Mid-session IV Report September 15, 2020

Mid-session IV Report September 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: CRI WMGI FDX ADBE LAC SIRI RST

Popular stocks with increasing unusual volume: SQ TSM CMCSA DKNG C ORCL TSM ROKU

Apple (AAPL) September call option implied volatility is at 55, October is at 45; compared to its 52-week range of 18 to 90 into September event scheduled for today. Call put ratio 2.8 calls to 1 put with focus on September 117.50 and 118.75 call options.

Nikola (NKLA) September weekly call option implied volatility is at 165, October is at 184; compared to its 52-week range of 67 to 305 as shares sell off 6.8%. Call put ratio 1 call to 1 put with focus on September options.

IV and volume for stocks reporting quarter results

Adobe (ADBE) September call option implied volatility is at 88, October is at 49; compared to its 52-week range of 18 to 86 into the expected release of quarter results today after the bell. Call put ratio 2.3 calls to 1 put.

FedEx (FDX) September call option implied volatility is at 121, October is at 57; 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 2.5 calls to 1 put.

Herman Miller (MLHR) September call option implied volatility is at 135, October is at 61; compared to its 52-week range of 24 to 128 into the expected release of quarter results after the bell the on September 16. Call put ratio 2.8 calls to 1 put.

Apogee Enterprises (APOG) September call option implied volatility is at 134, 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.

IV for banks into Fed policy decision on Wednesday

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 31; compared to its 52-week range of 20 to 109 into FOMC policy decision on Wednesday. Call put ratio 4.9 calls to 1 put.

Spdr S&P Regional Banking Etf (KRE) 30-day option implied volatility is at 42; compared to its 52-week range of 17 to 127. Call put ratio 2.9 calls to 1 put.

Bank of America (BAC) 30-day option implied volatility is at 39; compared to its 52-week range of 17 to 124. Call put ratio 2.2 calls to 1 put.

Citigroup (C) 30-day option implied volatility is at 42; compared to its 52-week range of 18 to 146.

JPMorgan (JPM) 30-day option implied volatility is at 35; compared to its 52-week range of 15 to 119. Call put ratio 2.2 calls to 1 put.

Morgan Stanley (MS) 30-day option implied volatility is at 36; compared to its 52-week range of 19 to 120. Call put ratio 3.4 calls to 1 put.

State Street (STT) 30-day option implied volatility is at 40; compared to its 52-week range of 22 to 112. Call put ratio 2.3 calls to 1 put.

U.S. Bancorp (USB) 30-day option implied volatility is at 40; compared to its 52-week range of 14 to 121.

PNC Financial Services (PNC) 30-day option implied volatility is at 39; compared to its 52-week range of 16 to 115. Call put ratio 1 call to 1.6 puts.

Comerica (CMA) 30-day option implied volatility is at 40; compared to its 52-week range of 23 to 161. Call put ratio 5.9 calls to 1 put.

Zions Bancorp (ZION) 30-day option implied volatility is at 45; compared to its 52-week range of 20 to 100. Call put ratio 10 calls to 1 put as shares sell off 1%.

Fifth Third Bancorp (FITB) 30-day option implied volatility is at 45; compared to its 52-week range of 20 to 151. Call put ratio 6.4 calls to 1 put.

Regions Financial (RF) 30-day option implied volatility is at 44; compared to its 52-week range of 20 to 161. Call put ratio 5.3 calls to 1 put.

Citizens Financial (CFG) 30-day option implied volatility is at 49; compared to its 52-week range of 19 to 146. Call put ratio 5.8 calls to 1 put.

Ally Financial (ALLY) 30-day option implied volatility is at 53; compared to its 52-week range of 19 to 191. Call put ratio 4.3 calls to 1 put.

Schwab (SCHW) 30-day option implied volatility is at 36; compared to its 52-week range of 22 to 124 into the Fed policy decision on Wednesday. Call put ratio 1 call to 2.2 puts.

Square (SQ) all put ratio 3.6 calls to 1 put with focus on September 150 and 155 calls as shares rally 5.5%.

Comcast (CMCSA) call put ratio 5 calls to 1 put with focus on September 45.50 and 46.50 calls as shares rally 2.6%.

Increasing unusual option volume: TRGP MRNS IEF LAC FIZZ ANGI
Increasing unusual call option volume: MRNS FIZZ LAC MUR PVH SAVA
Increasing unusual put option volume: IMMU SIRI ACI IEF AEO QD QRVO CPRI
Options with decreasing option implied volatility: CRON CLVS ITCI ACB GME UA CHWY WORK ZS PLAY
Active options: AAPL TSLA NIO C AMD CCL MSFT DKNG NKLA FB BAC ORCL BA NVDA TSM AMZN INTC WMT ROKU SQ