Mid-session IV Report October 15, 2020

Mid-session IV Report October 15, 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: LLNW NIO NET WMB EWW LLNW FUV BHC APA PLTR BP NAV FSLY NET AKAM CLDR KO

Popular stocks with increasing unusual volume: ZM DKNG JD XOM GME CCL PTON AAL FSLY

Fastly, Inc. (FSLY) October call option implied volatility is at 155, November is at 103; compared to its 52-week range of 53 to 144 after lowering Q3 revenue outlook. Call put ratio 1 call to 1.1 puts as shares sell off 27%.

Cloudflare (NET) October call option implied volatility is at 140, November is at 86; compared to its 52-week range of 50 to 119 after cloud peer Fastly (FSLY) lowered Q3 revenue outlook. Call put ratio 2.5 calls to 1 put as shares sell off 10%.

Akamai (AKAM) October call option implied volatility is at 24, November is at 34; compared to its 52-week range of 20 to 70 after cloud peer Fastly (FSLY) lowered Q3 revenue outlook. Call put ratio 4.1 calls to 1 put with focus on October weekly (30) calls as shares sell off 3.6%.

Cloudera, Inc. (CLDR) October call option implied volatility is at 66, November is at 70; compared to its 52-week range of 41 to 124. Call put ratio 13 calls to 1 put with focus on October weekly calls.

Datadog, Inc. (DDOG) October and November call option implied volatility is at 74; compared to its 52-week range of 53 to 105. Call put ratio 1.4 calls to 1 put.

Wayfair (W) October call option implied volatility is at 74, November is at 84; compared to its 52-week range of 41 to 210 into the expected release of quarter results on November 3.

Shopify (SHOP) October call option implied volatility at 53, November is at 58; compared to its 52-week range of 40 to 124 as shares sell off 1.8%.

Navistar (NAV) October call option implied volatility is at 160, November is at 67; compared to its 52-week range of 16 to 259 a after Traton set a October 16 as deadline for $43 per share Navistar offer. Call put ratio 1.9 calls to 1 put.

Option implied volatility into quarter results

Del Taco (TACO) October call option implied volatility is at 230, November is at 80; compared to its 52-week range of 34 to 286 into the expected release of quarter results today after the bell. Call put ratio 21 calls to 1 put with focus on October 10 calls.

Intuitive Surgical (ISRG) October call option implied volatility is at 88, November is at 37; compared to its 52-week range of 20 to 101 into the expected release of quarter results today after the bell. Call put ratio 1.8 calls to 1 put.

Ally Financial (ALLY) October call option implied volatility is at 88, November is at 49; compared to its 52-week range of 21 to 192 into the expected release of quarter results before the bell on October 16. Call put ratio 4.5 calls to 1 put with focus on October 26 calls.

Bank of New York (BK) October call option implied volatility is at 80, November is at 33; compared to its 52-week range of 18 to 118 into the expected release of quarter results before the bell on October 16. Call put ratio 1 call to 7.7 put with focus on October 39 puts.

Kansas City Southern (KSU) October call option implied volatility is at 67, November is at 29; compared to its 52-week range of 18 to 82 into the expected release of quarter results before the bell on October 16. Call put ratio 4.8 calls to 1 put with focus on October 185 calls.

Schlumberger (SLB) October call option implied volatility is at 94, November is at 59; compared to its 52-week range of 28 to 174 into the expected release of quarter results before the bell on October 16.

State Street (STT) October call option implied volatility is at 90, November is at 57; compared to its 52-week range of 23 to 112 into the expected release of quarter results before the bell on October 16.

V.F. Corp (VFC) October call option implied volatility is at 111, November is at 43; compared to its 52-week range of 18 to 108 into the expected release of quarter results before the bell on October 16. Call put ratio 1 call to 3.7 puts with focus on October 76 puts.

Increasing unusual option volume: SNBR FUV IMGN UL SMSI AVLX PK NK HUN FSLY NAV
Increasing unusual call option volume: CARS FUV TIF ELY FUV SMSI NK AVXL OMC LLNW GERN DKS
Increasing unusual put option volume: AMCX TFC VRTX ILMN GES NET AA FRO PK HST GES JKS FSLY VFC FRO
Options with decreasing option implied volatility: CRON MS BAC C JPM VOD AAOI BHC CGC GPRO UAL FAST BLK BHC
Active options: AAPL NIO TSLA FSLY BAC ZM AMZN AMD NFLX BA FB BABA MSFT UAL DKNG AAL WBA PTON BIDU WFC JD XOM