Mid-session IV Report January 14, 2021

Mid-session IV Report January 14, 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: GME PLUG ABNB JPM C WFC PNC ACB VIPS

Popular stocks with increasing volume: SPCE GME AAL TSM FCEL GM AAL

Tesla & NIO option implied volatility comes in

Tesla (TSLA) January call option implied volatility is at 76, February is at 81; compared to its 52-week range of 53 to 154. Call put ratio 2.1 calls to 1 put.

NIO Inc. (NIO) January call option implied volatility is at 85, February is at 93; compared to its 52-week range of 81 to 215. Call put ratio 4.6 calls to 1 put with focus on January 63 and 64 calls.

Chip stocks and Intel (INTC) IV, volume and share price movement

Intel (INTC) January call option implied volatility is at 47, February is at 41; compared to its 52-week range of 23 to 99. Call put ratio 2.4 calls to 1 put.

AMD (AMD) January call option implied volatility is at 53, February is at 56; compared to its 52-week range of 43 to 116. Call put ratio 4.6 calls to 1 put as shares down 1.1%.

Taiwan Semi (TSM) January call option implied volatility is at 55, February is at 39; compared to its 52-week range of 22 to 75 after quarter results. Call put ratio 3.6 calls to 1 put as shares up 9%.

NVIDIA (NVDA) January call option implied volatility is at 44, February is at 42; compared to its 52-week range of 32 to 110. Call put ratio 2 calls to 1 put.

Option implied volatility for semiconductor stocks

Lam Research (LRCX) 30-day option implied volatility is at 48; compared to its 52-week range of 29 to 105.

KLA-Tencor (KLAC) 30-day option implied volatility is at 43; compared to its 52-week range of 31 to 95

Micron (MU) 30-day option implied volatility is at 44; compared to its 52-week range of 33 to 115
Maxim Integrated Devices (MXIM) 30-day option implied volatility is at 29; compared to its 52-week 25 to 92.

Qualcomm (QCOM) 30-day option implied volatility is at 43; compared to its 52-week range of 28 to 85

Marvell (MRVL) 30-day option implied volatility is at 42; compared to its 52-week range of 32 to 99.

Microchip (MCHP) 30-day option implied volatility is at 43; compared to its 52-week range of 29 to 99.

Applied Materials (AMAT) 30-day option implied volatility is at 42; compared to its 52-week range of 30 to 119.

Skyworks (SWKS) 30-day option implied volatility is at 41; compared to its 52-week range of 31 to 108.

Analog Devices (ADI) 30-day option implied volatility is at 27; compared to its 52-week range of 24 to 94.

AMD (AMD) 30-day option implied volatility is at 58; compared to its 52-week range of 43 to 117.

Intel (INTC) 30-day option implied volatility is at 43; compared to its 52-week range of 23 to 99.

TSMC (TSM) 30-day option implied volatility is at 40; compared to its 52-week range of 22 to 75.

Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 31; compared to its 52-week range of 21 to 91. Call put ratio 4.1 calls to 1 put.

IV into quarter results

Citigroup (C) January call option implied volatility is at 71, February is at 37; 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 2.3 calls to 1 put.

JPMorgan (JPM) January call option implied volatility is at 56, February is at 30; compared to its 52-week range of 15 to 119 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 142 calls.

PNC Financial Services (PNC) January call option implied volatility is at 51, 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 1.5 puts.

Wells Fargo (WFC) January call option implied volatility is at 100, 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 3.1 calls to 1 put with focus on January 35 calls.

Increasing unusual option volume: CCIV NAVI CCX ERJ CNET ACIA LEVI SRAC EXPR
Increasing unusual call option volume: NAVI GSAT GHIV LXRX TRXC ROST GOGO DDD MAC
Increasing unusual put option volume: GME LMND VTRS TAN DDD HEXO MAC RIG MARA TSM
Options with decreasing option implied: SRPT DAL DDD SRNE ACIA AGNC
Active options: AAPL TSLA SPCE BABA GME NIO F TSM INTC AAL GM AMD PLTR OXY TLRY PLUG FCEL WFC NOK