Mid-session IV Report December 15, 2021

Mid-session IV Report December 15, 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: PAA SVXY CVNA ARQQ ESSC AAOI MAPS

Popular stocks with increasing volume: RBLX LCID BB NIO BAC CCL WMT PLTR

Option volume and IV into FOMC policy statement

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 19; compared to its 52-week range of 11 to 31. Call put ratio 1 call to 1 put into FOMC policy statement.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 25; compared to its 52-week range of 14 to 35. Call put ratio 1 call to 2 put.

Russell 2000 ETF (RUT) 30-day option implied volatility is at 30; compared to its 52-week range of 18 to 37. Call put ratio 1 call to 1.5 puts.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 23; compared to its 52-week range of 16 to 58. Call put ratio 1 call to 10 puts.

Ishares S&p Software Index Fund (IGV) 30-day option implied volatility is at 31; compared to its 52-week range of 18 to 37. Call put ratio 5 calls to 1 put.

ARK Innovation ETF (ARKK) 30-day option implied volatility is at 53; compared to its 52-week range of 28 to 71. Call put ratio 1 call to 1 put into FOMC policy statement.

Option IV into quarter results

Adobe (ADBE) December call option implied volatility is at 115, January is at 42; compared to its 52-week range of 21 to 51 into the expected release of quarter results on December 16.

FedEx (FDX) December call option implied volatility is at 103, January is at 38; compared to its 52-week range of 22 to 48 into the expected release of quarter results after the bell on December 16.

Jabil (JBL) December call option implied volatility is at 130, January is at 44; compared to its 52-week range of 23 to 49 into the expected release of quarter results after the bell on December 16.

Steelcase (SCS) December call option implied volatility is at 160, January is at 60; compared to its 52-week range of 31 to 72 into the expected release of quarter results before the bell on December 16.

Rivian (RIVN) December call option implied volatility is at 149, January is at 94; compared to its 52-week range of 97 to 176 into the expected release of quarter results after the bell on December 16.

Increasing unusual option volume: GRTX TIP BDSI ARKF AQMS PHG BB
Increasing unusual call option volume: BDSI ATH NXTD ARKF GRTX VIR BLU BTU
Increasing unusual put option volume: TIP EWU UWMC HEXO EWG ITB TCOM ITB
Options with decreasing option implied: BLU VXRT FPAC VOD PATH NEGG CHWY DB
Active options: AAPL TSLA NVDA PFE ROKU RBLX AMC LCID AMD F BABA FB BA BB NIO MSFT BAC CCL WMT PLTR