06/06/2020
Data as of 06/05/2020

1 Day Increase in ATM IV (Point change)
 TickerIssuerCloseDifference
SAVESPIRIT AIRLS INC22.6212.56
FFORD MTR CO DEL7.3412.4
CNXCNX RESOURCES CORPOR10.849.64
RCLROYAL CARIBBEAN CRUI69.449.46
CFGCITIZENS FINANCIAL G29.259.32


1 Week Increase in ATM IV (Point change)
 TickerIssuerCloseDifference
SAVESPIRIT AIRLS INC22.6223.4
GLUUGLU MOBILE INC8.9416.56
BABOEING CO205.4312.5
ALKALASKA AIR GROUP INC42.728.61
RCLROYAL CARIBBEAN CRUI69.448.43


1 Month Increase in ATM IV (Point change)
 TickerIssuerCloseDifference
CAGCONAGRA BRANDS INC33.426.31
NKENIKE INC102.714.33
LULULULULEMON ATHLETICA 319.783.15
IACIAC INTERACTIVECORP284.732.99
FDXFEDEX CORP142.212.71


Options with largest 1-day gain in Implied Volatility
 TickerIssuerExpirationStrikeP/CDifference
IVRINVESCO MORTGAGE CAP07/17/20204.00C73.68
IVRINVESCO MORTGAGE CAP07/17/20205.00C68.46
CNTYCENTURY CASINOS INC07/17/20207.50C65.99
RIGTRANSOCEAN LTD07/17/20202.00C57.36
IVRINVESCO MORTGAGE CAP10/16/20204.00C41.46


Here are the Top 5 results from a few of our volatility scans. These scans search for situations where implied volatility rises sharply. Research has shown that a rise in implied volatility often leads to a significant move in the underlying stock and an even larger move in the stock's options. For full versions of these and many more scans, check out ODDS OptionApps.

Academic Algorithms: ( Volatility HV-IV Difference )
 TickerIssuerCloseDifference
ARWRARROWHEAD PHARMACEUT34.07-27.41
TSLATESLA INC885.66-20.16
CNXCNX RESOURCES CORPOR10.84-18.79
LRNK12 INC27.05-17.12
CAGCONAGRA BRANDS INC33.42-17.07


Academic Algorithms: ( Term LT-ST Difference )
 TickerIssuerCloseDifference
TSLATESLA INC885.66-31.26
SHOPSHOPIFY INC727.77-15.17
LULULULULEMON ATHLETICA 319.78-12.12
VMWVMWARE INC149.77-8.19
ULTAULTA BEAUTY INC252.08-7.08


Academic Algorithms: ( Volatility of Volatility )
 TickerIssuerCloseVol. of Vol.
AXSMAXSOME THERAPEUTICS 77.381.72
AEMAGNICO EAGLE MINES L58.182.9
ATVIACTIVISION BLIZZARD 69.433.02
MTCHMATCH GROUP INC90.093.05
STMPSTAMPS COM INC179.433.13


Academic Algorithms: ( 95-100 Skew Difference )
 TickerIssuerCloseDifference
EOLSEVOLUS INC5.45-4.63
WMCWESTERN ASSET MTG CA2.93-3.78
AALAMERICAN AIRLS GROUP18.59-3.2
VIRVIR BIOTECHNOLOGY IN33.21-2.73
CLSNCELSION CORP2.78-2.5


iHere are the Top 5 results from our Academic Algorithm scans. These scans search for situations that meet the criteria as described in published academic research papers. This independent university research, verified using the rigor of extensive statistical analysis and global peer-review, provides signals proven to work. For more information on what these scans search for, and how you can use them to discover opportunities,click here for suggested reading. For full versions of these and many more scans, check out ODDS OptionApps.

