Mid-session IV Report January 6, 2021

Mid-session IV Report January 6, 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: MRO GPRO RDSA PINS SNAP WBA BBBY MU STZ WBA TEVA CMG SNE LQD MRO PGRO GILD

Popular stocks with increasing volume: GE WFC TLRY ACB DKNG CGC

Tesla (TSLA) options active, shares trade above $757

Tesla (TSLA) January weekly option implied volatility is at 50, January is at 52; compared to its 52-week range of 34 to 153 as shares rally 3%. Call put ratio 1.2 calls to 1 put with focus on January weekly 750 and 760 calls.

Cannabis stocks option volume and share price are up as Democrats won a key U.S. Senate race in Georgia

Aurora Cannabis (ACB) 30-day option implied volatility is at 134; compared to its 52-week range of 91 to 308.

Canopy Growth (CGC) 30-day option implied volatility is at 74; compared to its 52-week range of 55 to 184 as shares rally 14%. Call put ratio 7.7 calls to 1 put with focus on January weekly (22) calls.

GrowGeneration Corp. (GRWG) 30-day option implied volatility is at 90; compared to its 52-week range of 73 to 174 as shares rally 13%. Call put ratio 8 calls to 1 put with focus on January calls.

Cronos Group (CRON) 30-day option implied volatility is at 86; compared to its 52-week range of 53 to 156 as shares rally 14%. Call put ratio 9.2 calls to 1 put with focus on January weekly calls expiring on January 8.

HEXO Corp. (HEXO) 30-day option implied volatility is at 140; compared to its 52-week range of 20 to 306 as shares rally 15%. Call put ratio 5.6 calls to 1 put with focus on February calls.

Tilray, Inc. (TLRY) 30-day option implied volatility is at 1225; compared to its 52-week range of 69 to 288 as shares rally 16%. Call put ratio 6.1 calls to 1 put with focus on January weekly 11 calls.

Aurora Cannabis (ACB) 30-day option implied volatility is at 135; compared to its 52-week range of 91 to 307 as shares rally 13%.

ETFMG Alternative Harvest ETF (MJ) 30-day option implied volatility is at 62; compared to its 52-week range of 42 to 88 as shares rally 9%. Call put ratio 28 calls to 1 put with focus on February 20 calls.

IV into quarter results

Bed Bath & Beyond (BBBY) January weekly call option implied volatility is at 223, January is at 137; compared to its 52-week range of 23 to 106 into the expected release of quarter results before the bell on January 7. Call put ratio 2.2 calls to 1 put.

Conagra (CAG) January weekly call option implied volatility is at 81, February is at 44; compared to its 52-week range of 24 to 115 into the expected release of quarter results before the bell on January 7. Call put ratio 3 calls to 1 put.

Constellation Brands (STZ) January weekly call option implied volatility is at 68, January is at 40; compared to its 52-week range of 19 to 93 into the expected release of quarter results before the bell on January 7. Call put ratio 1 call to 1 put.

Lamb Weston (LW) January call option implied volatility is at 43, February is at 34; compared to its 52-week range of 19 to 115 into the expected release of quarter results on January 7. Call put ratio 1 call to 1 put.

Micron (MU) January weekly call option implied volatility is at 115, February is at 69; compared to its 52-week range of 33 to 115 into the expected release of quarter results after the bell on January 7. Call put ratio 6 calls to 1 put with focus on January weekly 77 and 78 calls.

Walgreens Boots Alliance (WBA) January weekly call option implied volatility is at 79, January is at 51; compared to its 52-week range of 22 to 88 into the expected release of quarter results on January 7. Call put ratio 12.7 calls to 1 put with focus on January weekly 43 calls.

Movers

Social Capital Hedosophia Holdings Corp. III (IPOC) 30-day option implied volatility is at 164; compared to its 52-week range of 12 to 177. Call put ratio 8 calls to 1 put.

Microvision (MVIS) 30-day option implied volatility is at 195; compared to its 52-week range of 122 to 463. Call put ratio 5.9 calls to 1 put.

Carnival Corp. (CCL) January weekly call option implied volatility is at 68, February is at 74; compared to its 52-week range of 19 to 268. Call put ratio 1.1 calls to 1 put.

Construction & material option volume up SUM CX MLM CAT DE

Increasing unusual option volume: MAS SQM SUM CHNG CNHI CX
Increasing unusual call option volume: MAS SQM SUM IWN CHNG CBAT DAN CX MJ IFF
Increasing unusual put option volume: EWU QS CLR PLCE BCS DD FUBO IPOC MARA IFF
Options with decreasing option implied: FCEL BPY
Active options: AAPL TSLA NIO BAC GE T WFC MSFT FB TLRY ACB AMD AMZN BABA TEVA DKNG RIOT CGC JPM MARA