Mid-session IV Report June 4, 2021

Mid-session IV Report June 4, 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: BB CLDR CLNE TLRY BBBY KNDI CRON AMC

Popular stocks with increasing volume: F BB SNDL WKHS NOK CLNE DOCU TLRY X PLTR KNDI

Option volume, IV and share price movers

AMC Entertainment (AMC) June weekly (W) call option implied volatility is at 450, June is at 430; compared to its 52-week range of 85 to 725. Call put ratio 1 call to 1 put as shares sell off 2%.

GameStop (GME) June weekly call option implied volatility is at 220, June is at 220; compared to its 52-week range of 78 to 553. Call put ratio 1.8 calls to 1 put as shares sell off 2%.

BlackBerry (BB) June weekly (11) call option implied volatility is at 290, June is at 270; compared to its 52-week range of 47 to 478. Call put ratio 3.7 calls to 1 put with focus on June weekly calls.

Bed Bath & Beyond (BBBY) June weekly (11) call option implied volatility is at 170, June is at 140; compared to its 52-week range of 66 to 482. Call put ratio 1 call to 1 put.

Clean Energy Fuels (CLNE) 30-day option implied volatility is at 201; compared to its 52-week range of 61 to 182. Call put ratio 11 calls to 1 put with focus on June calls.

Sundial Growers (SNDL) 30-day option implied volatility is at 260; compared to its 52-week range of 135 to 654. Call put ratio 10 calls to 1 put with focus on June weekly calls.

IMAX Corp. (IMAX) 30-day option implied volatility is at 53; compared to its 52-week range of 39 to 90. Call put ratio 100 calls to 1 put with focus on June calls as peer AMC near record high.

Cinemark Holdings (CNK) 30-day option implied volatility is at 65; compared to its 52-week range of 51 to 146. Call put ratio 9 calls to 1 put as peer AMC near record high.

IV into events

Apple (AAPL) June weekly (11) call option implied volatility is at 22, June is at 23; compared to its 52-week range of 22 to 62 into Apple Worldwide Developers Conference that is due to start June 7, 2021.

Biogen (BIIB) June weekly (11) call option implied volatility is at 200, June is at 146; compared to its 52-week range of 28 to 103 into aducanumab in Alzheimer’s PDUFA date of June 7. Call put ratio 3.2 calls to 1 put.

UPS (UPS) June weekly (11) call option implied volatility is at 30, June is at 27; compared to its 52-week range of 22 to 52 ahead of the company’s analyst day on June 9th.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 19; compared to its 52-week range of 18 to 51 into Fed stress capital results.

Option IV into quarter results

Stitch Fix (SFIX) June weekly (11) call option implied volatility is at 158, June is at 120; compared to its 52-week range of 55 to 128 into the expected release of quarter results after the bell on June 7.

Vail Resorts (MTN) June call option implied volatility is at 37, July is at 29; compared to its 52-week range of 28 to 53 into the expected release of quarter results after the bell on June 7.

Increasing unusual option volume: BBIG KNDI CLNE FIVE SOXS GTT SENS
Increasing unusual call option volume: BBIG KNDI CLNE SOXS NCTY DOCU SENS MDB
Increasing unusual put option volume: BB MJ CLNE ITB SENS
Options with decreasing option implied: HOG LULU DOCU BAX DELL SPLK PSTH
Active options: AMC F TSLA AAPL NVDA BB SNDL WKHS NOK SENS MSFT PSTH BBIG CLNE DOCU FB TLRY X PLTR KNDI