Mid-session IV Report January 25, 2021

Mid-session IV Report January 25, 2021

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: GME BB BBBY AMC SPCE AMD

Popular stocks with increasing volume: GME BB BBBY SPCE VIAC MAC SKT

GameStop (GME) January weekly call option implied volatility is at 815, February is at 460; compared to its 52-week range of 52 to 227 as shares trade up 51%. Call put ratio 1 calls to 1.5 puts.

BlackBerry (BB) January weekly call option implied volatility is at 540, February is at 370; compared to its 52-week range of 32 to 182. Call put ratio 4.3 calls to 1 put with focus on February calls as shares rally 45%.

AMC Entertainment (AMC) January weekly calls option implied volatility is at 533, February is at 340; compared to its 52-week range of 61 to 387. Call put ratio 4.9 calls to 1 put.

Bed Bath & Beyond (BBBY) January weekly call option implied volatility is at 430, February is at 230; compared to its 52-week range of 48 to 214. Call put ratio 1.8 calls to 1 put as shares rally 54%.

Virgin Galactic Holdings (SPCE) January weekly call option implied volatility is at 131, February is at 115; compared to its 52-week range of 77 to 238. Call put ratio 7.2 calls to 1 put with focus on January weekly 38 and 39 calls.

Social Capital Hedosophia Holdings Corp. V (IPOE) February call option implied volatility is at 89, March is at 98; compared to its 52-week range of 69 to 144. Call put ratio 5.9 calls to 1 put with focus on July 17.50 calls.

Simon Property Group (SPG) call put ratio 2.7 calls to 1 put as shares rally 3%.

Macerich (MAC) call put ratio 3.1 calls to 1 put with focus on February 18 and 19 calls as shares rally 24%

Tanger Factory Outlet Centers (SKT) call put ratio 12 calls to 1 put with focus on February calls as shares rally 10%

ViacomCBS (VIAC) call put ratio 2 calls to 1 put with focus on March 50 calls as shares rally 8%
Option implied volatility solar stocks

SolarEdge Technologies (SEDG) 30-day option implied volatility is at 83; compared to its 52-week range of 41 to 124.

Canadian Solar (CSIQ) 30-day option implied volatility is at 74; compared to its 52-week range of 40 to 147.

First Solar (FSLR) 30-day option implied volatility is at 61; compared to its 52-week range of 39 to 113.

SunPower (SPWR) 30-day option implied volatility is at 133; compared to its 52-week range of 61 to 146.

Sunrun (RUN) 30-day option implied volatility is at 77; compared to its 52-week range of 43 to 148. Call put ratio 2.4 calls to 1 put.
IV into quarter results

Advanced Micro Devices (AMD) January weekly call option implied volatility is at 97, February is at 62; compared to its 52-week range of 43 to 117 into the expected release of quarter results after the bell on January 26. Call put ratio 4.7 calls to 1 put.

Alaska Airlines (ALK) February call option implied volatility is at 48, March is at 47; compared to its 52-week range of 23 to 234 into the expected release of quarter results before the bell on January 26.

American Express (AXP) January weekly call option implied volatility is at 51, February is at 34; compared to its 52-week range of 17 to 123 into the expected release of quarter results before the bell on January 26.

Capital One (COF) January weekly call option implied volatility is at 62, February is at 45; compared to its 52-week range of 19 to 107 into the expected release of quarter results after the bell on January 26. Call put ratio 1 call to 2.2 puts.

D.R. Horton (DHI) January weekly call option implied volatility is at 70, February is at 44; compared to its 52-week range of 22 to 141 into the expected release of quarter results before the bell on January 26. Call put ratio 4 calls to 1 put.

Freeport-McMoRan (FCX) January weekly call option implied volatility is at 84, February is at 57; compared to its 52-week range of 37 to 184 into the expected release of quarter results before the bell on January 26. Call put ratio 2 calls to 1 put.

General Electric (GE) January weekly call option implied volatility is at 90, February is at 54; compared to its 52-week range of 29 to 142 into the expected release of quarter results before the bell on January 26. Call put ratio 4.7 calls to 1 put with focus on January weekly (29) 11.50 and 12 calls.

Johnson & Johnson (JNJ) January weekly call option implied volatility is at 44, February is at 29; compared to its 52-week range of 15 to 70 into the expected release of quarter results before the bell on January 26. Call put ratio 5.8 calls to 1 put with focus on January weekly and February 165 calls.

Lockheed Martin (LMT) January weekly call option implied volatility is at 37, February is at 28; compared to its 52-week range of 16 to 87 into the expected release of quarter results before the bell on January 26. Call put ratio 4.9 calls to 1 put with focus on January weekly 350 calls.

Microsoft (MSFT) January weekly call option implied volatility is at 54, February is at 33; compared to its 52-week range of 20 to 90 into the expected release of quarter results after the bell on January 26. Call put ratio 3.2 calls to 1 put.

NextEra Energy (NEE) February call option implied volatility is at 28, March is at 27; compared to its 52-week range of 15to 91 into the expected release of quarter results before the bell on January 26. Call put ratio 7.6 calls to 1 put with focus on February 90 calls.

Polaris (PII) February call option implied volatility is at 45, March is at 42; compared to its 52-week range of 31 to 118 into the expected release of quarter results before the bell on January 26. Call put ratio 2.3 calls to 1 put.

Raytheon (RTX) January weekly call option implied volatility is at 44, February is at 34; compared to its 52-week range of 29 to 66 into the expected release of quarter results before the bell on January 26.

Rockwell Automation (ROK) January weekly call option implied volatility is at 35, February is at 32; compared to its 52-week range of 23 to 106 into the expected release of quarter results before the bell on January 26. Call put ratio 1 call to 1.7 puts.

Starbucks (SBUX) January weekly call option implied volatility is at 48, February is at 31; compared to its 52-week range of 20 to 109 into the expected release of quarter results after the bell on January 26. Call put ratio 3.4 calls to 1 put.

Texas Instruments (TXN) January weekly call option implied volatility is at 54, February is at 34; compared to its 52-week range of 22 to 95 into the expected release of quarter results after the bell on January 26. Call put ratio 2.1 calls to 1 put with focus on January weekly calls.

Verizon (VZ) January weekly call option implied volatility is at 30, February is at 19; compared to its 52-week range of 14 to 72 into the expected release of quarter results before the bell on January 26. Call put ratio 6.9 calls to 1 put with focus on January weekly calls.

Xilinx (XLNX) January weekly call option implied volatility is at 71, February is at 49; compared to its 52-week range of 28 to 85 into the expected release of quarter results on January 26.

Increasing unusual option volume: GME GSAT EXPR SUNW BGS MAC VIAC SIRI
Increasing unusual call option volume: GSAT SENS ATOS IRM TAK
Increasing unusual put option volume: BB GME AUPH IRBT NOK
Options with decreasing option implied: SIRI TLRY LOGI XLB STX
Active options: AAPL TSLA FB NIO AMD NFLX MSFT BABA NVDA INTC IBM AMZN F