Mid-session IV Report December 10, 2020

Mid-session IV Report December 10, 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: ORCL PLAY COST AVGO MTN ENDP IPOC KODK EDIT ADT CAG T PAA BCRX CLDR ZUO ULTA

Popular stocks with increasing volume: RKT ZM FSLY CCL SBUX PLTR

Pfizer (PFE) December weekly call option implied volatility is at 99, December is at 75; compared to its 52-week range of 15 to 72 into FDA panel votes on Pfizer’s (PFE) Covid vaccine. Call put ratio 7 calls to 1 put with focus on December weekly calls.

Tesla (TSLA) December weekly option implied volatility is at 104, December is at 127, January is at 99; compared to its 52-week range of 34 to 153. Call put ratio 1.9 calls to 1 put.

lululemon athletica (LULU) December weekly call option implied volatility is at 145, December is at 68; compared to its 52-week range of 22 to 128 into the expected release of quarter results today after the bell.

Walt Disney (DIS) December weekly call option implied volatility is at 85, December is at 45; compared to its 52-week range of 18 to 101 into investor meeting on December 10. Call put ratio 4 calls to 1 put with focus on December weekly 155 and 160 calls.

Facebook (FB) December weekly call option implied volatility is at 49, December is at 39; compared to its 52-week range of 21 to 82 after FTC, State AGs announce monopoly lawsuits. Call put ratio 1.8 calls to 1 put.

IV into quarter results

Broadcom (AVGO) December weekly call option implied volatility is at 87, December is at 44; compared to its 52-week range of 21 to 97 into the expected release of quarter results today after the bell. Call put ratio 1.5 calls to 1 put with focus on December weekly 420 calls.

Costco (COST) December weekly call option implied volatility is at 53, December is at 29; compared to its 52-week range of 14 to 76 into the expected release of quarter results today after the bell. Call put ratio 2.7 calls to 1 put.

Dave & Busters (PLAY) December weekly call option implied volatility is at 214, December is at 115; compared to its 52-week range of 30 to 482 into the expected release of quarter results today after the bell. Call put ratio 1 call to 1.3 puts.

National Beverage (FIZZ) December call option implied volatility is at 76, January is at 55; compared to its 52-week range of 39 to 117 into the expected release of quarter results today after the bell.

Oracle (ORCL) December weekly call option implied volatility is at 100, December is at 47; compared to its 52-week range of 15 to 92 into the expected release of quarter results today after the bell.

Vail Resorts (MTN) December call option implied volatility is at 46, January is at 40; compared to its 52-week range of 21 to 125 into the expected release of quarter results today after the bell. Call put ratio 1 call to 6.7 puts.

Option Implied Volatility for Pharmaceuticals into FDA panel votes on Pfizer’s (PFE) Covid vaccine

Pfizer (PFE) 30-day option implied volatility is at 33; compared to its 52-week range of 15 to 72 into FDA panel votes on Pfizer’s Covid vaccine. Call put ratio 6.5 calls to 1 put with focus on December weekly calls.

BioNTech SE (BNTX) 30-day option implied volatility is at 119; compared to its 52-week range of 82 to 185 into FDA panel votes on Pfizer’s (PFE) Covid vaccine. Call put ratio 5.6 calls to 1 put.

Johnson & Johnson (JNJ) 30-day option implied volatility is at 25; compared to its 52-week range 13 to 70. Call put ratio 5.3 calls to 1 put.

Moderna (MRNA) 30-day option implied volatility is at 124; compared to its 52-week range of 51 to 173 into FDA panel votes on Pfizer’s (PFE) Covid vaccine. Call put ratio 2.2 calls to 1 put.

CureVac B.V. (CVAC) 30-day option implied volatility is at 115; compared to its 52-week range of 84 to 121 into FDA panel votes on Pfizer’s (PFE) Covid vaccine.

AstraZeneca (AZN) 30-day option implied volatility is at 35; compared to its 52-week range of 16 to 85. Call put ratio 14 calls to 1 put.

Novavax (NVAX) 30-day option implied volatility is at 129; compared to its 52-week range of 85 to 312. Call put ratio 2.6 calls to 1 put.

Inovio Pharma (INO) 30-day option implied volatility is at 151; compared to its 52-week range of 64 to 392. Call put ratio 7.8 calls to 1 put with focus on December weekly calls.

Sanofi (SNY) 30-day option implied volatility is at 28; compared to its 52-week range of 16 to 94.

GlaxoSmithKline (GSK) 30-day option implied volatility is at 23; compared to its 52-week range of 13 to 74 into FDA panel votes on Pfizer’s (PFE) Covid vaccine. Call put ratio 21 calls to 1 put.

Gilead (GILD) 30-day option implied volatility is at 27; compared to its 52-week range of 19 to 108. Call put ratio 2.6 calls to 1 put.

Regeneron (REGN) 30-day option implied volatility is at 34; compared to its 52-week range of 25 to 79. Call put ratio 2.2 calls to 1 put.

Intercept Pharma (ICPT) call put ratio 10.5 calls to 1 put with focus on December 35 and 40 calls.

Increasing unusual option volume: ABB LAZR CNDT EGO EGHT QS
Increasing unusual call option volume: ABB CNDT EGO EGHT LAZR ALKS QS
Increasing unusual put option volume: QS HRB IPOC WTRH NYT SAND CROX FSR SFIX CIEN
Options with decreasing option implied: PAA FLR CLDR GME PD BIG GPRO CIEN UNFI MRVL WORK CPB
Active options: TSLA AAPL NIO AMD PFE FB T AAL PLTR GE AMZN XOM MSFT BAC BA CCL FSLY RKT SBUX ZM