Mid-session IV Report June 24, 2021

Mid-session IV Report June 24, 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 HSY SNAP TWTR NFLX IBM NUAN CLVS LLY UAA LABD TTD HSY

Popular stocks with increasing volume: F SQ PENN CCL HSY

Option volume, IV and price movers

Hershey Foods (HSY) June weekly call option implied volatility is at 31, July is at 14; compared to its 52-week range of 14 to 37. Call put ratio 87 calls to 1 put with focus on June weekly 172.50 calls.

AMC Entertainment (AMC) 30-day option implied volatility is at 210; compared to its 52-week range of 85 to 725.

Moxian, Inc. (MOXC) 30-day option implied volatility is at 301; compared to its 52-week range of 179 to 255 as shares sell off 3.9%.

Clover Health Investments (CLOV) 30-day option implied volatility is at 181; compared to its 52-week range of 12 to 305. Call put ratio 5.2 calls to 1 put with focus on June weekly and July 15 calls.

ContextLogic (WISH) 30-day option implied volatility is at 156, July is at 161; compared to its 52-week range of 79 to 278. Call put ratio 5.4 calls to 1 put with focus on June weekly 12.5 and 15 calls.

Graybug Vision Inc. (GRAY) 30-day option implied volatility is at 144; compared to its 52-week range of 106 to 386.

Riot Blockchain (RIOT) 30-day option implied volatility is at 105; compared to its 52-week range of 105 to 275.

Brooklyn ImmunoTherapeutics (BTX) 30-day option implied volatility is at 169; compared to its 52-week range of 165 to 255. Call put ratio 8.1 calls to 1 put with focus on July 20 and 25 calls.

Romeo Power, Inc. (RMO) 30-day option implied volatility is at 49; compared to its 52-week range of 19 to 212. Call put ratio 11 calls to 1 put with focus on July 7.5 and 10 calls.

Yalla Group Limited (YALA) 30-day option implied volatility is at 91; compared to its 52-week range of 84 to 215.

KemPharm (KMPH) 30-day option implied volatility is at 92; compared to its 52-week range of 69 to 280.

BioNano Genomics, Inc. (BNGO) 30-day option implied volatility is at 95; compared to its 52-week range of 91 to 246. Call put ratio 10.2 calls to 1 put with focus on July 8 calls.

Luminar Technologies (LAZR) 30-day option implied volatility is at 75; compared to its 52-week range of 28 to 244. Call put ratio 18 calls to 1 put with focus on July 25 calls as shares rally 11%.

Atossa Therapeutics (ATOS) 30-day option implied volatility is at 304; compared to its 52-week range of 112 to 355 as shares rally 5.5%.

Mb Financial Corp (BFI) 30-day option implied volatility is at 62; compared to its 52-week range of 50 to 106.

China XD Plastics (CXDC) 30-day option implied volatility is at 241; compared to its 52-week range of 85 to 356.

Eli Lilly (LLY) 30-day option implied volatility is at 27; compared to its 52-week range of 22 to 46 after receives therapy designation for donanemab from FDA. Call put ratio 2.5 calls to 1 put as shares rally 8.5%.

Biogen (BIIB) 30-day option implied volatility is at 43; compared to its 52-week range of 28 to 121 after Eli Lilly (LLY) receives therapy designation for donanemab from FDA.

Option implied volatility into quarter results

BlackBerry (BB) June weekly call option implied volatility is at 209, July is at 111; compared to its 52-week range of 48 to 477 into the expected release of quarter results today after the bell. Call put ratio 1.8 calls to 1 put.

FedEx (FDX) June weekly call option implied volatility is at 103, July is at 38; compared to its 52-week range of 24 to 63 into the expected release of quarter results today after the bell.

Nike (NKE) June weekly call option implied volatility is at 92, July is at 32; compared to its 52-week range of 21 to 43 into the expected release of quarter results today after the bell.

CarMax (KMX) June weekly call option implied volatility is at 107, July is at 37; compared to its 52-week range of 26 to 55 into the expected release of quarter results before the bell on June 25. Call put ratio 2.4 calls to 1 put.

Jack in the Box (JACK) 30-day option implied volatility is at 36; compared to its 52-week range of 30 to 62 into hosting a virtual investor day on June 29.

Increasing unusual option volume: BEST KBH ATCO TTD H VTNR HSY
Increasing unusual call option volume: BEST TTD ATCO KBH HSY VTNR H GSM WISH HSY
Increasing unusual put option volume: CRBP KBH NTLA ITB CPNG RAD CIEN
Options with decreasing option implied: HZON OCGN DRI SDS
Active options: TSLA AAPL PLTR SNAP NVDA F AMD CLOV AMC SQ WFC SNDL MSFT NIO BBBY SKLZ NFLX WKHS AMZN WISH