Mid-session IV Report January 4, 2022

Mid-session IV Report January 4, 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: SNAP IPOF ALGN UPS WBA CAG LW BBBY NOK DIDI

Popular stocks with increasing volume: F TSM AMC PFE GM

AMD & TSM options active

Advanced Micro Devices, Inc. (AMD) January weekly call option implied volatility is at 60, January is at 51; compared to its 52-week range of 29 to 65 after announced new products that deliver leadership productivity, content creation, and gaming experiences. Call put ratio 2.5 calls to 1 put as shares sell off 5.3%.

Taiwan Semi (TSM) January weekly call option implied volatility is at 42, January is at 40; compared to its 52-week range of 22 to 51. Call put ratio 3 calls to 1 put with focus on January and January weekly 130 calls as shares rally 2%.

Shopify (SHOP) January weekly call option implied volatility is at 76, January is at 54; compared to its 52-week range of 35 to 68. Call put ratio 1.7 calls to 1 put with focus on January options as shares sell off 7%.

Option IV into quarter results

Niu Technologies (NIU) January call option implied volatility is at 70, February is at 65; compared to its 52-week range of 58 to 110 into the expected release of quarter results on January 5. Call put ratio 26 calls to 1 put with focus on January 30 calls.

Bed Bath & Beyond (BBBY) January weekly call option implied volatility is at 270, January is at 151; compared to its 52-week range of 57 to 303 into the expected release of quarter results on January 6. Call put ratio 1 call to 1 put.

ConAgra Brands (CAG) January weekly call option implied volatility is at 63, January is at 33; compared to its 52-week range of 19 to 41 into the expected release of quarter results before the bell on January 6.

Lamb Weston (LW) January call option implied volatility is at 43, February is at 41; compared to its 52-week range of 24 to 50 into the expected release of quarter results before the bell on January 6. Call put ratio 7.6 calls to 1 put with focus on January 65 and 70 calls.

Constellation Brands (STZ) January weekly call option implied volatility is at 51, January is at 27; compared to its 52-week range of 18 to 37 into the expected release of quarter results on January 6. Call put ratio 2.4 calls to 1 put.

Walgreens Boots Alliance (WBA) January weekly call option implied volatility is at 64, January is at 35; compared to its 52-week range of 23 to 48 into the expected release of quarter results on January 6. Call put ratio 4.4 calls to 1 put with focus on January 50 calls.

Increasing unusual option volume: ESSC AVB SAN TXMD IBRX
Increasing unusual call option volume: ESSC XLB TXMD IBRX CENX
Increasing unusual put option volume: IVZ APO
Options with decreasing option implied: PFE DIS LCID GM AMC CCL
Active options: F TSLA AAPL BAC AMD MSFT TSM BA PFE NVDA DIS NIO AMZN LCID GM AMC CCL FB JPM INTC