Mid-session IV Report September 29, 2020

Mid-session IV Report September 29, 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: TWTR BIIB SKX VIPS MU AIG

Popular stocks with increasing unusual volume: DKNG AAL ZM SNAP PTON BYND

Nikola (NKLA) October weekly call option implied volatility is at 201, October is at 194, November is at 180; compared to its 52-week range of 66 to 304 into General Motors (GM) and Nikola partnership transaction agreement closing on its deadline of September 30. Call put ratio 1 call to 2.4 puts.

Biogen (BIIB) October weekly call option implied volatility is at 30, October is at 27, November is at 66; compared to its 52-week range of 25 to 63 into a FDA panel to discuss Biogen Alzheimer’s application on November 6. Call put ratio 1.6 calls to 1 put with focus on October and January options.

VMware (VMW) October weekly call option implied volatility is at 34, October is at 31; compared to its 52-week range of 22 to 88 into VMworld 2020. Call put ratio 1.2 calls to 1 put.

Stitch Fix (SFIX) October weekly call option implied volatility is at 64, October is at 40, November is at 34; compared to its 52-week range of 45 to 133 after Amazon (AMZN) launches $4.99 per month personal shopping service for men. Call put ratio 11.7 calls to 1 put with focus on October weekly (2) 28 calls.

Micron (MU) October weekly call option implied volatility is at 88, October is at 63; compared to its 52-week range of 31 to 114 into the expected release of quarter results today after the bell. Call put ratio 1.5 calls to 1 put.

Progress Software (PRGS) October option implied volatility is at 58, November is at 42; compared to its 52-week range of 26 to 98 into the expected release of quarter results today after the bell. Call put ratio 5.4 calls to 1 put with focus on October 40 and 45 calls.

NovaGold (NG) October option implied volatility is at 64, 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 1.2 calls to 1 put.

Bed Bath & Beyond (BBBY) October weekly call option implied volatility is at 185, October is at 116, 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 73, October is at 41, November is at 34; 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 6.5 calls to 1 put.

Constellation Brands (STZ) October weekly call option implied volatility is at 61, October is at 32; 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 4.3 calls to 1 put.

PepsiCo (PEP) October weekly call option implied volatility is at 39, October is at 26, November is at 26; 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 8.2 calls to 1 put with focus on October weekly 140 calls.

Option implied volatility for Tanker companies

Teekay Tankers Ltd (TNK) 30-day option implied volatility is at 73; compared to its 52-week range of 64 to 182.

International Seaways (INSW) 30-day option implied volatility is at 30; compared to its 52-week range of 30 to 138.

Euronav (EURN) 30-day option implied volatility is at 44; compared to its 52-week range of 37 to 148.

Scorpio Tankers (STNG) 30-day option implied volatility is at 84; compared to its 52-week range of 49 to 208.

Option implied volatility for refiner companies

Phillips 66 (PSX) 30-day option implied volatility is at 50; compared to its 52-week range of 17 to 118.

Marathon Petroleum (MPC) 30-day option implied volatility is at 57; compared to its 52-week range of 29 to 136.

Valero Energy (VLO) 30-day option implied volatility is at 53; compared to its 52-week range of 22 to 145.

Increasing unusual option volume: MKC GLNG HIMX SOGO BHP MTG UNFI ICLN MYOV MAG FIT LAC
Increasing unusual put option volume: MKC GLNG MTG HIMX BHP KBE FIT MAG UNFI ICLN BHR SKX
Increasing unusual put option volume: WY GLNG UNFI TNDM BB ZTO FVRR VIPS BKLN
Options with decreasing option implied volatility: CLVS LI SFIX TSLA DRI VALE XLC IMMU NKE ORCL COST
Active options: AAPL BYND NIO TSLA AMD FB SQ MU BA SPCE BAC DKNG AAL NVDA ZM SNAP MSFT PTON AMZN BABA