Mid-session IV Report December 17, 2020

Mid-session IV Report December 17, 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: SRPT BMRN BIDU NKE BB WGO

Popular stocks with increasing volume: PLTR PLUG PFE SNAP ROKU SQ DKNG RAD GE

Tesla (TSLA) into S&P 500

Tesla (TSLA) December option implied volatility is at 130, January is at 81; compared to its 52-week range of 34 to 153. Call put ratio 1.9 calls to 1 put.

Airbnb (ABNB) 30-day option implied volatility is at 113 on 2nd day of options trading. Call put ratio 2.4 calls to 1 put with focus on December calls.

C3.ai (AI) 30-day option implied volatility is at 115. Call put ratio 1.3 calls to 1 put with January options.

DoorDash (DASH) 30-day option implied volatility is at as shares are at 87 as shares trade $157. Call put ratio 1 call to 1.1 puts.

Moderna (MRNA) December call option implied volatility is at 154, January is at 108; compared to its 52-week range of 51 to 173 into FDA vaccine-advisory committee meeting. Call put ratio 3.2 calls to 1 put with focus on December calls.

Energy Select Sector SPDR ETF (XLE) December call option implied volatility is at 40, January is at 39; compared to its 52-week range of 16 to 131. Call put ratio 2.7 calls to 1 put.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) December call option implied volatility is at 55, January is at 54; compared to its 52-week range of 28 to 190 as WTI crude oil near a nine-month high.

Option volume and IV into quarter results

FedEx (FDX) December call option implied volatility is at 137, January is at 49; compared to its 52-week range of 22 to 138 into the expected release of quarter results today after the bell. Call put ratio 1.5 calls to 1 put with focus on December 290 calls.

Steelcase (SCS) December call option implied volatility is at 175, January is at 64; compared to its 52-week range of 21 to 108 into the expected release of quarter results today after the bell. Call put ratio 5.2 calls to 1 put.

BlackBerry (BB) December call option implied volatility is at 214, January is at 112 ; compared to its 52-week range of 32 to 148 into the expected release of quarter results before the bell on December 18. Call put ratio 6.1 calls to 1 put with focus on December 8.5 and 9 calls.

Darden (DRI) December call option implied volatility is at 135, December is at 49; compared to its 52-week range of 54 to 216 into the expected release of quarter results before the bell on December 18. Call put ratio 4.9 calls to 1 put with focus on December 120 calls.

Nike (NKE) December call option implied volatility is at 86, January is at 36; compared to its 52-week range of 16 to 112; into the expected release of quarter results after the bell on December 18. Call put ratio 2.1 calls to 1 put with focus on January 150 calls.

Winnebago (WGO) December call option implied volatility is at 185, January is at 62; compared to its 52-week range of 34 to 154; into the expected release of quarter results before the bell on December 18. Call put ratio 1 calls to 1.4 puts with focus on December 55 puts.

Energy Select Sector SPDR ETF (XLE) December call option implied volatility is at 42, January is at 40; compared to its 52-week range of 16 to 131 amid WTI Crude oil near nine-month high. Call put ratio 1.2 calls to 1 put.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) December call option implied volatility is at 55, January is at 53; compared to its 52-week range of 28 to 190 amid WTI Crude oil near nine-month high. Call put ratio 4.9 calls to 1 put.

Increasing unusual option volume: QS MP FUBO MT MARA NXTD FOLD NOG
Increasing unusual call option volume: ZYNE MT QS PHM FUBO SBSW MARA CHL
Increasing unusual put option volume: UNM XSPA QS MP GIS WGO RDFN RAD SFIX
Options with decreasing option implied: GIS LEN APT MLHR SPCE ORCL
Active options: AAPL TSLA NIO PLTR PLUG AMZN PFE MSFT FB T AMD SNAP ROKU SQ DKNG MARA NFLX RAD AAL GE