Mid-session IV Report September 3, 2020

Mid-session IV Report September 3, 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: VHC GME CHWY DOCU PTON TSLA TLRY SDC JNPR MU TSM CLVS GRUB

Popular stocks with increasing unusual volume: RKT M WMT BYND CRWD CCL

Chip stocks calls active as shares pullback

Market Vectors Semiconductor ETF (SMH) September weekly call option implied volatility is at 34, September is at 32; compared to its 52-week range of 19 to 91 as shares sell off 3.6%.

Qualcomm (QCOM) September weekly call option implied volatility is at 39, September is at 38; compared to its 52-week range of 25 to 85 as shares sell off 2.9%. Call put ratio 1.8 calls to 1 put.

Skyworks (SWKS) September weekly call option implied volatility is at 47, September is at 40; compared to its 52-week range of 26 to 108 as shares sell off 5.8%. Call put ratio 1.7 calls to 1 put.

Applied Material (AMAT) September weekly call option implied volatility is at 53, September is at 43; compared to its 52-week range of 25 to 120 as shares sell off 3.3%. Call put ratio 2.4 calls to 1 put.

Advanced Micro Devices, Inc. (AMD) September weekly call option implied volatility is at 68, September is at 62; compared to its 52-week range of 36 to 118. Call put ratio 1.9 calls to 1 put with focus on September weekly calls.

NVIDIA (NVDA) September weekly call option implied volatility is at 36, September is at 53; compared to its 52-week range of 28 to 110. Call put ratio 1.9 calls to 1 put as shares sell off 7%.

Intel (INTC) September weekly call option implied volatility is at 37, September is at 36; compared to its 52-week range of 20 to 99 as shares sell off 0.8%. Call put ratio 9.4 calls to 1 put with focus on September weekly 52, 52.50 and 53 calls.

Calls active with increased IV into quarter results

Broadcom (AVGO) September weekly call option implied volatility is at 125, September is at 51; compared to its 52-week range 21 to 95 into the expected release of quarter results today after the bell. Call put ratio 5.4 calls to 1 put.

DocuSign (DOCU) September weekly call option implied volatility is at 331,
September is at 151; compared to its 52-week range 28 to 108 into the expected release of quarter results today after the bell. Call put ratio 2.5 calls to 1 put with focus on September weekly calls.

National Beverage (FIZZ) September call option implied volatility is at 85, 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 1.6 calls to 1 put.

Moderna (MRNA) September weekly calls option implied volatility is at 87, September is at 90; compared to its 52-week range of 51 to 173 into R&D day before the bell on September 17. Call put ratio 6.3 calls to 1 put.

Beyond Meat (BYND) September weekly call option implied volatility is at 95, September is at 73; compared to its 52-week range of 47 to 130. Call put ratio 6.8 calls to 1 put with focus on September weekly 140 and 142 calls as shares rally 7.5%.

PowerShares QQQ Trust (QQQ) September weekly call option implied volatility is at 42, September is at 34; compared to its 52-week range of 12 to 79 as shares sell off 3.4%. Call put ratio 1 call to 1.9 puts.

SPDR S&P 500 ETF Trust (SPY) September weekly call option implied volatility is at 29, September is at 20; compared to its 52-week range of 10 to 77 as shares sell off 1.7%. Call put ratio 1 call to 1.4 puts.

Increasing unusual option volume: VHC ZUO AKBA MIK AMBA MDLA FIVE CORT DBI RSX SNPS
Increasing unusual call option volume: VHC ZUO AKBA MIK FIVE SNPS GOGO VNO
Increasing unusual put option volume: PD EAT RSX CLDR GME QLD
Options with decreasing option implied volatility: BHC APT BID CIEN ABT HRB
Active options: AAPL TSLA BAC AAL BA CCL AMD MSFT INTC ZM FB NIO CRWD BYND RKT NVDA JPM GE WMT M