Mid-session IV Report November 12, 2019

Mid-session IV Report November 12, 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: HPQ ONCE FIT CRON BAX TUP CLVS OSTK AMRN AM IMMU BKLN AZO CIEN AOBC​
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Popular stocks with increasing unusual volume: AMRN M UBER NIO BYND​
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IV into President Trump speech today before Economics Club of New York. Fed Chair Jerome Powell is scheduled to testify on the economic outlook before the Joint Economic Committee on November 13.​
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S&P Dep Receipts (SPY) November call option implied volatility is at 10; December is at 11; compared to its 52-week range of 10 to 32. Call put ratio 1 call to 1.3 puts. ​
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PowerShares QQQ Trust (QQQ) November call option implied volatility is at 14; December is at 15; compared to its 52-week range of 14 to 37. Call put ratio 1 call to 1.1 puts. ​
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Disney (DIS) November call option implied volatility is at 25, December is at 20; compared to its 52-week range of 15 to 33 into Disney+ rollout. Call put ratio 6.9 calls to 1 put with focus on November 138 and 140 calls. ​

Amarin Corp. (AMRN) November call option implied volatility is at 300, December is at 195; compared to its 52-week range of 55 to 136 into the FDA posted briefing documents ahead of the November 14 Advisory Committee Meeting to discuss the benefits and risks of Vascepa for an indication to reduce the risk of cardiovascular events as an adjunct to statin therapy in adult patients with elevated triglyceride levels and other risk factors for cardiovascular disease.​

PG&E (PCG) November call option implied volatility is at 184, December is at 151; compared to its 52-week range of 28 to 254 as shares rally 15%. Call put ratio 2.4 calls to 1 put.

Dillards (DDS) November call option implied volatility is at 51, puts at 64, December is at 61; compared to its 52-week range of 35 to 80 into the expected release of quarter results. Call put ratio 1 call to 1 put.​

Skyworks (SWKS) November call option implied volatility is at 86, December is at 36; compared to its 52-week range of 26 to 54 into the expected release of quarter results after the bell on November 12. Call put ratio 2.2 calls to 1 put with focus on November 101 calls and December 100 calls.​

Applied Material (AMAT) November call option implied volatility is at 61, December is at 31; compared to its 52-week range of 29 to 55 into the expected release of quarter results on November 13. Call put ratio 3.5 calls to 1 put with focus on November 57 calls. ​

Beazer Homes (BZH) November call option implied volatility is at 90, December is at 48; compared to its 52-week range of 38 to 75 into the expected release of quarter results after the bell on November 13.​

Canadian Goose (GOOS) November call option implied volatility is at 159, December is at 61; compared to its 52-week range of 42 to 82 into the expected release of quarter results on November 13.​

Cisco (CSCO) November call option implied volatility is at 62, December is at 27; compared to its 52-week range of 17 to 42 into the expected release of quarter results after the bell on November 13. Call put ratio 2.8 calls to 1 put with focus on November 49 calls. ​

Luckin Coffee (LK) November call option implied volatility is at 159, December is at 74; compared to its 52-week range of 53 to 120 into the expected release of quarter results on November 13.​

NetApp (NTAP) November call option implied volatility is at 118, December is at 45; compared to its 52-week range of 23 to 52 into the expected release of quarter results after the bell on November 13. Call put ratio 2.3 calls to 1 put.​

Vipshop (VIPS) November call option implied volatility is at 147, December is at 62; compared to its 52-week range of 46 to 88 into the expected release of quarter results before the bell on November 13. Call put ratio 10.6 calls to 1 put with focus on November 12 and 14 calls. ​

Williams Sonoma (WSM) November call option implied volatility is at 30, December is at 36; compared to its 52-week range of 26 to 55 into the expected release of quarter results on November 13.​
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NVIDIA (NVDA) November call option implied volatility is at 88, December is at 39; compared to its 52-week range of 33 to 71 into the expected release of quarter results after the bell on November 14. Call put ratio 2.3 calls to 1 put with focus on November 210 and 215 calls. ​

Walmart (WMT) November call option implied volatility is at 54, December is at 22; compared to its 52-week range of 14 to 30 into the expected release of quarter results before the bell on November 14. Call put ratio 1.7 calls to 1 put.
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Nordstrom (JWN) November call option implied volatility is at 41, December is at 55; compared to its 52-week range of 29 to 75 into the expected release of quarter results on November 21.​

Increasing unusual option volume: PCG FB HASI ALLT BREW ERJ AAP ENR BKLN ROK RETA KEM AMRN MNST EXPD​
Increasing unusual call option volume: KHC BREW ERJ TUR ROK KEM DCPH EWJ VIPS ​
Increasing unusual put option volume: KSS MNST AAP MTSI YINN BKLN CAH RUN​
Options with decreasing option implied volatility: OMI CARB ANGI RGEN QRTEA ONB TNDM BE CLVS HUM FLSR PCG MRVL ​
Active options November 12: AAPL AMRN DIS ROKU MSFT TSLA M FB AMD JD BA NFLX MU BABA UBER BYND GE AMZN SBUX NIO​
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