Mid-session IV Report October 14, 2020

Mid-session IV Report October 14, 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: AGI CGC AMC WDR MDRX CVM NIO GRUB

Popular stocks with increasing unusual volume: DKNG PTON AMC AAL ZM BIDU QCOM
5G chip stocks

Marvell (MRVL) 30-day option implied volatility is at 44; compared to its 52-week range of 27 to 99 amid expectations of 5G in 2021.

MACOM (MTSI) 30-day option implied volatility is at 68; compared to its 52-week range of 38 to 132 amid expectations of 5G in 2021.

Analog Devices (ADI) 30-day option implied volatility is at 36; compared to its 52-week range of 22 to 94 amid expectations of 5G in 2021.

Logitech (LOGI) 30-day option implied volatility is at 45; compared to its 52-week range of 19 to 85 amid home office expansion. Call put ratio 4.9 calls to 1 put as shares near record high.

Option implied volatility into quarter results

Alcoa (AA) October call option implied volatility is at 102, November is at 62; compared to its 52-week range of 36 to 181 into the expected release of quarter results today after the bell. Call put ratio 6.4 calls to 1 put with focus on October 14 calls.

United Airlines (UAL) October call option implied volatility is at 96, November is at 72; compared to its 52-week range of 20 to 421 into the expected release of quarter results today after the bell. Call put ratio 1.8 calls to 1 put.

Commercial Metals (CMC) October call option implied volatility is at 65, November is at 41; compared to its 52-week range of 28 to 146 into the expected release of quarter results before the bell on October 15.

Del Taco (TACO) October call option implied volatility is at 180, November is at 73; compared to its 52-week range of 34 to 286 into the expected release of quarter results after the bell on October 15. Call put ratio 277 calls to 1 put with focus on October 10 calls.

Intuitive Surgical (ISRG) October call option implied volatility is at 68, November is at 37; compared to its 52-week range of 20 to 101 into the expected release of quarter results after the bell on October 15. Call put ratio 3.1 calls to 1 put.

Morgan Stanley (MS) October call option implied volatility is at 60, November is at 37; compared to its 52-week range of 19 to 121 into the expected release of quarter results before the bell on October 15. Call put ratio 2.2 calls to 1 put.

Taiwan Semiconductor (TSM) October call option implied volatility is at 71, November is at 46; compared to its 52-week range of 20 to 75 into the expected release of quarter results on October 15. Call put ratio 4.2 calls to 1 put.

Truist Financial (TFC) October call option implied volatility is at 55, November is at 39; compared to its 52-week range of 17 to 116 into the expected release of quarter results before the bell on October 15. Call put ratio 2.7 calls to 1 put.

Walgreens Boots (WBA) October call option implied volatility is at 96, November is at 41; compared to its 52-week range of 22 to 88 into the expected release of quarter results after the bell on October 15. Call put ratio 2.8 calls to 1 put.

Verra Mobility (VRRM) October 12.50 calls active as shares rally 3.9%

Waddell & Reed Financial (WDR) October 17.50 calls active as shares rally 5.3%

Cubic Corp. (CUB) call put ratio 75 calls to 1 put with focus on October 60 calls as shares rally 3%

Increasing unusual option volume: CXO RLGY NLSN AXTA QGEN INFY NEO PFF VRM WDR CUB
Increasing unusual call option volume: QGEN INFY PM VRM WDR CUB CXO FUV LI KNDI XPEV
Increasing unusual put option volume: CXO NLSN XLC WRK CYRK JKS AMC
Options with decreasing option implied volatility: CRON UA VOD DDD GPRO LL PLTR SSYS WMB SNOW
Active options: NIO AAPL TSLA BAC FB NFLX WFC T AMZN AMD DKNG PTON AMC AAL ZM BIDU MSFT BA QCOM GS