Mid-session IV Report December 2, 2020

Mid-session IV Report December 2, 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: SIG ULTA MRNA APHA GPRO PFE CVS BB CRWD FIVE DLTH PVH DOCU

Popular stocks with increasing volume: AMBA NKLA ZM WORK AAL VALE UBER PLTR

Ambarella (AMBA) December weekly call option implied volatility is at 78, December is at 56; compared to its 52-week range of 33 to 110. Call put ratio 21 calls to 1 put with focus on December weekly 81 and 85 calls as shares rally 6%.

Option volume and IV into quarter results and outlook

CrowdStrike (CRWD) December weekly call option implied volatility is at 153, December is at 71; compared to its 52-week range of 50 to 117 into the expected release of quarter results today after the bell. Call put ratio 2.4 calls to 1 put with focus on December weekly 140 calls.

Five Below (FIVE) December weekly call option implied volatility is at 129, December is at 56; compared to its 52-week range of 29 to 137 into the expected release of quarter results today after the bell. Call put ratio 2 calls to 1 put with focus on December weekly calls.

PVH Corp. (PVH) December call option implied volatility is at 68, January is at 59; compared to its 52-week range of 27 to 146 into the expected release of quarter results today after the bell. Call put ratio 1 call to 1 put.

Snowflake (SNOW) December weekly call option implied volatility is at 160, December is at 93; compared to its 52-week range of 47 to 100 into the expected release of quarter results today after the bell.

Splunk (SPLK) December weekly call option implied volatility is at 116, December is at 54; compared to its 52-week range of 28 to 97 into the expected release of quarter results today after the bell. Call put ratio 1.7 calls to 1 put.

Zscaler (ZS) December weekly call option implied volatility is at 145, December is at 73; compared to its 52-week range of 40 to 118 into the expected release of quarter results today after the bell. Call put ratio 1.1 calls to 1 put.

Cloudera (CLDR) December weekly call option implied volatility is at 200, December is at 98; compared to its 52-week range of 41 to 139 into the expected release of quarter results after the bell on December 3. Call put ratio 19 calls to 1 put with focus on December weekly calls.

DocuSign (DOCU) December weekly call option implied volatility is at 138, December is at 71; compared to its 52-week range of 28 to 128 into the expected release of quarter results after the bell on December 3. Call put ratio 1.5 calls to 1 put.

Dollar General (DG) December weekly call option implied volatility is at 67, December is at 33; compared to its 52-week range of 16 to 69 into the expected release of quarter results before the bell on December 3. Call put ratio 2.5 calls to 1 put.

Domo (DOMO) December call option implied volatility is at 105, January is at 77; compared to its 52-week range of 45 to 174 into the expected release of quarter results after the bell on December 3. Call put ratio 1.2 calls to 1 put.

Duluth Holdings (DLTH) December call option implied volatility is at 101, January is at 83; compared to its 52-week range of 51 to 253 into the expected release of quarter results before the bell on December 3.

Express (EXPR) 30-day option implied volatility is at 215; compared to its 52-week range of 67 to 432 into the expected release of quarter results before the bell on December 3.

Kroger (KR) December weekly call option implied volatility is at 79, December is at 41; compared to its 52-week range of 20 to 95 into the expected release of quarter results before the bell on December 3. Call put ratio 1.8 calls to 1 put.

Lands End (LE) December call option implied volatility is at 110, January is at 74; compared to its 52-week range of 45 to 182 into the expected release of quarter results before the bell on December 3. Call put ratio 1 calls to 2.3 puts.

PagerDuty (PD) December call option implied volatility is at 94, January is at 70; compared to its 52-week range of 49 to 135 into the expected release of quarter results after the bell on December 3. Call put ratio 1.1 call to 1 put.

Signet (SIG) December weekly call option implied volatility is at 165, December is at 108; compared to its 52-week range of 55 to 233 into the expected release of quarter results on December 3. Call put ratio 2.6 calls to 1 put.

Smith & Wesson (SWBI) December call option implied volatility is at 105, January is at 77; compared to its 52-week range of 33 to 159 into the expected release of quarter results after the bell on December 3. Call put ratio 3.7 calls to 1 put.

Ulta (ULTA) December weekly call option implied volatility is at 120, December is at 60; compared to its 52-week range of 26 to 144 into the expected release of quarter results after the bell on December 3. Call put ratio 4.9 calls to 1 put.

Zumiez (ZUMZ) December call option implied volatility is at 74, January is at 58; compared to its 52-week range of 38 to 124 into the expected release of quarter results after the bell on December 3. Call put ratio 3.2 calls to 1 put.

Zuora (ZUO) December call option implied volatility is at 92, January is at 66; compared to its 52-week range of 37 to 137 into the expected release of quarter results after the bell on December 3. Call put ratio 8 calls to 1 put.

Increasing unusual option volume: SNDL CX OVID QEP GMHI BB QS
Increasing unusual call option volume: SNDL CX QEP GMHI BB SNY EQX ARLO
Increasing unusual put option volume: XPEV QS BB FCEL BEKE VLDR MIK CLVS KNDI SOLO LI
Options with decreasing option implied volatility: VIXY BCRX SBE FLR PAA XPEV WORK DDD TCO ZM DELL VMW
Active options: NIO AAPL TSLA AMD PLTR PFE CRM BA AAL WORK ZM BB FB VALE UBER NKLA XPEV MRNA CCL WKHS