Mid-session IV Report March 31, 2021

Mid-session IV Report March 31, 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: NLY MU UA SPCE SNPR KMX TWTR

Popular stocks with increasing volume: X CLF VIAC PLUG DBX AAL SQ T

Apple (AAPL) April weekly call option implied volatility is at 30, April is at 27, June is at 31; 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

Micron (MU) April weekly call option implied volatility is at 108, April is at 50; compared to its 52-week range of 38 to 80 into the expected release of quarter results today after the bell. Call put ratio 3.3 calls to 1 put.

Dave & Busters (PLAY) April weekly call option implied volatility is at 180, April is at 83; compared to its 52-week range of 68 to 274 into the expected release of quarter results today after the bell. Call put ratio 1.1 calls to 1 put.

CarMax (KMX) April weekly option implied volatility is at 122, April is at 46; compared to its 52-week range of 32 to 102 into the expected release of quarter results before the bell on April 1.

Unprofitable stocks trading for at least 15 times sales into end of quarter

Snap (SNAP) 30-day option implied volatility is at 79; compared to its 52-week range of 48 to 119. Call put ratio 9.3 calls to 1 put with focus on April 50 calls.

DoorDash (DASH) 30-day option implied volatility is at 67; compared to its 52-week range of 63 to 118.

CrowdStrike Holdings Inc. (CRWD) 30-day option implied volatility is at 51; compared to its 52-week range of 47 to 109 as shares rally 3.6%.

DocuSign Inc. (DOCU) 30-day option implied volatility is at 45; compared to its 52-week range of 45 to 128.

Pinterest (PINS) 30-day option implied volatility is at 62; compared to its 52-week range of 54 to 110.

Palantir (PLTR) 30-day option implied volatility is at 62; compared to its 52-week range of 59 to 174. Call put ratio 4.3 calls to 1 put with focus on April weekly 23 calls.

MercadoLibre (MELI) 30-day option implied volatility is at 43; compared to its 52-week range of 40 to 86

Twilio (TWLO) 30-day option implied volatility is at 54; compared to its 52-week range of 49 to 78

Atlassian (TEAM) 30-day option implied volatility is at 50; compared to its 52-week range of 40 to 75. Call put ratio 12 calls to 1 put.

Options with large volume, IV and price movement over the last two-weeks

Tencent Music (TME) April call option implied volatility is at 73, May is at 65; compared to its 52-week range of 36 to 124. Call put ratio 2.1 calls to 1 put as shares sell off 1%.

iQIYI (IQ) April weekly call option implied volatility is at 121, April is at 81; compared to its 52-week range of 46 to 138.

Farfetch Limited (FTCH) April call option implied volatility is at 65, May is at 74; compared to its 52-week range of 58 to 122 as shares rally 4.9%.

Vipshop Holdings (VIPS) April weekly call option implied volatility is at 100, April is at 85; compared to its 52-week range of 47 to 130. Call put ratio 10 calls to 1 put with focus on April weekly 31.50 calls.

Baidu (BIDU) April weekly call option implied volatility is at 80, April is at 60; compared to its 52-week range of 32 to 84. Call put ratio 1.2 calls to 1 put.

GSX Techedu Inc. (GSX) April weekly call option implied volatility is at 200, April is at 150; compared to its 52-week range of 79 to 237. Call put ratio 1.3 call to 1 put shares rally 1%.

Discovery, Inc (DISCA) April call option implied volatility is at 75, May is at 72; compared to its 52-week range of 38 to 116. Call put ratio 3.5 calls to 1 put with focus on April 45 and 50 calls as shares rally 1.2%

ViacomCBS (VIAC) April weekly call option implied volatility is at 120, April is at 81; compared to its 52-week range of 35 to 108. Call put ratio 2 calls to 1 put as shares sell off 3.5%.

Increasing unusual option volume: BGCP ASO SUMO CS NCTY PAVE UA VIPS
Increasing unusual call option volume: BGCP NCTY VIAC PXLW UA VIPS XLY
Increasing unusual put option volume: CHWY WBA BE CLDR CS FOSL HCA NLY KMB PVH
Options with decreasing option implied: LULU FNKO MAT BB PVH CHWY
Active options: AAPL TSLA NIO F PLTR F FB AMD X CLF VIAC BA SQ CHWY MSFT AMZN BB SNAP BAC TLRY NVDA