Mid-session IV Report March 30, 2021

Mid-session IV Report March 30, 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: KMX FLR LULU MU

Popular stocks with increasing volume: X VIAC AMC GM

Apple (AAPL) April weekly call option implied volatility is at 34, April is at 33, June is at 34; compared to its 52-week range of 25 to 66 into hosting its annual developers’ conference in an online-only format from June 7 to June 11.

Option IV into quarter results

BlackBerry (BB) April option implied volatility is at 205, April is at 121; compared to its 52-week range of 48 to 478 into the expected release of quarter results today after the bell. Call put ratio 2.4 calls to 1 put.

Chewy (CHWY) April weekly call option implied volatility is at 158, April is at 79; compared to its 52-week range of 55 to 117 into the expected release of quarter results today after the bell. Call put ratio 1.4 calls to 1 put.

Lululemon (LULU) April weekly option implied volatility is at 88, April is at 48; compared to its 52-week range of 34 to 88 into the expected release of quarter results today after the bell.

PVH (PVH) April option implied volatility is at 60, May is at 50; compared to its 52-week range of 52 to 128 into the expected release of quarter results today after the bell.

Dave & Busters (PLAY) April weekly call option implied volatility is at 143, April is at 82; compared to its 52-week range of 68 to 274 into the expected release of quarter results on March 31. Call put ratio 3 calls to 1 put.

Micron (MU) April weekly call option implied volatility is at 96, April is at 52; compared to its 52-week range of 38 to 80 into the expected release of quarter results after the bell on March 31. Call put ratio 1.4 calls to 1 put.

Walgreens Boots Alliance (WBA) April weekly option implied volatility is at 73, April is at 38; compared to its 52-week range of 30 to 60 into the expected release of quarter results on March 31.

CarMax (KMX) April weekly option implied volatility is at 97, April is at 48; compared to its 52-week range of 32 to 102 into the expected release of quarter results before the bell on April 1.

Block Trade Liquidation stocks from last week and Monday

Tencent Music (TME) April call option implied volatility is at 76, May is at 71; compared to its 52-week range of 36 to 124. Call put ratio 3.4 calls to 1 put as shares rally 7.6%.

iQIYI (IQ) April weekly call option implied volatility is at 125, April is at 85; compared to its 52-week range of 46 to 138 as shares rally 7%.

Farfetch Limited (FTCH) April call option implied volatility is at 62, May is at 74; compared to its 52-week range of 58 to 122 as shares rally 7%.

Vipshop Holdings (VIPS) April weekly call option implied volatility is at 146, April is at 95; compared to its 52-week range of 47 to 130. Call put ratio 9.4 calls to 1 put as shares rally 12%.

Baidu (BIDU) April weekly call option implied volatility is at 90, April is at 71; compared to its 52-week range of 32 to 84. Call put ratio 2.7 calls to 1 put shares rally 10%.

GSX Techedu Inc. (GSX) April weekly call option implied volatility is at 240, April is at 150; compared to its 52-week range of 79 to 237. Call put ratio 2.4 call to 1 put shares rally 11%.

Discovery, Inc (DISCA) April call option implied volatility is at 95, May is at 82; compared to its 52-week range of 38 to 116. Call put ratio 4.1 calls to 1 put with focus on April 45 and 50 calls as shares rally 8.5%

ViacomCBS (VIAC) April weekly call option implied volatility is at 133, April is at 82; compared to its 52-week range of 35 to 108. Call put ratio 2.2 calls to 1 put as shares rally 5%.

Credit Suisse (CS) 30-day option implied volatility is at 55; compared to its 52-week range of 31 to 86 after Credit Suisse and Nomura warn of losses after Archegos-linked sell-off. Call put ratio 1 call to 2.2 puts.

Nomura Holdings (NMR) 30-day option implied volatility is at 68; compared to its 52-week range of 5 to 257 as shares sell off 1.9%. Call put ratio 1 call to 1.8 puts.

Increasing unusual option volume: SEAS TME VIPS KTOS DISCA HZNP MKC
Increasing unusual call option volume: SEAC VIPS KTOS TME VIAC DISCA WY WPM DNMR
Increasing unusual put option volume: CS GOEV ERIC TME VIPS KMX GNUS TAL
Options with decreasing option implied: TME FTCH VIPS MX HGEN HOME GIS IQ BIDU GSX VIAC DISCA
Active options: AAPL TSLA NIO VIAC PLTR BAC FB BIDU SOS AMC AMD F X GME MSFT GNUS GE GM AAL BA