Mid-session IV Report November 29, 2021

Mid-session IV Report November 29, 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: BYSI NRXP RLX DWAC MRNA TNA

Popular stocks with increasing volume: PLTR DIS BA MRNA LCID CCL AAL

Movers

Moderna (MRNA) 30-day option implied volatility is at 83; compared to its 52-week range of 51 to 132 as shares rally 9%. Call put ratio 2.3 calls to 1 put amid Omicron Variant.

Twitter (TWTR) 30-day option implied volatility is at 47; compared to its 52-week range of 32 to 91 after Jack Dorsey stepped down as Twitter CEO. Call put ratio 3.2 calls to 1 put with focus on December weekly 50 calls.

Krystal Biotech (KRYS) 30-day option implied volatility is at 131; compared to its 52-week range of 45 to 325 after topline data expected from the pivotal GEM-3 trial evaluating B-VEC. Call put ratio 1 call to 2.9 puts as shares rally 119%.

Disney (DIS) 30-day option implied volatility is at 30; compared to its 52-week range of 20 to 48.Call put ratio 2.2 calls to 1 put.

IV into events

Salesforce.com (CRM) December weekly call option implied volatility is at 84, December is at 50; compared to its 52-week range of 22 to 50 into the expected release of quarter results after the bell on November 30. Call put ratio 1.5 calls to 1 put.

Hewlett Packard Enterprise (HPE) December weekly call option implied volatility is at 73, December is at 46; compared to its 52-week range of 25 to 83 into the expected release of quarter results after the bell on November 30.

NetApp (NTAP) December weekly call option implied volatility is at 84, December is at 47; compared to its 52-week range of 24 to 59 into the expected release of quarter results after the bell on November 30. Call put ratio 1 calls to 2.5 puts.

C3.ai.com (AI) December call option implied volatility is at 125, January is at 96; compared to its 52-week range of 50 to133 into the expected release of quarter results after the bell on December 1.

Constellation Brands (STZ) December weekly call option implied volatility is at 41, December is at 31; compared to its 52-week range of 18 to 37 into the expected release of quarter results on December 1.

CrowdStrike (CRWD) December weekly call option implied volatility is at 112, December is at 71; compared to its 52-week range of 36 to 72 into the expected release of quarter results after the bell on December 1.

Five Below (FIVE) December weekly call option implied volatility is at 110, December is at 65; compared to its 52-week range of 30 to 57 into the expected release of quarter results after the bell on December 1.

PVH (PVH) December call option implied volatility is at 65, January is at 51; compared to its 52-week range of 36 to 72 into the expected release of quarter results after the bell on December 1.

Snowflake (SNOW) December weekly call option implied volatility is at 113, December is at 69; compared to its 52-week range of 36 to 98 into the expected release of quarter results after the bell on December 1.

BeyondSpring (BYSI) 30-day option implied volatility is at 374; compared to its 52-week range of 73 to 293 into the FDA has a Prescription Drug User Fee Act target action date set for the plinabulin NDA of November 30. Call put ratio 1 call to 1.1 puts as shares sell off 7%.

Increasing unusual option volume: CBRE HTA CNDT MPLS CARS KRYS
Increasing unusual call option volume: CBRE HTA MPLN CNDT NUAN KRYS
Increasing unusual put option volume: CFLT XPO WB BLU KRYS
Options with decreasing option implied: VXRT BKKT AUPH FTCV NTNX KRYS
Active options: AAPL TSLA AMD PFE MRNA LCID CCL TWTR AAL NVDA F AMC MSFT PLTR FB NIO AMZN BAC DIS BA