Mid-session IV Report May 20, 2021

Mid-session IV Report May 20, 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: SPCE DE TBA AMAT PANW STX HOME

Popular stocks with increasing volume: GE JD VIAC AMC T

Virgin Galactic Holdings (SPCE) May call option implied volatility is at 201, June is at 118; compared to its 52-week range of 75 to 230 as shares rally 12% into test flight.

Beyond Meat (BYND) May call option implied volatility is at 50, June is at 46; compared to its 52-week range of 45 to 99 amid Oatly Group (OTLY) IPO priced at $17.

Option implied volatility into quarter results

Applied Material (AMAT) May call option implied volatility is at 87, June is at 43; compared to its 52-week range of 33 to 55 into the expected release of quarter results today after the bell. Call put ratio 1.9 calls to 1 put.

Deckers Outdoor (DECK) May call option implied volatility is at 90, June is at 42; compared to its 52-week range of 33 to 65 into the expected release of quarter results today after the bell.

Palo Alto Networks (PANW) May call option implied volatility is at 105, June is at 40; compared to its 52-week range of 25 to 52 into the expected release of quarter results today after the bell. Call put ratio 1.7 calls to 1 put.

Ross Stores (ROST) May call option implied volatility is at 82, June is at 32; compared to its 52-week range of 25 to 57 into the expected release of quarter results today after the bell.

Buckle (BKE) May call option implied volatility is at 156, June is at 52; compared to its 52-week range of 46 to 93 into the expected release of quarter results before the bell on May 21.

Deere (DE) May call option implied volatility is at 84, June is at 35; compared to its 52-week range of 24 to 48 into the expected release of quarter results before the bell on May 21.

Foot Locker (FL) May call option implied volatility is at 149, June is at 51; compared to its 52-week range of 36 to 89 into the expected release of quarter results before the bell on May 21.

V.F. Corp (VFC) May call option implied volatility is at 87, June is at 32; compared to its 52-week range of 25 to 67 into the expected release of quarter results before the bell on May 21. Call put ratio 19 calls to 1 put.

Option volume and IV movers

Energy Select Sector SPDR ETF (XLE) May call option implied volatility is at 44, June is at 34; compared to its 52-week range of 28 to 62 as shares sell off 1.3%.

Biogen (BIIB) May call option implied volatility is at 45, June is at 97; compared to its 52-week range of 28 to 103 into for aducanumab in Alzheimer’s PDUFA date of June 7. Call put ratio 1 call to 1.4 puts.

Increasing unusual option volume: RIDE SPCE RIOT JD MARA IQ SOXS KSS BBIG BEKE IPOE
Increasing unusual call option volume: MGI EXAS SOXS KSS BBIG BEKE
Increasing unusual put option volume: SPCE HPE ROST KSS ERIC BEKE CSCO
Options with decreasing option implied: INO GDRX ABNB DASH FTCH BNGO TGT TJX HD WOOF
Active options: TSLA AAPL F SPCE AMD CSCO FB AMC NVDA T VIAC PLTR MSFT AMZN RIOT JD NIO IQ BAC MARA