Mid-session IV Report March 29, 2021

Mid-session IV Report March 29, 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: NMR CS AJAX GSX GLUU KPTI VIPS UA FNKO TME IQ DISCA VIAC ENDP

Popular stocks with increasing volume: BIDU PLTR NIO RKT AMD TWTR X WMT

Volume and IV amid Archegos liquidation

Tencent Music (TME) April call option implied volatility is at 116, May is at 91; compared to its 52-week range of 36 to 124. Call put ratio 2.3 calls to 1 put.

iQIYI (IQ) April weekly call option implied volatility is at 180, April is at 105; compared to its 52-week range of 46 to 134.

Farfetch Limited (FTCH) April call option implied volatility is at 63, May is at 71; compared to its 52-week range of 58 to 126. Call put ratio 1 call to 5.7 puts as shares sell off 6%.

Vipshop Holdings (VIPS) April weekly call option implied volatility is at 150, April is at 101; compared to its 52-week range of 47 to 105. Call put ratio 3.5 calls to 1 put.

GSX Techedu Inc. (GSX) April weekly call option implied volatility is at 330, April is at 205; compared to its 52-week range of 79 to 190. Call put ratio 1 call to 1 put shares down 10%.

Discovery, Inc (DISCA) April call option implied volatility is at 120, May is at 100; compared to its 52-week range of 38 to 116.

Baidu (BIDU) April weekly call option implied volatility is at 130, April is at 90; compared to its 52-week range of 32 to 85.

ViacomCBS (VIAC) April weekly call option implied volatility is at 181, April is at 105; compared to its 52-week range of 35 to 108. Call put ratio 1 call to 1 put.

Nomura Holdings (NMR) and Credit Suisse (CS) IV up after warning of loss with client

Credit Suisse (CS) 30-day option implied volatility is at 55; compared to its 52-week range of 31 to 88 after. Call put ratio 1 call to 1.9 puts with focus on April and May puts.

Nomura Holdings (NMR) 30-day option implied volatility is at 90; compared to its 52-week range of 5 to 257 as shares sell off 13%. Call put ratio 1 call to 2.6 puts.

UBS AG (UBS) 30-day call option implied volatility is at 32; compared to its 52-week range of 25 to 77. Call put ratio 14 calls to 1 put after Nomura Holdings (NYSE: NMR) and Credit Suisse (CS) warning of loss with client.

Morgan Stanley (MS) 30-day call option implied volatility is at 37; compared to its 52-week range of 30 to 90.

Goldman Sachs (GS) 30-day call option implied volatility is at 33; compared to its 52-week range of 27 to 75.

SPG and SKT volume up

Simon Property Group (SPG) 30-day call option implied volatility is at 43; compared to its 52-week range of 40 to 112. Call put ratio 3.2 calls to 1 put as shares sell off 2.6%.

Tanger Factory Outlet Centers (SKT) 30-day call option implied volatility is at 74; compared to its 52-week range of 56 to 195. Call put ratio 1 call to 12 puts with focus on June 17 puts as shares sell off 5.5%.

U.S. Steel (X) call put ratio 3.7 calls to 1 put with focus on April weekly 23 and 25 calls as shares rally 6.5%

Rocket Companies (RKT) call put ratio 2.8 calls to 1 put with focus on April weekly calls as shares rally 5%.

Increasing unusual option volume: VIPS HIG VIAC CS HGEN SEAC TME FRO DISCA RKT X SKT SPG
Increasing unusual call option volume: KTOS DISCA XLP SEAC TME FRO VIAC NAT FNKO
Increasing unusual put option volume: CS PLAY DISCA TME GIS DISCA TAL VIAC
Options with decreasing option implied: HGEN NLY MX AMT XHB TEVA
Active options: AAPL TSLA VIAC RKT BA WFC NIO FB PLTR X BIDU TME AMC MSFT GSX AMD GME BAC AMZN BABA