Mid-session IV Report September 2, 2020

Mid-session IV Report September 2, 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: AMRN DOCU RKT PD CHWY PTON TSLA WMT VHC WORK

Popular stocks with increasing unusual volume: INTC DKNG GE TWTR WMT SNAP RKT PTON WORK

Intel (INTC) September weekly call option implied volatility is at 55, September is at 41; compared to its 52-week range of 20 to 99 into introducing new processors. Call put ratio 13.7 calls to 1 put with focus on September weekly 52 and 53 calls.

DraftKings (DKNG) September weekly call option implied volatility is at 98, September is at 92; compared to its 52-week range of 54 to 142 after Michael Jordan takes equity interest. Call put ratio 11 calls to 1 put with focus on September weekly 38 and 39 calls.

Zoom Video (ZM) September weekly call option implied volatility is at 89, September is at 75; compared to its 52-week range of 36 to 137. Call put ratio 1.1 calls to 1 put with focus on September weekly options.

Calls active as IV increases into tech results

Ambarella (AMBA) September weekly call option implied volatility is at 195, September is at 88; compared to its 52-week range of 33 to 111 into the expected release of quarter results today after the bell. Call put ratio 5.2 calls to 1 put.

Cloudera (CLDR) September weekly call option implied volatility is at 291, September is at 131; compared to its 52-week range of 41 to 124 into the expected release of quarter results today after the bell. Call put ratio 3 calls to 1 put with focus on September 14 calls.

CrowdStrike Holdings Inc. (CRWD) September weekly call option implied volatility is at 290, September is at 130; compared to its 52-week range of 50 to 117 into the expected release of quarter results today after the bell. Call put ratio 2.7 calls to 1 put with focus on September weekly 140 and 145 calls.

Rocket Cos (RKT) September call option implied volatility is at 192, October is at 165; compared to its 52-week range of 77 to 138 into the expected release of quarter results today. Call put ratio 7.4 calls to 1 put with focus on September 35 calls after recent IPO.

Zuora (ZUO) September call option implied volatility is at 160, October is at 103; compared to its 52-week range of 36 to 114 into the expected release of quarter results today after the bell. Call put ratio 21 calls to 1 put with focus on September 16, 17 and 18 calls.

Five Below (FIVE) September weekly call option implied volatility is at 134, September is at 71; compared to its 52-week range of 29 to 138 into the expected release of quarter results today after the bell. Call put ratio 2.3 calls to 1 put.

Broadcom (AVGO) September weekly call option implied volatility is at 101, September is at 55; compared to its 52-week range 21 to 95 into the expected release of quarter results after the bell on September 3. Call put ratio 4.6 calls to 1 put.

Campbell Soup (CPB) September weekly call option implied volatility is at 91, September is at 41; compared to its 52-week range 16 to 76 into the expected release of quarter results before the bell on September 3. Call put ratio 9.2 calls to 1 put with focus on September weekly 52 and 52.50 calls.

DocuSign (DOCU) September weekly call option implied volatility is at 330, September is at 150; compared to its 52-week range 28 to 108 into the expected release of quarter results after the bell on September 3. Call put ratio 3.5 calls to 1 put with focus on September weekly calls.

National Beverage (FIZZ) September call option implied volatility is at 81, October is at 69; compared to its 52-week range 38 to 117 into the expected release of quarter results on September 3. Call put ratio 2.5 calls to 1 put.

Signet Jewelers (SIG) September weekly call option implied volatility is at 226 September is at 122; compared to its 52-week range 56 to 233 into the expected release of quarter results on September 3. Call put ratio 2.5 calls to 1 put.

Toro (TTC) September call option implied volatility is at 36, October is at 20; compared to its 52-week range of 17 to 75 into the expected release of quarter results before the bell on September 3. Call put ratio 41 calls to 1 put.

Ciena (CIEN) September weekly call option implied volatility is at 151, September is at 63; compared to its 52-week range 24 to 88 into the expected release of quarter results before the bell on September 3. Call put ratio 2.6 calls to 1 put.

Increasing unusual option volume: MTDR JAMF VHC ZUO XRAY DOCU CLDR CRWD
Increasing unusual call option volume: JAMF ZUO VHC GES SPWH UTZ BIGC SDC HRB HOME GOGO
Increasing unusual put option volume: MTDR TECK GES MLCO GFI HOME PD AMRN CLDR WSM CRWD
Options with decreasing option implied volatility: WW ANF APT BOX M DELL
Active Options: AAPL MSFT INTC AMD SNAP DKNG NIO NVDA WMT M ZM FB BAC RKT SDC AMZN AMC PTON MU