Mid-session IV Report December 1, 2020

Mid-session IV Report December 1, 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: SNDL ARLO CX BB HEXO BKLN QS XPEV CRON MRNA PFE VIX

Popular stocks with increasing volume: NIO PFE BB INTC PLTR FIVE CRWD CRM BOX SNOW

Option volume and IV into quarter results and outlook

Salesforce (CRM) December weekly call option implied volatility is at 85, December is at 55; compared to its 52-week range of 19 to 97 into the expected release of quarter results today after the bell. Call put ratio 2.5 calls to 1 put.

At Home (HOME) December call option implied volatility is at 114, January is at 94; compared to its 52-week range of 103 to 217 into the expected release of quarter results today after the bell. Call put ratio 7.7 calls to 1 put with focus on December 19 calls.

Box (BOX) December call option implied volatility is at 71, January is at 55; compared to its 52-week range of 33 to 107 into the expected release of quarter results today after the bell. Call put ratio 10 calls to 1 put with focus on December 20 calls.

Hewlett Packard Enterprise (HPE) December weekly call option implied volatility is at 78, December is at 47; compared to its 52-week range of 23 to 218 into the expected release of quarter results today after the bell. Call put ratio 3 calls to 1 put.

NetApp (NTAP) December weekly call option implied volatility is at 87, December is at 48; compared to its 52-week range of 24 to 121 into the expected release of quarter results today after the bell. Call put ratio 3.6 calls to 1 put.

Trip.com (TCOM) December call option implied volatility is at 57, January is at 45; compared to its 52-week range of 29 to 106 into the expected release of quarter results on December 1. Call put ratio 24 calls to 1 put with focus on December 34 calls.

CrowdStrike (CRWD) December weekly call option implied volatility is at 122, December is at 71; compared to its 52-week range of 50 to 117 into the expected release of quarter results after the bell on December 2.

Five Below (FIVE) December weekly call option implied volatility is at 120, December is at 59; compared to its 52-week range of 29 to 137 into the expected release of quarter results after the bell on December 2. Call put ratio 8.7 calls to 1 put with focus on December weekly 160 calls.

PVH Corp. (PVH) December call option implied volatility is at 68, January is at 59; compared to its 52-week range of 27 to 146 into the expected release of quarter results after the bell on December 2. Call put ratio 12 calls to 1 put.

Snowflake (SNOW) December weekly call option implied volatility is at 160, December is at 93; compared to its 52-week range of 47 to 100 into the expected release of quarter results after the bell on December 2.

Splunk (SPLK) December weekly call option implied volatility is at 96, December is at 54; compared to its 52-week range of 28 to 97 into the expected release of quarter results after the bell on December 2. Call put ratio 2 calls to 1 put.

Zscaler (ZS) December weekly call option implied volatility is at 133, December is at 70; compared to its 52-week range of 40 to 118 into the expected release of quarter results after the bell on December 2. Call put ratio 2.5 calls to 1 put.

BlackBerry (BB) 30-day option implied volatility is at 140; compared to its 52-week range of 32 to 144 after Amazon (AMZN) AWS, BlackBerry team to develop BlackBerry’s intelligent vehicle data platform. Call put ratio 8 calls to 1 put as shares rally 54%.

IV into OPEC+ and U.S. Energy Information Administration SHORT-TERM ENERGY OUTLOOK release

Proshares Ultra DJ-UBS Crude Oil (UCO) December weekly option implied volatility is at 93, December is at 70; compared to its 52-week range of 43 to 366 into OPEC+ and U.S. Energy Information Administration Short-Term Energy Outlook release on December 8, 2020. Call put ratio 1 call to 1.2 puts.

Energy Select Sector SPDR ETF (XLE) December weekly call option implied volatility is at 49, December is at 43; compared to its 52-week range of 16 to 131 into OPEC+ and U.S. Energy Information Administration Short-Term Energy Outlook release on December 8, 2020.

Arlo Technologies, Inc. (ARLO) December call option implied volatility is at 170, January is at 139; compared to its 52-week range of 53 to 184 as shares rally 30%. Call put ratio 23 calls to 1 put with focus on December 6 and 7 calls.

Axalta Coating Systems (AXTA) December call option implied volatility is at 33, January is at 32; compared to its 52-week range of 26 to 125. Call put ratio 74 calls to 1 put with focus on December 30 and 31 calls

Increasing unusual option volume: SNDL ARLO CX TSEM BB HEXO OGI BKLN
Increasing unusual call option volume: SNDL ARLO CX BB HEXO ITUB OGI REV XPEV SOL
Increasing unusual put option volume: PE QS KNDI APO BB ELAN XPEV SBE AU BKLN PLTR
Options with decreasing option implied volatility: ZM DKS DLTR DELL HPQ
Active options: AAPL PFE TSLA NKLA FB ZM NIO PLTR SNDL AMD BB HEXO MRNA NFLX INTC GE MU AAL BABA BAC