Negative Implied Borrow Rate
 TickerIssuerCloseBorrow Rate
HTZHERTZ GLOBAL HLDGS I2.57-425.91
CHKCHESAPEAKE ENERGY CO24.80-320.55
CRCCALIFORNIA RES CORP2.01-309.35
NKLANIKOLA CORP35.97-208.95
OASOASIS PETROLEUM INC1.26-189.65


EXCLUSIVE: This exclusive scan shows stocks with the most negative implied borrow rate. A deeply negative borrow rate tells you that the put-call parity no longer exists because of an unusual situation. Most often, it is because the underlying stock is highly shorted. When stocks are highly shorted, finding stock to borrow in order to sell short becomes difficult, thus causing the implied borrow rate to go into deep negative territory. The advantage to this report is that short interest statistics are only available at certain intervals on a much-delayed basis. This report is updated daily and is current as of the close. For more information on the implied borrow rate, and how you can it to discover real-world trading opportunities, just click the button at the bottom of the app and we'll send you our free 7-part research series. The reports and the app are free.

Top 5 Highest Open Interest Options
 TickerIssuerExpirationStrikeP/COpen Int
FFORD MTR CO DEL01/15/202110.00C444,451
SPYSPDR S&P 500 ETF TR06/19/202020.00P399,755
EEMISHARES TR06/19/202049.73C271,720
ECLECOLAB INC06/12/2020290.00C253,587
SPYSPDR S&P 500 ETF TR10/16/2020260.00P235,631


Top 5 Highest Volume Options
 TickerIssuerExpirationStrikeP/CVolume
SPYSPDR S&P 500 ETF TR06/05/2020320.00C293,923
SPYSPDR S&P 500 ETF TR06/05/2020321.00C197,575
SPYSPDR S&P 500 ETF TR06/05/2020320.00P183,761
SPYSPDR S&P 500 ETF TR06/05/2020318.00P177,161
SPYSPDR S&P 500 ETF TR06/05/2020319.00P168,898


Options with largest 1-day gain in open interest.
 TickerIssuerExpirationStrikeP/COpen Int
SPYSPDR S&P 500 ETF TR11/20/2020240.00P137,604
SNAPSNAP INC10/16/202021.00C84,627
SPYSPDR S&P 500 ETF TR11/20/2020275.00P72,331
HYGISHARES TR08/21/202074.00P63,331
GLUUGLU MOBILE INC07/17/202011.00C54,945


Options with largest 1-day drop in open interest.
 TickerIssuerExpirationStrikeP/COpen Int
SPYSPDR S&P 500 ETF TR12/18/2020363.00C-34,054
SPYSPDR S&P 500 ETF TR12/18/2020364.00C-34,040
HPQHP INC07/17/202017.00C-14,483
MMACYS INC07/17/20207.00C-11,017
HYGISHARES TR07/17/202075.00P-9,909


These scans display the Top 5 open interest and volume statistics for the entire universe of individual options. For full versions of these and many more scans, check out ODDS OptionApps.

Bandwidth Hogs
 TickerIssuerPork FactorZero Volume
SPXCBOE S&P 500 INDEX9,324
NDXNASDAQ 100 INDEX8,142
RUTRUSSELL 2000 INDEX7,639
XSPCBOE MINI SPX INDEX 7,158
AMZNAMAZON COM INC4,650

Have you ever wondered how many options had no volume? Here's your answer. This scan displays the number of options with zero contracts traded for each asset on this Top 5 list. Despite having no volume, each option generates an enormous amount of data that needs to be displayed: changes in bid price, changes in ask price, changes in bid size, changes in ask size. Those changes happen with nearly every tick the stock makes. And it happens on every exchange that makes a market. On a normal day, one zero-volume option can produce as much as two hundred pages of data. The names on this list have thousands of zero-volume options, each producing hundreds of pages of information. All for nothing. They’re bandwidth hogs. The more zero-factor options there a stock has, the higher the "pork factor". To get the complete report, check out ODDS OptionApps.

The free OptionApps Daily "Top 5" report provides you with information that can be used to find potential trading situations that have a proven history of generating profits1. Many more tools are available on ODDS Online that are not available on the Daily "Top 5" Report.





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