Mid-session IV Report January 11, 2021

Mid-session IV Report January 11, 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: GPRO APT DDD PLUG SSYS TWTR TSLA NIO BB DBX SOLO

Popular stocks with increasing volume: NIO PLTR RIOT LLY TWTR DBX CMCSA VIPS F GME BBBY PLUG INTC

Tesla & NIO option implied volatility

Tesla (TSLA) January call option implied volatility is at 94, February is at 87; compared to its 52-week range of 53 to 154 as shares sell off 5%. Call put ratio 1.3 calls to 1 put.

NIO Inc. (NIO) January call option implied volatility is at 150, February is at 107; compared to its 52-week range of 81 to 215 as shares rally above $60. Call put ratio 4.6 calls to 1 put with focus on January 65 calls.

Twitter (TWTR) January call option implied volatility is at 77, February is at 70; compared to its 52-week range of 29 to 126 after Twitter permanently cut off Donald Trump’s personal account.

Intel (INTC) January call option implied volatility is at 40, February is at 39; compared to its 52-week range of 23 to 99 into hosting a virtual news conference at CES 2021 today after the bell. Call put ratio 5.4 calls to 1 put with focus on February 55 calls.

Dropbox (DBX) January call option implied volatility is at 64, February is at 57; compared to its 52-week range of 35 to 101. Call put ratio 30 calls to 1 put with focus on January 23 and 24 calls as shares rally 4.5%

IV into quarter results, calls more active than puts

Commercial Metals (CMC) January call option implied volatility is at 68, February is at 45; compared to its 52-week range of 28 to 146 into the expected release of quarter results today after the bell. Call put ratio 4.3 calls to 1 put with focus on January 25 calls.

Albertsons (ACI) January call option implied volatility is at 73, February is at 50; compared to its 52-week range of 33 to 88 into the expected release of quarter results before the bell on January 12. Call put ratio 3 calls to 1 put.

Delta (DAL) January call option implied volatility is at 63, February is at 51; compared to its 52-week range of 51 to 265 into the expected release of quarter results before the bell on January 12.

KB Home (KBH) January call option implied volatility is at 77, February is at 52; compared to its 52-week range of 25 to 176 into the expected release of quarter results after the bell on January 12. Call put ratio 5.1 calls to 1 put.

Infosys (INFY) January call option implied volatility is at 83, February is at 41; compared to its 52-week range of 18 to 118 into the expected release of quarter results before the bell on January 13. Call put ratio 31 calls to 1 put with focus on January 19 and 20 calls.

Zscaler (ZS) 30-day option implied volatility is at 70, February is at 52; compared to its 52-week range of 42 to 117 into a company hosted analyst day today. Call put ratio 4.3 calls to 1 put.

Increasing unusual option volume: MARA SNDL TRXC GME PLUG GHIV TRXC EMAN OEG RESN INTC
Increasing unusual call option volume: MARK CROX SRPT GHIV TRXC RESN EMAN OEG CNET
Increasing unusual put option volume: TWTR BBBY QS VIPS MARA EB DDD SFM
Options with decreasing option implied: SRPT CVM BBBY GOEV OKE GILD CAG
Active options: NIO TSLA AAPL TWTR FB NVDA AMD SNAP PLTR SNDL RIOT BABA MARA GME BA BAC AMZN PLUG TRXC AAL