Mid-session IV Report September 23, 2020

Mid-session IV Report September 23, 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: COST DRI JBL TCO SNAP CMG INTC BSX MIK ALB GOLD FIT

Popular stocks with increasing unusual volume: PINS VALE GOOS GIS TWTR ZM PTON NKE

Snowflake (SNOW) October call option implied volatility is at 93, November is at 80 amid its first day of option trading. Call put ratio 2.1 calls to 1 put with focus on October 250 calls.

Johnson & Johnson (JNJ) 30-day option implied volatility is at 24; compared to its 52-week range of 14 to 70 into initiates global Phase 3 trial of COVID-19 vaccine candidate. Call put ratio 5.2 calls to 1 put as shares up 1.2%.

Lithium Americas Corp (LAC) October call option implied volatility is at 120, November is at 125; compared to its 52-week range of 81 to 205 after shares sold off 15%. Call put ratio 5.6 calls to 1 put amid Tesla (TSLA) announced their own lithium mine with a new, lower-cost and more sustainable process.

Inovio Pharma (INO) September weekly call option implied volatility is at 315, October is at 190; compared to its 52-week range of 64 to 392 after mentioned cautiously again at Citron Research. Call put ratio 1.5 calls to 1 put as shares sell off 9.7%.

Revlon (REV) 30-day option implied volatility is at 134; compared to its 52-week range of 52 to 177 as shares are down 70% for the year. Call put ratio 1 call to 77 puts with focus on February 2.5 puts.
IV for stocks releasing quarter results and outlook

H.B. Fuller (FUL) October call option implied volatility is at 45, November is at 29; compared to its 52-week range of 23 to 116 into the expected release of quarter results today after the bell. Call put ratio 33 calls to 1 put.

BlackBerry (BB) September weekly call option implied volatility is at 175, October is at 70; compared to its 52-week range of 32 to 145 into the expected release of quarter results before the bell on September 24. Call put ratio 15 calls to 1 put with focus on September weekly 5 calls.

Accenture (ACN) September weekly call option implied volatility is at 70, October is at 34; compared to its 52-week range of 14 to 93 into the expected release of quarter results before the bell the bell on September 24.

CarMax (KMX) September weekly call option implied volatility is at 121, October is at 51; compared to its 52-week range of 21 to 129 into the expected release of quarter results before the bell the bell on September 24. Call put ratio 4.7 calls to 1 put with focus on September weekly calls.

Costco (COST) September weekly call option implied volatility is at 66; October is at 32; compared to its 52-week range of 14 to 76 into the expected release of quarter results on September 24. Call put ratio 3.6 calls to 1 put with focus on September weekly 350 calls.

Darden Restaurants (DRI) October call option implied volatility is at 58, November is at 52; compared to its 52-week range of 17 to 215 into the expected release of quarter results before the bell the bell on September 24. Call put ratio 3.4 calls to 1 put with focus on October calls.

Jabil (JBL) September weekly call option implied volatility is at 100, October is at 52; compared to its 52-week range of into the expected release of quarter results before the bell the bell on September 24. Call put ratio 3.9 calls to 1 put.

Vail Resorts (MTN) October call option implied volatility is at 43, November is at 38; compared to its 52-week range of into the expected release of quarter results after the bell the bell on September 24. Call put ratio 2.8 calls to 1 put.

Option implied volatility for Hospital groups

Community Health (CYH) 30-day option implied volatility is at 102; compared to its 52-week range of 62 to 540.

HCA Healthcare (HCA) 30-day option implied volatility is at 43; compared to its 52-week range of 18 to 167.

Tenet (THC) 30-day option implied volatility is at 73; compared to its 52-week range of 35 to 165.
Universal Health (UHS) 30-day option implied volatility is at 46; compared to its 52-week range of 18 to 129.

Molina Healthcare (MOH) 30-day option implied volatility is at 47; compared to its 52-week range of 31 to 95 as shares down 1.6%.

Anthem (ANTM) 30-day option implied volatility is at 36; compared to its 52-week range of 21 to 97 as shares rally 0.9%.

Centene (CNC) 30-day option implied volatility is at 44; compared to its 52-week range of 28 to 122.

Humana (HUM) 30-day option implied volatility is at 34; compared to its 52-week range of 22 to 100.

UnitedHealth (UNH) 30-day option implied volatility is at 34; compared to its 52-week range of 19 to 94.

CVS Health (CVS) 30-day option implied volatility is at 31; compared to its 52-week range of 19 to 88.

Walgreens Boots Alliance (WBA) 30-day option implied volatility is at 41; compared to its 52-week range of 19 to 88 into the expected release of quarter results in late October.

Cigna (CI) 30-day option implied volatility is at 35; compared to its 52-week range of 23 to 100.

Health Care Select Sect Fd (XLV) 30-day option implied volatility is at 22; compared to its 52-week range of 11 to 71.

Increasing unusual option volume: NAV IMAX WVE LAC EGO KMX VICI NKE
Increasing unusual call option volume: NAV IMAX WVE LAC NKE EGO KMX JBL
Increasing unusual put option volume: BZUN SFIX KMX NKE ACB MYL
Options with decreasing option implied volatility: LI SFIX CRON NLY RST
Active options: TSLA AAPL NKE TWTR ZM SNAP PTON FB AAL PINS ROKU NIO VALE AMZN BA MSFT AMD BAC MU WFC