Mid-session IV Report September 28, 2020

Mid-session IV Report September 28, 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: MESO MRNA LAC CVM APRN SPCE PINS U BIIB FEYE

Popular stocks with increasing unusual volume: WKHS SPCE BIIB SQ SNAP UBER

SPY QQQ & IWM puts more active than calls into Trump Biden debate, end of month and quarter

SPDR S&P 500 ETF Trust (SPY) October weekly call option implied volatility is at 26, 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 1.4 puts.

PowerShares QQQ Trust (QQQ) October weekly call option implied volatility is at 33, October is at 31; compared to its 52-week range of 12 to 79. Call put ratio 1 call to 1.8 puts.

iShares Russell 2000 ETF (IWM) October weekly call option implied volatility is at 36, October is at 31; compared to its 52-week range of 12 to 81. Call put ratio 1 call to 3.9 puts with focus on January 136 puts.

Amazon (AMZN) October call option implied volatility is at 42, October is at 43, November is at 52; compared to its 26-week range of 17 to 69 after announces Prime Day event on October 13 & 14.

Alibaba (BABA) October weekly call option implied volatility is at 41, October is at 37, November is at 42; compared to its 52-week range of 22 to 63 into Virtual investor day that continues through Wednesday. Call put ratio 2.7 calls to 1 put with focus on October weekly 280 calls. BABA singles day is November 11.

AAPL, UBER & WKHS calls active

Apple (AAPL) 30-day option implied volatility is at 48; compared to its 52-week range of 18 to 90. Call put ratio 2.8 calls to 1 put with focus on January 135 calls.

Uber (UBER) October weekly call option implied volatility is at 53, October is at 51, November is a 59; compared to its 26-week range of 36 to 201 after judge says can continue operating in London. Call put ratio 3.9 calls to 1 put with focus on October weekly and October 37 calls.

Lyft (LYFT) 30-day option implied volatility is at 64; compared to its 26-week range of 38 to 195 as shares rally 1.7%.

WorkHorse (WKHS) call put ratio 2.8 calls to 1 put with focus on October weekly 27, 27.5 and 28 calls as shares rally 9%.

Option volume increases into quarter results

United Natural Foods (UNFI) October call option implied volatility is at 112, November is at 81; compared to its 52-week range of 55 to 175 into the expected release of quarter results today after the bell. Call put ratio 9.5 calls to 1 put with focus on October 20 and 22.50 calls.

Manchester United (MANU) 30-day option implied volatility is at 39; compared to its 52-week range of 19 to 101 into the expected release of quarter results today.

Sina (SINA) 30-day option implied volatility is at 12; compared to its 52-week range of 23 to 92 into the expected release of quarter results today. Call put ratio 1.3 calls to 1 put.

McCormick & Co (MKC) October call option implied volatility is at 36, November is at 31; compared to its 52-week range of 17 to 74 into the expected release of quarter results before the bell on September 29. Call put ratio 4.5 calls to 1 put with focus on October 200 and 210 calls.

Micron (MU) October weekly call option implied volatility is at 87, October is at 59; 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 1 call to 1 put.

Progress Software (PRGS) October option implied volatility is at 51, November is at 43; compared to its 52-week range of 26 to 98 into the expected release of quarter results after the bell on September 29. Call put ratio 27 calls to 1 put with focus on October 40 calls.

NovaGold (NG) October option implied volatility is at 63, November is at 62; compared to its 52-week range of 36 to 122 into the expected release of quarter results before the bell on September 30. Call put ratio 10 calls to 1 put with focus on October 12 calls.

Bed Bath & Beyond (BBBY) October weekly call option implied volatility is at 182, October is at 110, November is at 93; compared to its 52-week range of 47 to 214 into the expected release of quarter results before the bell on October 1.

Conagra Brands (CAG) October weekly call option implied volatility is at 66, October is at 40; compared to its 52-week range of 47 to 214 into the expected release of quarter results before the bell on October 1. Call put ratio 2.8 calls to 1 put.

Constellation Brands (STZ) October weekly call option implied volatility is at 58, October is at 38; compared to its 52-week range of 19 to 93 into the expected release of quarter results after the bell on October 1. Call put ratio 1 call to 1.9 puts.

PepsiCo (PEP) October weekly call option implied volatility is at 37, October is at 25, November is at 23; compared to its 52-week range of 12 to 72 into the expected release of quarter results before the bell on October 1. Call put ratio 6.4 calls to 1 put with focus on October weekly 138, 139 and 140 calls.

Increasing unusual option volume: LAC GLNG RIO MJ GNW MKC BIIB KBE
Increasing unusual call option volume: LAC GLNG MKC SWK FOXA BHC SINA BG ZTO PACB NUE PEP SFIX
Increasing unusual put option volume: MJ KBE RIO MTCH ERIC FAZ GNW F WY SINA DVN CB
Options with decreasing option implied volatility: LI TSLA SFIX CMCSA SIRI BHC NKE VALE COST
Active options: AAPL TSLA F AAL BA BAC SPCE AMD MSFT NIO INO NKLA ZM SNAP UBER AMZN JPM SQ NVDA FB