Mid-session IV Report December 8, 2021

Mid-session IV Report December 8, 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: VOD RH HRL NVEI BENE NLTX

Popular stocks with increasing volume: ROKU F LCID SFIX BABA CHPT MU PYPL DIS SOFI AI

Movers

Snap (SNAP) 30-day option implied volatility is at 53; compared to its 52-week range of 43 to 119. Call put ratio 5.8 calls to 1 put as shares rally 7%.

Roku (ROKU) December weekly call option implied volatility is at 89, December is at 72; compared to its 52-week range of amid multiyear extension signed with YouTube. Call put ratio 5.3 calls to 1 put with focus on December weekly 240 calls.

IV into quarter results

GameStop (GME) December weekly call option implied volatility is at 207, December is at 133 compared to its 52-week range of 60 to 106 into the expected release of quarter results today after the bell.

Oracle (ORCL) December weekly call option implied volatility is at 86, December is at 47; compared to its 52-week range of 20 to 41 into the expected release of quarter results today after the bell.

RH (RH) December weekly call option implied volatility is at 190, December is at 105; compared to its 52-week range of 33 to 76 into the expected release of quarter results today after the bell.

National Beverage (FIZZ) December call option implied volatility is at 82, January is at 62; compared to its 52-week range of 39 to 276 into the expected release of quarter results on December 8.Call put ratio 7.5 calls to 1 put.

Broadcom (AVGO) December weekly call option implied volatility is at 69, December is at 42; compared to its 52-week range of 20 to 44 into the expected release of quarter results after the bell on December 9. Call put ratio 2 calls to 1 put.

Chewy (CHWY) December weekly call option implied volatility is at 233, December is at 126; compared to its 52-week range of 41 to 91 into the expected release of quarter results after the bell on December 9. Call put ratio 1 call to 2 puts.

Ciena (CIEN) December weekly call option implied volatility is at 149, December is at 68; compared to its 52-week range of 23 to 63 into the expected release of quarter results before the bell on December 9.

Costco (COST) December weekly call option implied volatility is at 52, December is at 33; compared to its 52-week range of 15 to 32 into the expected release of quarter results on December 9.

Hormel (HRL) December weekly call option implied volatility is at 76, December is at 43; compared to its 52-week range of 17 to 50 into the expected release of quarter results before the bell on December 9. Call put ratio 1.7 calls to 1 put.

Lululemon (LULU) December weekly call option implied volatility is at 131, December is at 71; compared to its 52-week range of 24 to 55 into the expected release of quarter results after the bell on December 9. Call put ratio 1 call to 1.2 puts.

Vail Resorts (MTN) December weekly call option implied volatility is at 55, December is at 37; compared to its 52-week range of 22 to 52 into the expected release of quarter results after the bell on December 9. Call put ratio 1 call to 15 puts with focus on December 90 puts.

Southwest Airlines (LUV) December weekly call option implied volatility is at 53, December is at 43; compared to its 52-week range of 28 to 55 into hosting an investor conference today. Call put ratio 1.3 calls to 1 put.

McCormick & Co. (MKC) December weekly call option implied volatility is at 24, December is at 25; compared to its 52-week range of 16 to 34 into hosting an investor conference today. Call put ratio 5 calls to 1 put.

Edwards Lifesciences (EW) December weekly call option implied volatility is at 81, December is at 43; compared to its 52-week range of 21 to 46 into hosting an investor conference on December 8. Call put ratio 1 call to 3.8 puts.

CVS Health (CVS) December weekly call option implied volatility is at 45, December is at 30; compared to its 52-week range of 19 to 37 into hosting an investor conference on December 9. Call put ratio 2 calls to 1 put.

Tyson Foods (TSN) December weekly call option implied volatility is at 35, December is at 31; compared to its 52-week range of 19 to 39 into hosting an investor conference on December 9. Call put ratio 1.4 calls to 1 put.

Archer Danial Midland (ADM) December weekly call option implied volatility is at 35, December is at 25; compared to its 52-week range of 19 to 38 into hosting an investor conference on December 10. Call put ratio 5 calls to 1 put.

Centene (CNC) December weekly call option implied volatility is at 68, December is at 49; compared to its 52-week range of 25to 53 into hosting an investor conference on December 10. Call put ratio 26 calls to 1 put with focus on December weekly 75 and 76 calls.

C3.ai (AI) call put ratio 4.1 calls to 1 put as shares rally 6.2%.

Increasing unusual option volume: ACI CERN TRVG SFIX LWLG
Increasing unusual call option volume: CERN ACI LWLG ARDX EWY TOL SFIX
Increasing unusual put option volume: HUN ACI SFIX PD TOL S INDI
Options with decreasing option implied: FPAC UVXY VIXY SFIX VXX GOGL AI DM TNS DBA
Active options: AAPL ROKU NVDA TSLA AMD FB F LCID NIO PFE AMC SFIX BABA CHPT MSFT AMZN MU PYPL DIS SOFI