Mid-session IV Report September 25, 2020

Mid-session IV Report September 25, 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: NKLA PAA DB INTC MESO TRNE BLNK U PEN MAT MDB

Popular stocks with increasing unusual volume: PTON CCL AAL WKHS

SPY QQQ & IWM IV into Trump Biden debate, end of month and quarter

SPDR S&P 500 ETF Trust (SPY) October weekly call option implied volatility is at 25, October is at 24; compared to its 52-week range of 10 to 77 into Trump Biden debate, end of month and quarter. Call put ratio 1 call to 1.3 puts.

PowerShares QQQ Trust (QQQ) October weekly call option implied volatility is at 34, October is at 33; compared to its 52-week range of 12 to 79. Call put ratio 1 call to 1.4 puts.

iShares Russell 2000 ETF (IWM) October weekly call option implied volatility is at 34, October is at 32; compared to its 52-week range of 12 to 81. Call put ratio 1 call to 1.7 puts.

Cruise Line upgrades

Norwegian Cruise Line (NCLH) September weekly call option implied volatility is at 155, October is at 86; compared to its 52-week range of 20 to 267 as shares rally 9%. Call put ratio 4.2 calls to 1 put with focus on September weekly calls.

Carnival Corp. (CCL) September weekly call option implied volatility is at 135, October is at 84; compared to its 52-week range of 18 to 267. Call put ratio 3.3 calls to 1 put as shares rally 4.5%.

Royal Caribbean Cruises (RCL) September weekly call option implied volatility is at 120, October is at 73; compared to its 52-week range of 20 to 271 as shares rally 4.8%.

New Tech IPO option implied volatility

Snowflake (SNOW) October weekly call option implied volatility is at 90, October is at 88, November is at 84; amid its 2nd day of option trading. Call put ratio 1 call to 1.2 put with focus on October weekly puts.

Unity Software (U) October call option implied volatility is at 99, November is at 97; as shares rally 11%. Call put ratio 6.1 calls to 1 put.

JFrog (FROG) October call option implied volatility is at 95, November is at 90 as shares rally 4.6%. Call put ratio 2.7 calls to 1 put with focus on October calls.

Boeing (BA) October weekly call option implied volatility is at 54, October is at 55; compared to its 52-week range of 23 to 223 after Boeing 737 MAX parts maker Impresa files for bankruptcy, WSJ reports. Call put ratio 3 calls to 1 put as shares rally 3%.

Airline parts maintenance companies

Spirit AeroSystems (SPR) October call option implied volatility is at 75, November is at 85; compared to its 52-week range of 23 to 159 after Boeing (BA) 737 MAX parts maker Impresa files for bankruptcy, WSJ reports. Call put ratio 4 calls to 1 put as shares rally 2.3%.

AAR Corp. (AIR) October call option implied volatility is at 52, November is at 60; compared to its 52-week range of 23 to 180. Call put ratio 23 calls to 1 put as shares rally 7.8%.

Heico Corp. (HEI) 30-day option implied volatility is at 39; compared to its 52-week range of 20 to 103 after Boeing (BA) 737 MAX parts maker Impresa files for bankruptcy, WSJ reports.

Micron (MU) October weekly call option implied volatility is at 76, October is at 58; compared to its 52-week range of 31 to 114 into the expected release of quarter results after the bell on September 29. Call put ratio 3.8 calls to 1 put with focus on October weekly 49 calls.

Ishares Silver Trust (SLV) October weekly option implied volatility is at 49, October is at 43; compared to its 52-week range of 14 to 94 into silver trending lower. Call put ratio 2.23 calls to 1 put.

MongoDB (MDB) October call option implied volatility is at 70, November is at 57; compared to its 52-week range of 40 to 125 as shares rally 6.4%. Call put ratio 5.5 calls to 1 put with focus on September weekly 230 calls.

Increasing unusual option volume: ESI ABEV NAV BGCP GLNG HUN KAR MDB
Increasing unusual call option volume: MDB ABEV BGCP GLNG KAR EWW PAGP NAV EB
Increasing unusual put option volume: WB NYCB DISCA VNO IVZ APTV CG LI TCO
Options with decreasing option implied volatility: FLDM SFIX COST TSLA CRON HPE NKE
Active options: AAPL TSLA ZM AMD BA AMZN COST MSFT NKLA FB NIO NCLH WKHS NVDA BAC CCL AAL BABA PTON MU