Mid-session IV Report January 13, 2021

Mid-session IV Report January 13, 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: CCJ GME GPRO DDD SSYS ZNGA DBX ACOR CCJ MOMO PLUG

Popular stocks with increasing volume: INTC PLTR FUBO GM GME PLUG

Tesla & NIO option implied volatility

Tesla (TSLA) January call option implied volatility is at 80, February is at 83; compared to its 52-week range of 53 to 154 as shares sell off 1%. Call put ratio 1.8 calls to 1 put.

NIO Inc. (NIO) January call option implied volatility is at 90, February is at 97; compared to its 52-week range of 81 to 215. Call put ratio 2.4 calls to 1 put with focus on January 64 and 65 calls.

Nikola (NKLA) January call option implied volatility is at 220, December is at 117; compared to its 52-week range of 67 to 304 as shares rally 19%. Call put ratio 6.2 calls to 1 put with focus on January 22 calls.

Chip stocks amid Intel CEO stepping down

Intel (INTC) January call option implied volatility is at 63, February is at 41; compared to its 52-week range of 23 to 99 after CEO Swan to step down. Call put ratio 2.9 calls to 1 put.

Advanced Micro Devices, Inc. (AMD) January call option implied volatility is at 59, February is at 58; compared to its 52-week range of 43 to 116 after Intel (INTC) say’s CEO Swan to step down. Call put ratio 2.6 calls to 1 put as shares down 4.5%.

Taiwan Semi (TSM) January call option implied volatility is at 68, February is at 43; compared to its 52-week range of 22 to 75 after Intel (INTC) say’s CEO Swan to step down. Call put ratio 4 calls to 1 put as shares down 2.9%.

NVIDIA (NVDA) January call option implied volatility is at 43, February is at 42; compared to its 52-week range of 32 to 110 after Intel (INTC) say’s CEO Swan to step down. Call put ratio 3 calls to 1 put.

Market Vectors Semiconductor ETF (SMH) January call option implied volatility is at 33, February is at 29; compared to its 52-week range of 21 to 90 after Intel (INTC) say’s CEO Swan to step down. Call put ratio 1.7 calls to 1 put as shares down 0.5%.

Dropbox (DBX) January call option implied volatility is at 80, February is at 70; compared to its 52-week range of 33 to 101 after announcing job reductions. Call put ratio 2.1 calls to 1 put as shares sell off 4.9%.

Twitter (TWTR) January call option implied volatility is at 55, February is at 67; compared to its 52-week range of 29 to 126. Call put ratio 1.1 calls to 1 put.
IV into quarter results

Delta (DAL) January call option implied volatility is at 68, 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 14. Call put ratio 2.1 calls to 1 put with focus on January 41 calls.

Blackrock (BLK) January call option implied volatility is at 43, February is at 26; compared to its 52-week range of 16 to 107 into the expected release of quarter results before the bell on January 14. Call put ratio 1 call to 1 put.

Taiwan Semiconductor (TSM) January call option implied volatility is at 68, February is at 44; compared to its 52-week range of 22 to 75 into the expected release of quarter results before the bell on January 14. Call put ratio 4.1 calls to 1 put with focus on in the money January 118 and 120 calls.

Citigroup (C) January call option implied volatility is at 56, February is at 38; compared to its 52-week range of 18 to 146 into the expected release of quarter results before the bell on January 15. Call put ratio 5.6 calls to 1 put.

JPMorgan (JPM) January call option implied volatility is at 44, February is at 30; compared to its 52-week range of into 15 to 119 the expected release of quarter results before the bell on January 15. Call put ratio 4.8 calls to 1 put with focus on January 140 calls.

PNC Financial Services (PNC) January call option implied volatility is at 48, February is at 31; compared to its 52-week range of 34 to 115 into the expected release of quarter results before the bell on January 15. Call put ratio 1 call to 1.7 puts.

Wells Fargo (WFC) January call option implied volatility is at 75, February is at 42; compared to its 52-week range of 16 to 138 into the expected release of quarter results before the bell on January 15. Call put ratio 4.5 calls to 1 put with focus on January 35 calls.

Increasing unusual option volume: GSAT GHIV FUBO GOEV VUZI
Increasing unusual call option volume: GSAT FUBO EWJ GOEV MOMO VUZI SFM
Increasing unusual put option volume: URBN EWJ GOEV MARA FUBO
Options with decreasing option implied: SRPT AGNC BMRN BBBY
Active options: INTC AAPL TSLA PLTR AMD FUBO NIO GM GME PLUG NKLA F FCEL AMZN FB TLRY MARA XPEV BABA NNDM