Mid-session IV Report March 15, 2022

Mid-session IV Report March 15, 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: VXX PDD TCOM BIDU LI NTES ISPO XOM SLB XOM CVX

Popular stocks with increasing volume: CVX UAL PFE XOM SOFI DAL BA

Option IV as WTI trades below $100 the day before Fed meeting

Exxon Mobil (XOM) 30-day option implied volatility is at 40; compared to its 52-week range of 24 to 42. Call put ratio 1.7 calls to 1 put as shares sell off 10.6%.

Chevron (CVX) 30-day option implied volatility is at 40; compared to its 52-week range of 21 to 37. Call put ratio 1 call to 1.8 puts as shares sell off 5.2%.

Halliburton (HAL) 30-day option implied volatility is at 58; compared to its 52-week range of 37 to 63 as shares sell off 4.5%.

Schlumberger Ltd. (SLB) 30-day option implied volatility is at 55; compared to its 52-week range of 36 to 55. Call put ratio 3.6 calls to 1 put as shares sell off 4.7%.

Option IV into quarter results

PagerDuty (PD) March call option implied volatility is at 250, April is at 110; compared to its 52-week range of 43 to 104 into the expected release of quarter results after the bell on March 16. Call put ratio 1 call to 4.5 puts.

Lennar (LEN) March call option implied volatility is at 98, April is at 55; compared to its 52-week range of 26 to 55 into the expected release of quarter results after the bell on March 16.

Endeavor Group (EDR) March call option implied volatility is at 133, April is at 90; compared to its 52-week range of 46 to 110 into the expected release of quarter results after the bell on March 16.

Accenture (ACN) March call option implied volatility is at 85, April is at 44; compared to its 52-week range of 14 to 45 into the expected release of quarter results before the bell on March 17.

Canadian Solar (CSIQ) March call option implied volatility is at 148, April is at 83; compared to its 52-week range of into the expected release of quarter results before the bell on March 17.

Dollar General (DG) March call option implied volatility is at 79, April is at 41; compared to its 52-week range of 46 to 85 into the expected release of quarter results before the bell on March 17.

FedEx (FDX) March call option implied volatility is at 112, April is at 51; compared to its 52-week range of 22 to 54 into the expected release of quarter results after the bell on March 17.

GameStop (GME) March call option implied volatility is at 230, April is at 130; compared to its 52-week range of 69 to 356 into the expected release of quarter results after the bell on March 17.

Signet Jewelers (SIG) March call option implied volatility is at 199, April is at 90; compared to its 52-week range of 46 to 95 into the expected release of quarter results before the bell on March 17.

Options with decreasing option implied volatility: COUP SFIX DOCU UCO CRWD
Increasing unusual option volume: MULN COUP GTLB AMPY WEAT GNPX SST
Increasing unusual call option volume: MULN SST GTLB AMBY COUP
Increasing unusual put option volume: COUP GTLB SSRM WOLF RACE ASTS SCO CCI
Active options: AAPL TSLA NIO AAL AMC BABA CVX UAL FB PFE AMD NVDA HYMC XOM SOFI DAL BA BAC MSFT COUP