Mid-session IV Report September 14, 2020

Mid-session IV Report September 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: IMMU SHY GRPN CCX HL APA SHAK

Popular stocks with increasing unusual volume: PFE IMMU WMT GILD PTON

Immunomedics (IMMU) IV and put volume increases

Immunomedics (IMMU) September out of the money put option implied volatility is at 130, October is at 94; compared to its 52-week range of 50 to 139 after Gilead (GILD) announced acquiring for $21B. Call put ratio 1 call to 4.6 put with focus out of the money puts.

Events

Pfizer (PFE) September call option implied volatility is at 28, October is at 30; compared to its 52-week range of 15 to 72 into two-day virtual investor meeting on September 15. Call put ratio 6.5 calls to 1 put with focus on September calls.

Kraft Heinz (KHC) September call option implied volatility is at 55, October is at 33; compared to its 52-week range of 20 to 89 into investor day on September 15. Call put ratio 2.2 calls to 1 put with focus on September and October calls.

Moderna (MRNA) September call option implied volatility is at 83, October is at 96; compared to its 52-week range of 51 to 173 into R&D day before the bell on September 17. Call put ratio 2.2 calls to 1 put.

Nikola (NKLA) September weekly call option implied volatility is at 199, October is at 170; compared to its 52-week range of 67 to 305. Call put ratio 1 call to 1.3 puts with focus on September options.

IV and volume up for stocks reporting this week

Lennar (LEN) September call option implied volatility is at 78, October is at 50; compared to its 52-week range of 20 to 160 into the expected release of quarter results after the bell the on September 14.

Adobe (ADBE) September call option implied volatility is at 80, October is at 58; compared to its 52-week range of 18 to 86 into the expected release of quarter results after the bell the on September 15.

Cracker Barrel (CBRL) September call option implied volatility is at 67, October is at 41; compared to its 52-week range of 18 to 183 into the expected release of quarter results before the bell the on September 15.

FedEx (FDX) September call option implied volatility is at 125, October is at 73; compared to its 52-week range of 22 to 138 into the expected release of quarter results after the bell the on September 15. Call put ration 6.2 calls to 1 put with focus on October 210 calls.

Herman Miller (MLHR) September call option implied volatility is at 130, October is at 81; compared to its 52-week range of 24 to 128 into the expected release of quarter results after the bell the on September 16.

Apogee Enterprises (APOG) September call option implied volatility is at 103, October is at 61; compared to its 52-week range of 23 to 126 into the expected release of quarter results before the bell the on September 17. Call put ratio 6 calls to 1 put.

Etsy (ETSY) September call option implied volatility is at 67, October is at 60; compared to its 52-week range of 35 to 135. Call put ratio 4.3 calls to 1 put with focus on September 115 calls.

Nike (NKE) September call option implied volatility is at 30, October is at 37; compared to its 52-week range of 16 to 112 as shares near record high.

Increasing unusual option volume: MLHR SAVA MXEF DAVA IMMU GILD
Increasing unusual call option volume: SAVA IEF DVA XME SGMS KNX GILD
Increasing unusual put option volume: IMMU CSIQ EOG IFF MXEF ORCL
Options with decreasing option implied volatility: CRON CLVS BHC ZNGA ITCI GME
Active options: AAPL TSLA NKLA ORCL NVDA MSFT AMD MU FB BAC SNAP T BA PTON NIO AAL WMT WFC GILD