Mid-session IV Report March 17, 2021

Mid-session IV Report March 17, 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: NKE FDX STLA AJAX NLY SURF

Popular stocks with increasing volume: PDD CCIV GME AAL

Bank IV into FOMC policy decision

Bank of America (BAC) 30-day option implied volatility is at 32; compared to its 52-week range of 29 to 124. Call put ratio 2.3 calls to 1 put.

Citigroup (C) 30-day option implied volatility is at 36; compared to its 52-week range of 33 to 146

Goldman Sachs (GS) 30-day option implied volatility is at 31; compared to its 52-week range of 27 to 116

JPMorgan (JPM) 30-day option implied volatility is at 29; compared to its 52-week range of 26 to 119

Morgan Stanley (MS) 30-day option implied volatility is at 33; compared to its 52-week range of 30 to 120. Call put ratio 1 call to 2 puts.

Wells Fargo (WFC) 30-day option implied volatility is at 39; compared to its 52-week range of 35 to 138

State Street (STT) 30-day option implied volatility is at 37; compared to its 52-week range of 22 to 112. Call put ratio 5.9 calls to 1 put.

U.S. Bancorp (USB) 30-day option implied volatility is at 31; compared to its 52-week range of 28 to 121.

PNC Financial Services (PNC) 30-day option implied volatility is at 33; compared to its 52-week range of 28 to 111.

Bank of New York Mellon (BK) 30-day option implied volatility is at 33; compared to its 52-week range of 27 to 118 into the Fed policy decision. Call put ratio 12.3 calls to 1 put.

Comerica (CMA) 30-day option implied volatility is at 40; compared to its 52-week range of 39 to 161 into the Fed policy decision. Call put ratio 4.6 calls to 1 put.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 25; compared to its 52-week range of 22 to 111. Call put ratio 2 calls to 1 put.

Spdr S&P Bank Etf (KBE) 30-day option implied volatility is at 33; compared to its 52-week range of 25 to 125. Call put ratio 3.3 calls to 1 put.

IV into quarter results

Herman Miller (MLHR) March call option implied volatility is at 166, April is at 58; compared to its 52-week range of 46 to 123 into the expected release of quarter results today after the bell.

PageDuty (PD) March call option implied volatility is at 210, April is at 81; compared to its 52-week range of 52 to 135 into the expected release of quarter results today after the bell.

Five Below (FIVE) March call option implied volatility is at 105, April is at 48; compared to its 52-week range of 37 to 131 into the expected release of quarter results today after the bell.

Williams-Sonoma (WSM) March call option implied volatility is at 126, April is at 51; compared to its 52-week range of 39 to 134 into the expected release of quarter results today after the bell.

Sundial Growers (SNDL) March call option implied volatility is at 290, April is at 221; compared to its 52-week range of 153 to 655 into the expected release of quarter results. Call put ratio 5.6 calls to 1 put.

Accenture (ACN) March call option implied volatility is at 64, April is at 27; compared to its 52-week range of 21 to 93 into the expected release of quarter results before the bell on March 18. Call put ratio 1 call to 10 puts.

Carnival Cruise Lines (CCL) March call option implied volatility is at 77, April is at 78; compared to its 52-week range of 64 to 268. Call put ratio 3.4 calls to 1 put.

Dollar General (DG) March call option implied volatility is at 71, April is at 29; compared to its 52-week range of 21 to 68 into the expected release of quarter results before the bell on March 18.

Duluth Holding (DLTH) March call option implied volatility is at 150, April is at 79; compared to its 52-week range of 62 to189 into the expected release of quarter results before the bell on March 18.

FedEx (FDX) March call option implied volatility is at 100, April is at 41; compared to its 52-week range of 32 to 124 into the expected release of quarter results after the bell on March 18.

Nike (NKE) March call option implied volatility is at 81, April is at 34; compared to its 52-week range of 25 to 112 into the expected release of quarter results after the bell on March 18.

Signet (SIG) March call option implied volatility is at 150, April is at 83; compared to its 52-week range of 70 to 233 into the expected release of quarter results before the bell on March 18.

Surface Oncology (SURF) call put ratio 15.8 calls to 1 put with focus on March 10 calls as shares rally 5.4%

Increasing unusual option volume: SNCR TEF LPCN NRG DNN HUGE SURF
Increasing unusual call option volume: NBRV TEF LPCN MTG AMTX EMB
Increasing unusual put option volume: NRG IVR SABR KWEB IYR SOS RSX VLDr
Options with decreasing option implied: ENDP GPRO INO SIRI
Active options: AAPL TSLA PLUG PLTR NIO FB AMC BA GE BABA BAC F AMD MSFT UBER GME CCIV ALL SOS PDD