Mid-session IV Report November 16, 2020

Mid-session IV Report November 16, 2020

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: SOLO KNDI TIF PIC BIIB FDX KMG RWT

Popular stocks with increasing volume: MRNA ZM JD PLTR UAL PYPL

Option implied volatility into quarter results

iQIYI (IQ) November call option implied volatility is at 122, December is at 59; compared to its 52-week range of 39 to 133 into the expected release of quarter results today after the bell. Call put ratio 3.7 calls to 1 put with focus on December 25 calls.

Home Depot (HD) November call option implied volatility is at 38, December is at 27; compared to its 52-week range of 15 to 114 into the expected release of quarter results before the bell on November 17. Call put ratio 2.1 calls to 1 put after announcing the acquisition of HD Supply (HDS) for $56 per share, total enterprise value of $8B.

JinkoSolar (JKS) November call option implied volatility is at 143, December is at 98; compared to its 52-week range of 45 to 145 into the expected release of quarter results on November 17. Call put ratio 4.3 calls to 1 put.

Kohls (KSS) November call option implied volatility is at 135, December is at 71; compared to its 52-week range of 29 to 159 into the expected release of quarter results before the bell on November 17.

La-Z-Boy (LZB) November call option implied volatility is at 100, December is at 43; compared to its 52-week range of 25 to 146 into the expected release of quarter results after the bell on November 17. Call put ratio 4.6 calls to 1 put.

Nio (NIO) November call option implied volatility is at 239, December is at 145; compared to its 52-week range of 81 to 215 into the expected release of quarter results after the bell on November 17.

Walmart (WMT) November call option implied volatility is at 50, December is at 26; compared to its 52-week range of 13 to 268 into the expected release of quarter results on November 17. Call put ratio 3.5 calls to 1 put.

Moderna (MRNA) November call option implied volatility is at 100, December is at 75; compared to its 52-week range of 50 to 173 after announcing COVID-19 vaccine candidate meets efficacy endpoint in Phase 3 study. Call put ratio 1.6 calls to 1 put.

Ishares Msci Japan Etf (EWJ) 30-day option implied volatility is at 19; compares to its 52-week range of 10 to 58 amid The Japanese economy expanded 5% in the third quarter of 2020 from the previous quarter, the first growth in four quarters and the biggest expansion since 1980. Call put ratio 8.4 calls to 1 put as shares rally 1.2%.

Virgin Galactic Holdings (SPCE) November call option implied volatility is at 81, December is at 81; compares to its 52-week range of 60 to 238 after adjusting test flight schedule. Call put ratio 4.6 calls to 1 put.

Under Armour (UA) call put ratio 50 calls to 1 put with focus on November 13 and 13.50 calls
PayPal (PYPL) call put ratio 3.9 calls to 1 put with focus on November 190 calls

IV for difficult to borrow stocks

BigCommerce Holdings (BIGC) 30-day option implied volatility is at 91; compares to its 52-week range of 86 to 199.

Canopy Growth (CGC) 30-day option implied volatility is at 73; compares to its 52-week range of 55 to 185. Call put ratio 5.2 calls to 1 put.

Microvision (MVIS) 30-day option implied volatility is at 148; compares to its 52-week range of 122 to 464. Call put ratio 10 calls to 1 put.

Trillium Therapeutics (TRIL) 30-day option implied volatility is at 150; compares to its 52-week range of 91 to 278. Call put ratio 17 calls to 1 put.

Blue Apron (APRN) 30-day option implied volatility is at 106; compares to its 52-week range of 73 to 596.

Neptune Technologies (NEPT) 30-day option implied volatility is at 142; compares to its 52-week range of 88 to 256. Call put ratio 303 calls to 1 put.

Aphria (APHA) 30-day option implied volatility is at 77; compares to its 52-week range of 67 to 157. Call put ratio 7 calls to 1 put.

Hexo Corp (HEXO) 30-day option implied volatility is at 141; compares to its 52-week range of 5 to 307. Call put ratio 5.8 calls to 1 put.

Acorda Therapeutics (ACOR) 30-day option implied volatility is at 176; compares to its 52-week range of 93 to 335. Call put ratio 56 calls to 1 put.

Increasing unusual option volume: RSX SOLO FOSL LI TWOU WBT AHT HST DBI PIC
Increasing unusual call option volume: RSX ITUB TCO NIU WBT TCO DBI ABUS AYRO PIC LI SOLO
Increasing unusual put option volume: XPEV PBF YETI ZNGA LI AR AEO SOLO XPEV ZNGA
Options with decreasing option implied volatility: GPRO ACB TLRY CRON JMIA NLS CGC FTCH
Active options: AAPL NIO BA CCL AAL GE PFE AMD TSL JD MRNA BABA SPCE LI BAC ZM MU PLTR UBER AMZN