Mid-session IV Report November 15, 2021

Mid-session IV Report November 15, 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: AGC TLRY ACG CGC IPOF EMB GGPI POTX

Popular stocks with increasing volume: LCID PLTR F PYPL MU DIS

Movers

Tesla (TSLA) November call option implied volatility is at 75, December is at 66; compared to its 52-week range of 37 to 106 as shares sell off 4.5%. Call put ratio 1.1 call to 1 put.

AMC Entertainment (AMC) November call option implied volatility is at 100, December is at 116; compared to its 52-week range of 96 to 726. Call put ratio 2.3 calls to 1 put.

IV into events

Teladoc (TDOC) 30-day option implied volatility is at 44; compared to its 52-week range of 38 to 78. Call put ratio 1.9 calls to 1 put into an investor day on November 18.

Walmart (WMT) November call option implied volatility is at 44, December is at 24; compared to its 52-week range of 14 to 34 into the expected release of quarter results November 16. Call put ratio 1.8 calls to 1 put.

Home Depot (HD) November call option implied volatility is at 41, December is at 24; compared to its 52-week range of 17 to 34 into the expected release of quarter results before the bell on November 16.

REE Automotive (REE) November call option implied volatility is at 394, December is at 140; compared to its 52-week range of 10 to 151 into the expected release of quarter results before the bell on November 16.

Jumia Technologies (JMIA) November call option implied volatility is at 199, December is at 101; compared to its 52-week range of 70 to 169 into the expected release of quarter results before the bell on November 16.

Lucid (LCID) November call option implied volatility is at 166, December is at 117; compared to its 52-week range of 69 to 289 into the expected release of quarter results before the bell on November 16. Call put ratio 2.2 calls to 1 put.

Williams-Sonoma (WSM) November call option implied volatility is at 109, December is at 58; compared to its 52-week range of 32 to 62 into the expected release of quarter results after the bell on November 17.

iQIYI (IQ) November call option implied volatility is at 156, December is at 99; compared to its 52-week range of 46 to180 into the expected release of quarter results before the bell on November 17.

Lowe’s (LOW) November call option implied volatility is at 61, December is at 31; compared to its 52-week range of 19 to 41 into the expected release of quarter results before the bell on November 17.

NVIDIA (NVDA) November call option implied volatility is at 76, December is at 51; compared to its 52-week range of 31 to 62 into the expected release of quarter results after the bell on November 17.

Target (TGT) November call option implied volatility is at 71, December is at 33; compared to its 52-week range of 17 to 42 into the expected release of quarter results before the bell on November 17. Call put ratio 4.4 calls to 1 put.

IV amid cannabis legalization headlines

Aurora Cannabis (ACB) 30-day option implied volatility is at 116; compared to its 52-week range of 61 to 220 amid cannabis legalization headlines. Call put ratio 14 calls to 1 put with focus on November 10 calls.

Canopy Growth (CGC) 30-day option implied volatility is at 102; compared to its 52-week range of 52 to 121 amid cannabis legalization headlines. Call put ratio 5.6 calls to 1 put.

Cronos Group (CRON) 30-day option implied volatility is at 113; compared to its 52-week range of 52 to 204 amid cannabis legalization headlines. Call put ratio 5.2 calls to 1 put as shares sell off 2%.

Tilray, Inc. (TLRY) 30-day option implied volatility is at 132; compared to its 52-week range of 67 to 360 amid cannabis legalization headlines. Call put ratio 7.4 calls to 1 put as shares rally 6%.

India Globalization Capital, Inc. (IGC) 30-day option implied volatility is at 128; compared to its 52-week range of 72 to 351 amid cannabis legalization headlines. Call put ratio 3.2 calls to 1 put as shares rally 6.7%.

Airbnb (ABNB) 30-day option implied volatility is at 45; compared to its 52-week range of 35 to 114. Call put ratio 3.7 calls to 1 put.

Roblox (RBLX) 30-day option implied volatility is at 77; compared to its 52-week range of 46 to 130 as shares sell off 1.7%. Call put ratio 3.4 calls to 1 put.

Increasing unusual option volume: SIX KERN CSPR GGPI MQ
Increasing unusual call option volume: KERN CSPR GGPI OPFI YALA
Increasing unusual put option volume: MQ GGPI BFLY EVGO OTLY
Options with decreasing option implied: CMPS NEGG BKKT OCGN PRTY DDD
Active options: AAPL FB TSLA SNDL BA GGPI TLRY LCID PLTR F PYPL AMC NVDA AMZN AMD SNAP MU NIO RIOT DIS