Mid-session IV Report December 15, 2020

Mid-session IV Report December 15, 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: AMC FDX BIDU SRPT XRT SLDB JBL GIS

Popular stocks with increasing volume: SNOW NCLH PLTR PFE DIS AMC

Tesla (TSLA) December option implied volatility is at 110, January is at 86; compared to its 52-week range of 34 to 153 into S&P addition. Call put ratio 2 calls to 1 put with focus on December 650 calls.

1st day of option trading for AI & DASH

C3.ai (AI) 30-day option implied volatility is at 134. Call put ratio 1 call to 1 put as shares as shares trade $102.

DoorDash (DASH) 30-day option implied volatility is at as shares are at 92 as shares trade $159. Call put ratio 1 call to 2.9 puts with focus on January puts.

Palantir (PLTR) December call option implied volatility is at 106, January is at 112; compared to its 13-week range of 59 to 174. Call put ratio 2.8 calls to 1 put.

Snowflake (SNOW) December call option implied volatility is at 97, January is at 84; compared to its 16-week range of 47 to 100.

Crude oil near 8-month high into FOMC policy meeting

United States Oil Fund (USO) December option implied volatility is at 35, January is at 32; compared to its 52-week range of 23 to 246. Call put ratio 5.8 calls to 1 put with focus on December 32.50 calls.

Proshares Ultra DJ-UBS Crude Oil (UCO) December weekly option implied volatility is at 59, December is at 58; compared to its 52-week range of 43 to 366 amid WTI Crude oil up 0.9% to $47.44. Call put ratio 2.1 calls to 1 put.

Energy Select Sector SPDR ETF (XLE) December call option implied volatility is at 44, January is at 40; compared to its 52-week range of 16 to 131.. Call put ratio 2.1 calls to 1 put.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) December call option implied volatility is at 56, January is at 51; compared to its 52-week range of 28 to 190.

Option volume and IV into quarter results and outlook

Herman Miller (MLHR) December call option implied volatility is at 140, January is at 62; compared to its 52-week range of 25 to 128 into the expected release of quarter results after the bell on December 16. Call put ratio 10 calls to 1 put.

Lennar (LEN) December call option implied volatility is at 77, January is at 46; compared to its 52-week range of 21 to 161 into the expected release of quarter results on December 16. Call put ratio 1 call to 2 puts with focus on December 75 puts.

FedEx (FDX) December call option implied volatility is at 95, January is at 49; compared to its 52-week range of 22 to 138 into the expected release of quarter results before the bell on December 17. Call put ratio 2.6 calls to 1 put with focus on December calls.

Accenture (ACN) December call option implied volatility is at 52, January is at 28; compared to its 52-week range of 14 to 94 into the expected release of quarter results on December 17. Call put ratio 1 call to 1.3 puts with focus on December calls.

General Mills (GIS) December call option implied volatility is at 47, January is at 25 ; compared to its 52-week range of 16 to 70 into the expected release of quarter results before the bell on December 17. Call put ratio 6 calls to 1 put with focus on December 60 and 62.50 calls.

Jabil (JBL) December call option implied volatility is at 84, January is at 44; compared to its 52-week range of 23 to 125 into the expected release of quarter results before the bell on December 17. Call put ratio 11 calls to 1 put with focus on December calls.

Sanderson Farms (SAFM) December call option implied volatility is at 50, January is at 35; compared to its 52-week range of 27 to 94 into the expected release of quarter results before the bell on December 17. Call put ratio 20 calls to 1 put.

Steelcase (SCS) December call option implied volatility is at 128, January is at 57; compared to its 52-week range of 21 to 108 into the expected release of quarter results before the bell on December 17. Call put ratio 3.7 calls to 1 put.

Increasing unusual option volume: PLUG XPEV CCL DIS ABUS LAZR AMC
Increasing unusual call option volume: ABUS LAZR QS CERS DQ NNDM STM PS AMC
Increasing unusual put option volume: QS WELL SIRI KGC SSRM HCAC AMC
Options with decreasing option implied: DM GPRO VLDR APT GME KODK SPCE LI
Active options: AAPL AMD NIO TSLA PFE PLTR GE AAL PLUG BIDU CCL BABA AMZN FB BA DIS MSFT SNOW XPEV NCLH