Mid-session IV Report March 16, 2021

Mid-session IV Report March 16, 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: GPRO YY VIAC RBAC DB HYG

Popular stocks with increasing volume: CCL FCEL NOK AAL

Large Movers

GameStop (GME) March call option implied volatility is at 470, April is at 336; compared to its 52-week range of 78 to 553 into the expected release of quarter results on March 23. Call put ratio 1 call to 1 put as shares sell off 11%.

Churchill Capital Corp IV (CCIV) March call option implied volatility is at 180, April is at 132; compared to its 52-week range of 78 to 553 into the expected release of quarter results on March 23. Call put ratio 6.3 calls to 1 put as shares rally 12%.

Option implied volatility for stocks reporting this week

Coupa (COUP) March call option implied volatility is at 108, April is at 61; compared to its 52-week range of 48 to 123 into the expected release of quarter results today after the bell.

CrowdStrike (CRWD) March call option implied volatility is at 117, April is at 62; compared to its 52-week range of 50 to 117 into the expected release of quarter results today after the bell.

Lennar (LEN) March call option implied volatility is at 73, April is at 44; compared to its 52-week range of 38 to 160 into the expected release of quarter results today after the bell.

Herman Miller (MLHR) March call option implied volatility is at 145, April is at 61; compared to its 52-week range of 46 to 123 into the expected release of quarter results after the bell on March 17.

PageDuty (PD) March call option implied volatility is at 181, April is at 81; compared to its 52-week range of 52 to 135 into the expected release of quarter results after the bell on March 17. Call put ratio 6.7 calls to 1 put.

Five Below (FIVE) March call option implied volatility is at 91, April is at 44; compared to its 52-week range of into 37 to 137 the expected release of quarter results after the bell on March 17.

Sundial Growers (SNDL) March call option implied volatility is at 260, April is at 190; compared to its 52-week range of 153 to 655 into the expected release of quarter results before the bell on March 17.

Lands’ End (LE) March call option implied volatility is at 160, April is at 80; compared to its 52-week range of 68 to 183 into the expected release of quarter results after the bell on March 17.

SPDR S&P Retail ETF (XRT) call put ratio 1 call to 2.1 puts with focus on March and April 90 calls as shares sell off 2.4%

Increasing unusual option volume: SNCR QD DNN KMPH CYH EBON CROX QFIN LC NOV
Increasing unusual call option volume: DNN KMPH CYH QD NOV EBON ADMA LC
Increasing unusual put option volume: QD SOS PSTH APA
Options with decreasing option implied: SRNE TEVA TUP ZUO CLDR UNFI
Active options: AAPL AMC TSLA BA AMD CCIV PLTR FB GME NIO MSFT F SNDL QD MU GE CCL FCEL AMZN LVS