Mid-session IV Report January 18, 2022

Mid-session IV Report January 18, 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: BBIG SEAH VXRT ASTR DWAC RBOT FPAC CAR RSX AKAM

Popular stocks with increasing volume: ATVI AMC LCID PLTR GS

Option IV elevated into quarter results

Alcoa (AA) January call option implied volatility is at 115, February is at 65; compared to its 52-week range of into the expected release of 49 to 74 into quarter results after the bell on January 19.

Bank of America (BAC) January call option implied volatility is at 38, February is at 30; compared to its 52-week range of 22 to 40 into the expected release of quarter results before the bell on January 19.

Morgan Stanley (MS) January call option implied volatility is at 56, February is at 33; compared to its 52-week range of 23 to 40 into the expected release of quarter results before the bell on January 19.

Proctor & Gamble (PG) January call option implied volatility is at 34, February is at 21; compared to its 52-week range of 13 to 27 into the expected release of quarter results before the bell on January 19.

U.S. Bancorp (USB) January call option implied volatility is at 46, February is at 27; compared to its 52-week range of 20 to 38 into the expected release of quarter results before the bell on January 19. Call put ratio 4.1 calls to 1 put with focus on January 65 and June 60 calls.

United Health Group (UNH) January call option implied volatility is at 50, February is at 30; compared to its 52-week range of 17 to 33 into the expected release of quarter results before the bell on January 19.
Movers

Electronic Arts (EA) January call option implied volatility is at 46, February is at 38; compared to its 52-week range of 20 to 43 after Microsoft (MSFT) announced the acquisition of Activision Blizzard (ATVI) for $95 per share in cash. Call put ratio 1 call to 1 put as share rally 6.5%.

Kohl’s (KSS) 30-day option implied volatility is at 57; compared to its 52-week range of 39 to 77 after Macellum tells Kohl’s to change board or explore sale, WSJ reports. Call put ratio 1.5 calls to 1 put.

Farfetch Limited (FTCH) 30-day option implied volatility is at 74; compared to its 52-week range of 47 to 105 as shares sell off 5%. Call put ratio 45 calls to 1 put into shares down 5%.

Digital World Acquisition Corp (DWAC) 30-day option implied volatility is at 159; compared to its 52-week range of 83 to 253. Call put ratio 3 calls to 1 put as shares rally 13%.

Increasing unusual option volume: SGBX FATH XLC INDA OSH SRGA CMRX
Increasing unusual call option volume: CMRX SRGA RY ERX ATVI
Increasing unusual put option volume: CMRX INDA XLC OSH
Options with decreasing option implied: ATVI BIIB BENE PSTH
Active options: ATVI AAPL BBIG TSLA AMC F NVDA MSFT BA LCID FB PLTR BAC T AMD XOM TSM BABA NIO GS