Mid-session IV Report December 3, 2020

Mid-session IV Report December 3, 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: BB CEMI APHA MRNA INO PFE GD LMT WBA PCG CLDR DOCU

Popular stocks with increasing volume: LI SNOW WB KR FCEL CRM

Boeing (BA) December weekly call option implied volatility is at 75, December is at 56; compared to its 52-week range of 23 to 223 after Ryanair purchases 75 new MAX-8200 aircraft from Boeing. Call put ratio 4 calls to 1 put with focus on December weekly 240 calls as shares rally 5.2%.

Airline parts maintenance companies

AAR Corp. (AIR) 30-day option implied volatility is at 72; compared to its 52-week range of 23 to 180 after Ryanair purchases 75 new MAX-8200 aircraft from Boeing (BA). Call put ratio 32 calls to 1 put.

Spirit AeroSystems (SPR) 30-day option implied volatility is at 74; compared to its 52-week range of 23 to 159 after Ryanair purchases 75 new MAX-8200 aircraft from Boeing (BA). Call put ratio 45.2 calls to 1 put with focus on December & January calls as shares rally 4%.

Heico Corp. (HEI) 30-day option implied volatility is at 40; compared to its 52-week range of 20 to 103 after Ryanair purchases 75 new MAX-8200 aircraft from Boeing (BA). Call put ratio 5 calls to 1 put as shares rally 1.4%.

WBA and CVS options active

Walgreens Boots Alliance (WBA) December weekly call option implied volatility is at 63, December is at 58; compared to its 52-week range of 22 to 88. Call put ratio 11 calls to 1 put with focus on December weekly 41.50 calls as shares rally 6.8%.

CVS Health (CVS) December weekly call option implied volatility is at 38, December is at 30; compared to its 52-week range of 20 to 89. Call put ratio 10.7 calls to 1 put with focus on December weekly 70 calls as shares rally 1.8%.

Penumbra, Inc. (PEN) call put ratio 1 call to 15 puts with focus on December 190 puts as shares sell off 5%.

Option volume and IV into quarter results and outlook

Cloudera (CLDR) December weekly call option implied volatility is at 250, December is at 99; compared to its 52-week range of 41 to 139 into the expected release of quarter results today after the bell. Call put ratio 2.5 calls to 1 put with focus on December weekly 11.50 calls.

DocuSign (DOCU) December weekly call option implied volatility is at 175, December is at 72; compared to its 52-week range of 28 to 128 into the expected release of quarter results today after the bell. Call put ratio 1.7 calls to 1 put.

Domo (DOMO) December call option implied volatility is at 107, January is at 77; compared to its 52-week range of 45 to 174 into the expected release of quarter results after the bell. Call put ratio 2.1 calls to 1 put.

PagerDuty (PD) December call option implied volatility is at 104, January is at 73; compared to its 52-week range of 49 to 135 into the expected release of quarter results today after the bell. Call put ratio 1.5 call to 1 put.

Ulta (ULTA) December weekly call option implied volatility is at 159, December is at 60; compared to its 52-week range of 26 to 144 into the expected release of quarter results today after the bell. Call put ratio 1.7 calls to 1 put.

Zumiez (ZUMZ) December call option implied volatility is at 75, January is at 56; compared to its 52-week range of 38 to 124 into the expected release of quarter results today after the bell. Call put ratio 8.1 calls to 1 put.

Zuora (ZUO) December call option implied volatility is at 106, January is at 73; compared to its 52-week range of 37 to 137 into the expected release of quarter results today after the bell. Call put ratio 2.8 calls to 1 put.

Big Lots (BIG) December call option implied volatility is at 86, January is at 73; compared to its 52-week range of 41 to 161 into the expected release of quarter results before the bell on December 4. Call put ratio 1 call to 1.3 puts.

Huazhu (HTHT) December call option implied volatility is at 55, January is at 45; compared to its 52-week range of 34 to 107 into the expected release of quarter results before the bell on December 4. Call put ratio 21 calls to 1 put.

Ambarella (AMBA) December weekly call option implied volatility is at 55, December is at 53; compared to its 52-week range of 33 to 110. Call put ratio 7 calls to 1 put.

Increasing unusual option volume: ARLY YEXT LAZR SNDL NYCB ERJ SNPS NLSN SPLK QS
Increasing unusual call option volume: ARLO YEXT BB EWY LAZR NYCB SNDL SNPS ERJ
Increasing unusual put option volume: XPEV BB PLTR KR ATUS PFSI SPLK QS GES PLTR SPI LQD FIVE
Options with decreasing option implied: ENDP DB WORK PLTR SPLK ZM BOX DG CRM
Active options: AAPL NIO TSLA ACB MSFT AMD AMZN