Mid-session IV Report May 31, 2022

Mid-session IV Report May 31, 2022

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: BBAI IPOD VIX RDBX BBAI HUSA CTT NKLA NLY DB NKE MU

Popular stocks with increasing volume: XOM OXY DKNG SNAP MARA KO PLTR

Amazon (AMZN) option implied volatility elevated into stock split

Amazon (AMZN) June weekly call option implied volatility is at 55, June is at 51; compared to its 52-week range 19 to 54 into shareholder of record at the close of business on May 27, 2022 will have 19 additional shares for every one share held as of such date reflected in their accounts on or about June 3, 2022. Trading is expected to begin on a split-adjusted basis on June 6, 2022.

Option movers into quarter results

Ambarella (AMBA) June weekly call option implied volatility is at 220, June is at 120; compared to its 52-week range of 40 to 101 into the expected release of quarter results today after the bell. Call put ratio 1 call to 1.4 puts as shares sell off 2.1%.

Chargepoint Holdings Inc. (CHPT) June weekly call option implied volatility is at 193, June is at 116; compared to its 52-week range of 59 to 108 into the expected release of quarter results today after the bell. Call put ratio 2.7 calls to 1 put.

HP Inc. (HPQ) June weekly call option implied volatility is at 110, June is at 61; compared to its 52-week range of 47 to 105 into the expected release of quarter results today after the bell. Call put ratio flat as shares rally 1%.

Ambarella (AMBA) June weekly call option implied volatility is at 221, June is at 112; compared to its 52-week range of 40 to 102 into the expected release of quarter results today after the bell. Call put ratio 1 call to 1.2 puts as shares sell off 3%.

C3.ai (AI) June call option implied volatility is at 118, June is at 95; compared to its 52-week range of 51 to 128 into the expected release of quarter results after the bell on June 1.

Capri (CPRI) June weekly call option implied volatility is at 150, June is at 84; compared to its 52-week range of 41 to 83 into the expected release of quarter results before the bell on June 1.

Chewy (CHWY) June weekly call option implied volatility is at 286, June is at 141; compared to its 52-week range of 41 to 119 into the expected release of quarter results after the bell on June 1. Call put ratio 1 call to 1 .4 puts.

GameStop (GME) June weekly call option implied volatility is at 164, June is at 164; compared to its 52-week range of 69 to 216 into the expected release of quarter results on June 1. Call put ratio 1.9 calls to 1 put as shares sell off 11%.

Movers near low end of range

PayPal (PYPL) 30-day option implied volatility is at 56; compared to its 52-week range of 24 to 84. Call put ratio 2.6 calls to 1 put.

Block (SQ) 30-day option implied volatility is at 83; compared to its 52-week range of 35 to 109.

Affirm Holdings (AFRM) 30-day option implied volatility is at 118; compared to its 52-week range of 60 to 214.

Option volume increases

Mattel (MAT) June weekly call option implied volatility is at 65, June is at 55; compared to its 52-week range of 29 to 84. Call put ratio 46 calls to 1 put with focus on June 24 calls as shares rally 1.1%.

IBM (IBM) June weekly call option implied volatility is at 29, June is at 26; compared to its 52-week range of 16 to 44. Call put ratio 1.2 calls to 1 put with focus on June 24 calls as shares sell off 0.5%.

Novartis (NVS) June weekly call option implied volatility is at 33, June 22; compared to its 52-week range of 14 to 63. Call put ratio 1 call to 4.2 puts as shares sell off 1%.

NI (NATI) 30-day option implied volatility is at 46; compared to its 52-week range of 22 to 90. Call put ratio 880 calls to 1 put with focus on June 40 calls as shares rally 0.5%.

DexCom (DXCM) June call option implied volatility is at 63, July is at 59; compared to its 52-week range of 29 to 83 after DexCom says ‘not in active discussions’ about merger. Call put ratio 1 call to 1.2 puts as shares rally 6.7%.

Options with decreasing option implied volatility: CWEB YINN JWN BBY ZM FTCH
Increasing unusual option volume: ZEN NVS TXMD TIP BMO BKSY GRAB MAT NI NVS
Increasing unusual call option volume: BMO GRAB BKSY HUSA VSCO ASHR MAT NOG
Increasing unusual put option volume: TIP UVIX CRHC AMRS JEF AEP CLVS
Active options: AAPL TSLA AMC BABA AMZN NIO FB MULN XOM OXY GRAB MSFT F DKNG SNAP MARA KO PLTR