Mid-session IV Report December 1, 2021

Mid-session IV Report December 1, 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: ABUS NVAX SYY t USO GWH

Popular stocks with increasing volume: CRM NIO LCID TWTR XPEV PFE MRK MRNA CCJ AAL

Movers

Snap (SNAP) 30-day option implied volatility is at 53; compared to its 52-week range of 43 to 119. Call put ratio 3.9 calls to 1 put as shares rally 6.7%.

Ford (F) 30-day option implied volatility is at 46; compared to its 52-week range of 33 to 76 as shares rally 6.4%. Call put ratio 3.1 calls to 1 put as shares rally 6%.

Boeing (BA) 30-day option implied volatility is at 41; compared to its 52-week range of 29 to 55 as shares trade below $200.

Micron (MU) 30-day option implied volatility is at 47; compared to its 52-week range of 26 to 59. Call put ratio 4.3 calls to 1 put as shares rally 5.7%.

General Electric (GE) 30-day option implied volatility is at 31; compared to its 52-week range of 27 to 60.

Johnson & Johnson (JNJ) 30-day option implied volatility is at 20; compared to its 52-week range of 14 to 31 as shares rally 1.5%.

General Motors (GM) 30-day option implied volatility is at 38; compared to its 52-week range of 29 to 66. Call put ratio 8.3 calls to 1 put as shares rally 4.4%.

Walt Disney (DIS) 30-day option implied volatility is at 28; compared to its 52-week range of 20 to 48. Call put ratio 3.2 calls to 1 put.

IV into events

C3.ai.com (AI) December call option implied volatility is at 133, January is at 100; compared to its 52-week range of 50 to133 into the expected release of quarter results after the bell.

CrowdStrike (CRWD) December weekly call option implied volatility is at 141, December is at 71; compared to its 52-week range of 36 to 72 into the expected release of quarter results after the bel. Call put ratio 1.8 calls to 1 put.

Five Below (FIVE) December weekly call option implied volatility is at 140, December is at 70; compared to its 52-week range of 30 to 57 into the expected release of quarter results after the bell.

PVH (PVH) December call option implied volatility is at 69, January is at 52; compared to its 52-week range of 36 to 72 into the expected release of quarter results after the bell. Call put ratio 1 call to 6.5 puts.

Snowflake (SNOW) December weekly call option implied volatility is at 145, December is at 70; compared to its 52-week range of 36 to 98 into the expected release of quarter results after the bell. Call put ratio 1.7 calls to 1 put.

Okta, Inc. (OKTA) December weekly call option implied volatility is at 143, December is at 67; compared to its 52-week range of 33 to 58 into the expected release of quarter results. Call put ratio 1.3 calls to 1 put.

Splunk (SPLK) December weekly call option implied volatility is at 123, December is at 61; compared to its 52-week range of 32 to 63 into the expected release of quarter results. Call put ratio 1 call to 1.3 puts.

DocuSign (DOCU) December weekly call option implied volatility is at 140, December is at 67; compared to its 52-week range of 32 to 96 into the expected release of quarter results after the bell on December 2. Call put ratio 1 call to 2 puts.

Dollar General (DG) December weekly call option implied volatility is at 82, December is at 38; compared to its 52-week range of 16 to 35 into the expected release of quarter results before the bell on December 2.

Duluth Holdings (DLTH) December call option implied volatility is at 97, January is at 71; compared to its 52-week range of 46 to 106 into the expected release of quarter results before the bell on December 2.

Kroger (KR) December weekly call option implied volatility is at 117, December is at 51; compared to its 52-week range of 22 to 48 into the expected release of quarter results before the bell on December 2. Call put ratio 4.8 calls to 1 put.

Signet Jewelers (SIG) December weekly call option implied volatility is at 211, December is at 93; compared to its 52-week range of 46 to 114 into the expected release of quarter results before the bell on December 2.

Ulta Beauty (ULTA) December weekly call option implied volatility is at 116, December is at 55; compared to its 52-week range of 27 to 54 into the expected release of quarter results after the bell on December 2.

Increasing unusual option volume: ARDX CTIC VBIV KRYS CRC EL MRNA MTCH
Increasing unusual call option volume: ARDX EL VBIV CTIC COOP
Increasing unusual put option volume: ABUS BYSI BLU PVH EWG
Options with decreasing option implied: BYSI BOIL RIVN JWN UNG ZS DELL
Active options: AAPL TSLA CRM NVDA AMD NIO LCID PYPL TWTR XPEV PFE MRK F FB MSFT BAC MRNA CCJ AAL AMZN