Mid-session IV Report July 12, 2021

Mid-session IV Report July 12, 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: CLDR YETI FLR WB ALB MTCH

Popular stocks with increasing volume: SPCE F DIS WBA PLTR ROKU T

Option volume and IV movers

Virgin Galactic Holdings (SPCE) July option implied volatility is at 181, July is at 134; compared to its 52-week range of 75 to 230 after files to sell up to $500M of shares. Call put ratio 1.6 calls to 1 put as shares sell off 10%.

3D Systems (DDD) 30-day option implied volatility is at 85; compared to its 52-week range of 56 to 218 as shares sell off 8.5%. Call put ratio 2.9 calls to 1 put with focus on July 32 calls.

Alibaba (BABA) July and August option implied volatility is at 33; compared to its 52-week range of 24 to 56. Call put ratio 3.3 calls to 1 put as shares sell off 1.2%.
IV into quarter results

Conagra (CAG) July call option implied volatility is at 47, August is at 24; compared to its 52-week range of 19 to 40 into the expected release of quarter results before the bell on July 13.

Fastenal (FAST) July call option implied volatility is at 48, August is at 24; compared to its 52-week range of 21 to 42 into the expected release of quarter results before the bell on July 13. Call put ratio 6.5 calls to 1 put with focus on July and August 57.50 calls.

Goldman Sachs (GS) July call option implied volatility is at 41, August is at 26; compared to its 52-week range of 23 to 48 into the expected release of quarter results before the bell on July 13.

JPMorgan (JPM) July call option implied volatility is at 33, August is at 23; compared to its 52-week range of 21 to 49 into the expected release of quarter results before the bell on July 13.

PepsiCo (PEP) July call option implied volatility is at 23, August is at 15; compared to its 52-week range of 14 to 30 into the expected release of quarter results before the bell on July 13. Call put ratio 2.9 calls to 1 put with focus on July 152.50 calls.

XPO Logistics (XPO) 30-day option implied volatility is at 39; compared to its 52-week range of 30 to 63 into Investor Day to discuss GXO Spin-Off 2021 will be held on July 13. Call put ratio 1.3 calls to 1 put.

GEO Group (GEO) call put ratio 66 calls to 1 put with focus on July 8 calls.

Increasing unusual option volume: SPI BSQR ACEV BTCM EAT PIXY WBA GEO
Increasing unusual call option volume: EAT SPI BTCM BSQR FAST WBA FUN CAKE
Increasing unusual put option volume: STMP PBI ME DM EQX
Options with decreasing option implied: CCXI PRVB INO CVM IPOF UA SOFI LEVI
Active options: AAPL TSLA SPCE AMC F NIO DIS WBA AMD AMZN NVDA BAC BA CLOV PLTR ROKU SNDL MSFT WISH T