Mid-session IV Report December 9, 2021

Mid-session IV Report December 9, 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: CHWY LCID LULU AVGO KGC GPRO GWH SABR RENN TLGS NLTX INO

Popular stocks with increasing volume: CHWY LCID AVGO LULU TWTR ROKU DOCU TWTR AMC PLTR F PFE SNAP BABA C

Volume into economic data and FOMC policy meeting.

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 16; compared to its 52-week range of 11 to 31 into economic data and FOMC policy meeting.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 21; compared to its 52-week range of 14 to 35 into economic data and FOMC policy meeting. Call put ratio 1 call to 2.8 puts.

Russell 2000 ETF (RUT) 30-day option implied volatility is at 26; compared to its 52-week range of 18 to 37. Call put ratio 1 call to 4.7 puts with focus on December 2040 and 2090 puts.

ARK Innovation ETF (ARKK) 30-day option implied volatility is at 45; compared to its 52-week range of 28 to 71. Call put ratio 1 call to 3.9 puts with focus on December 90, 96, 100 and 103 puts.

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 32; compared to its 52-week range of 24 to 47. Call put ratio 5 calls to 1 put with focus on December 17 calls.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 16; compared to its 52-week range of 12 to 23 into economic data and FOMC policy meeting. Call put ratio 1 call to 2 puts.

IV into quarter results and outlook

Broadcom (AVGO) December weekly call option implied volatility is at 85, December is at 44; compared to its 52-week range of 20 to 44 into the expected release of quarter results today after the bell.

Chewy (CHWY) December weekly call option implied volatility is at 310, December is at 140; compared to its 52-week range of 41 to 91 into the expected release of quarter results today after the bell. Call put ratio 1 call to 1.1 puts.

Costco (COST) December weekly call option implied volatility is at 65, December is at 34; compared to its 52-week range of 15 to 32 into the expected release of quarter results today after the bell.

Lululemon (LULU) December weekly call option implied volatility is at 175, December is at 81; compared to its 52-week range of 24 to 55 into the expected release of quarter results today after the bell. Call put ratio 1 call to 1 put.

Vail Resorts (MTN) December weekly call option implied volatility is at 56, December is at 44; compared to its 52-week range of 22 to 52 into the expected release of quarter results today after the bell. Call put ratio 1 call to 1.7 puts with focus on December puts.

Increasing unusual option volume: LULU LCID CHWY NTEST CRUS RETA RDUS PERI ACI CURV
Increasing unusual call option volume: CRUS RDUS DOCU CIEN PERI RH
Increasing unusual put option volume: IWM RUT ACI RETA KGC ESTC CIEN PATH RUT CIEN
Options with decreasing option implied: UNG FPAC UVXY DB SFIX ASAN DBA RH GME CIEN
Active options: AAPL TSLA FB LCID ROKU NVDA AMD DOCU TWTR AMC NIO AMZN MSFT PLTR F PFE MARA SNAP BABA C