Mid-session IV Report January 12, 2022

Mid-session IV Report January 12, 2022

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: DWAC VXRT RBAC GWH BENE UA COTY CMG ORGO FATH DAL TSM JPM C BAC WFC BLK

Popular stocks with increasing volume: FCX BAC ET C BP AMC

Option IV into quarter results

Delta (DAL) January weekly call option implied volatility is at 73, January is at 47; compared to its 52-week range of 32 to 61 into the expected release of quarter results before the bell on January 13. Call put ratio 1.6 calls to 1 put.

Taiwan Semiconductor (TSM) January weekly call option implied volatility is at 86, January weekly call is at 51; compared to its 52-week range of 22 to 50 into the expected release of quarter results on January 13. Call put ratio 3.2 calls to 1 put as shares rally 1.7%.

Blackrock (BLK) January weekly call option implied volatility is at 60, January is at 37; compared to its 52-week range of 19 to 35 into the expected release of quarter results before the bell on January 14.

Citigroup (C) January weekly call option implied volatility is at 45, January is at 30; compared to its 52-week range of 22 to 43 into the expected release of quarter results before the bell on January 14. Call put ratio 3.5 calls to 1 put.

JPMorgan (JPM) January weekly call option implied volatility is at 40, January is at 25; compared to its 52-week range of 19 to 38 into the expected release of quarter results before the bell on January 14. Call put ratio 2.6 calls to 1 put.

Well Fargo (WFC) January weekly call option implied volatility is at 61, January is at 36; compared to its 52-week range of 26 to 45 into the expected release of quarter results before the bell on January 14. Call put ratio 3.3 calls to 1 put.

IV as energy shares near 52-week highs

Halliburton (HAL) 30-day option implied volatility is at 42; compared to its 52-week range of 37 to 72. Call put ratio 2.3 call to 1 put as shares near upper end of range.

Schlumberger Ltd. (SLB) 30-day option implied volatility is at 38; compared to its 52-week range of 36 to 63. Call put ratio 2.1 calls to 1 put.

Devon (DVN) 30-day option implied volatility is at 50; compared to its 52-week range of 43 to 94.

Exxon Mobil (XOM) 30-day option implied volatility is at 30; compared to its 52-week range of 24 to 47 amid crude oil trades above $82.

Chevron (CVX) 30-day option implied volatility is at 24; compared to its 52-week range of 21 to 45. Call put ratio 3 calls to 1 put amid crude oil trades above $82.

EOG Resources (EOG) 30-day option implied volatility is at 35; compared to its 52-week range of 35 to 66 amid crude oil trades above $82. Call put ratio 8.44 calls to 1 put.

Increasing unusual option volume: ZH DWAC YPF FATH WTI HUM UA EBIX
Increasing unusual call option volume: OVV ZH DISH WTI EBIX UA DISH HUM TTE
Increasing unusual put option volume: MCMJ BBD HUM CZOO XPDI TIP BIIB
Options with decreasing option implied: BBBY BMRN ILMN USO
Active options: AAPL TSLA F LQID NVDA AMD BABA MSFT NIO FB FCX BA BAC ET MARA C AMZN PLTR BP AMC