Mid-session IV Report January 7, 2022

Mid-session IV Report January 7, 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: DISCA BFLY SNAP ZNGA RBLX GME AMC COIN

Popular stocks with increasing volume: RBLX LCID AMC GME BYND DKNG VIAC

Movers

GameStop (GME) January weekly call option implied volatility is at 270, January is at 180; compared to its 52-week range of 69 to 553. Call put ratio 1.9 calls to 1 put as shares rally 6.5% amid wide intra-day movement amid release of a press release highlighting new upcoming products.

Roblox (RBLX) January weekly call option implied volatility is at 128, January is at 77; compared to its 52-week range of 46 to 131 after Reuters reported the removal of its China app to build new version. Call put ratio 1.1 calls to 1 put.

AMC Entertainment (AMC) January weekly call option implied volatility is at 191, January is at 130; compared to its 52-week range of 95 to 726. Call put ratio 2.6 calls to 1 put amid wide price movement.

Coinbase (COIN) January weekly call option implied volatility is at 99, January is at 61; compared to its 52-week range of 45 to 81 as bitcoin near low end of range.

IV into quarter results

Albertson (ACI) January call option implied volatility is at 63, February is at 52; compared to its 52-week range of 29 to 76 into the expected release of quarter results on January 10. Call put ratio 2.3 calls to 1 put.

Tilray (TLRY) January weekly call option implied volatility is at 170, February is at 111; compared to its 52-week range of 67 to 360 into the expected release of quarter results before the bell on January 10. Call put ratio 3.6 calls to 1 put.

Delta (DAL) January call option implied volatility is at 47, February is at 42; compared to its 52-week range of 32 to 61 into the expected release of quarter results before the bell on January 13. Call put ratio 3.7 calls to 1 put as shares rally 2.7%.

Taiwan Semiconductor (TSM) January call option implied volatility is at 55, February is at 47; compared to its 52-week range of 22 to 50 into the expected release of quarter results on January 13. Call put ratio 3 calls to 1 put as shares sell off 3.3%.

Increasing unusual option volume: DOGZ MRIN RDUS ESSC
Increasing unusual call option volume: MRIN DOGZ ESSC RDUS
Increasing unusual put option volume: HUM EXC PTLO TIP MRIN
Options with decreasing option implied: VXRT SEAH TSN
Active options: AAPL TSLA F BAC BABA AMC NVDA GME MSFT LCID FB T AMD NIO DKNG C AMZN PLTR WFC ROKU