Symbols with High Options Volume vs Normal

KraneShares Trust KraneShares CSI China Internet ETF (KWEB), Walgreens Boots Alliance Inc (WBA), and Constellation Brands Inc. CL A (STZ) have the highest options volume versus their normal trading volume.

KraneShares Trust KraneShares CSI China Internet ETF (KWEB) has the highest options volume/20-day average at 4x normal.

• 12700 options traded today vs normal volume of 3200 based on the average for the last 20 trading days. Calls to puts is 12706 to 25 for a call-put ratio of 506.2
• KWEB is trading $51.98 up 0.15% today. The week change is 0.5% and month is 11.76%.
• 6554 contracts have traded on their #1 volume $52.74 strike with a call delta of 0.31, the Jan-17 with 10 days to expiry, open interest (OI) of 6861 bid-ask $0.35 - 0.4, implied volatility of 23.5% (priorIV 23.9%). 6735 contracts were added to OI on 1/2/2020

Walgreens Boots Alliance Inc (WBA) is second highest volume today/20 day at 3.6x earnings was 2020-01-02 Before

• 36000 options traded vs normal volume 10100. Calls to puts is 20405 to 15570 for a call-put ratio of 1.3
• WBA is trading $55.02 down -7.2% today. The week change is -6.87% and month is -6.29%.
• 4645 #1 volume $65 strike call delta 0.16 Jun-19 DTE 164 OI 5459 bid-ask $0.6 - 0.74 IV 22.6% (prior $1.36 - 1.7 IV 23.3%).
• 1991 #2 volume $56 strike put delta -0.5 Jan-17 DTE 10 OI 128 bid-ask $0.97 - 1.05 IV 27.6% (prior $0.38 - 0.4 IV 39.1%).
• IV 30-day 25.7% -4.5%. Put-call strike slope 0.8% -0.4%.

Constellation Brands Inc. CL A (STZ) third highest volume ratio at 3.4x earnings was 2020-01-08 Before

• 18900 options traded vs normal volume 5600. Calls to puts is 12678 to 6254 for a call-put ratio of 2
• STZ is trading $183.35 down -0.14% today. The week change is -2.63% and month is 1.15%.
• 1489 #1 volume $235 strike call delta 0 Jan-17 DTE 10 OI 2980 bid-ask $0 - 0.1 IV 33.9% (prior $0.05 - 0.1 IV 62.7%).
• 1362 #2 volume $195 strike call delta 0.07 Jan-10 DTE 3 OI 1843 bid-ask $0.2 - 0.3 IV 47.9% (prior $1.3 - 1.35 IV 70.6%).
• IV 30-day 23% -7.5%. Put-call strike slope 2.3% -0.2%.

Explanation

• ORATS computes todays total options volume in all tickers with US equity options.
• The total options volume for each symbol is compared to its average volume for the past 20 days.
• The tickers with the highest ratio of options volume today to the 20 day average are presented below.
• Also shown are the 2 highest traded individual options along with implied volatility (IV) and bid-ask prices.
• The options delta, days to expiration (DTE), open interest (OI), and prior trading days bid-ask and IV are included.
• The change of the 30 day interpolated IV can help determine if the volume was due to buying or selling of options.
• The put-call strike slope of the IV can help determine if the trading was in the low strikes versus high strikes.
• A slope + change can indicate buying in the low strikes relative to the high strikes (or selling high strikes)
• A slope - change can indicate buying in the high strikes relative to the low strikes (or selling low strikes)

The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.