day option implied volatility is at 35; compared to its 52-week range of 21 to 80 amid stay at home entertainment.

Zynga (ZNGA) 30-day option implied volatility is at 42; compared to its 52-week range of 23 to 123 amid stay at home entertainment. Call put ratio 6.4 calls to 1 put.

Gamestop (GME) 30-day option implied volatility is at 141; compared to its 52-week range of 36 to 227.

Take-Two Interactive (TTWO) 30-day option implied volatility is at 45; compared to its 52-week range of 25 to 80 amid stay at home entertainment. Call put ratio 5.5 calls to 1 put with focus on June weekly calls.

Twillio (TWLO) 30-day option implied volatility is at 64; compared to its 52-week range of 33 to 97 amid stay at home services.

The Russell Reconstitution Friday, May 8

Increasing unusual option volume: AXL LEG LOGI SVMK BILL GTT CARS RIOT HEAR SIG
Increasing unusual call option volume: LOGI AXL EAT RIOT DISH HEAR PSTI SIG
Increasing unusual put option volume: CS XLC BILL RIOT KGC PAGS TWLO
Options with decreasing option implied volatility: APT APA W TEVA TWNK ROKU UBER LYFT BKNG SQ
Active options: TSLA AAPL UBER ROKU DIS AMD BYND TWTR BA BABA MSFT BAC AAL WORK AMZN FB NVDA NFLX SPCE PTON