Mid-session IV Report November 30, 2021

Mid-session IV Report November 30, 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: TGTX T UVXY VIX UA TNA SPXU SPXS SVXY SPXL

Popular stocks with increasing volume: RBLX AAL PFE RIOT TWTR T PYPL TLRY

AT&T (T) IV and volume up as shares near 11-year low

AT&T (T) December weekly call option implied volatility is at 34, December is at 31; compared to its 52-week range of 15 to 29 as shares down 4.5%. Call put ratio 3.5 calls to 1 put as shares near 11-year low.

Index IV up as shares pull back on Yellen and Powell comments

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 21; compared to its 52-week range of 11 to 31. Call put ratio 1 call to 1.5 puts as shares sell off 1.2%.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 24; compared to its 52-week range of 14 to 35. Call put ratio 1 call to 1.6 puts as shares sell off 1.2%.

iShares Russell 2000 ETF (IWM) 30-day option implied volatility is at 31; compared to its 52-week range of 18 to 38. Call put ratio 1 call to 1.7 puts.

IV into events

Salesforce.com (CRM) December weekly call option implied volatility is at 84, December is at 46; 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 1.2 calls to 1 put.

Hewlett Packard Enterprise (HPE) December weekly call option implied volatility is at 86, December is at 48; compared to its 52-week range of 25 to 83 into the expected release of quarter results today after the bell. Call put ratio 3.2 calls to 1 put.

NetApp (NTAP) December weekly call option implied volatility is at 98, December is at 54; 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 1.6 calls to 1 put.

C3.ai.com (AI) December call option implied volatility is at 126, January is at 98; 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 29; compared to its 52-week range of 18 to 37 into the expected release of quarter results on December 1. Call put ratio 1 call to 1.3 puts.

CrowdStrike (CRWD) December weekly call option implied volatility is at 115, 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. Call put ratio 1.8 calls to 1 put.

Five Below (FIVE) December weekly call option implied volatility is at 120, 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 69, 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. Call put ratio 8.2 calls to 1 put with focus on December 110 and 115 calls.

Snowflake (SNOW) December weekly call option implied volatility is at 125, 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. Call put ratio 4 calls to 1 put.

Okta, Inc. (OKTA) December weekly call option implied volatility is at 133, December is at 68; compared to its 52-week range of 33 to 58 into the expected release of quarter results on December 1. Call put ratio 2.9 calls to 1 put.

Splunk (SPLK) December weekly call option implied volatility is at 103, December is at 59; compared to its 52-week range of 32 to 63 into the expected release of quarter results on December 1. Call put ratio 1.3 calls to 1 put.

BeyondSpring (BYSI) 30-day option implied volatility is at 349; 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 1.5 calls to 1 put as shares rally 3%.

Matterport, Inc. (MTTR) 30-day option implied volatility is at 134; compared to its 52-week range of 54 to 121 as shares rally 4%. Call put ratio 3.2 calls to 1 put.

Rite Aid (RAD) call put ratio 13 calls to 1 put with focus on December 12.5 calls as shares rally 4.6%.

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 as shares sell off 2%.

Increasing unusual option volume: IMGN EWG KRYS CHS CERN VIR EVC BZUN
Increasing unusual call option volume: EWG IMGN NGL VIR CTIC RDSB RAD
Increasing unusual put option volume: IMGN BZUN EWG PD
Options with decreasing option implied: BOIL SAVA ENDP RIVN GME UNG HPQ
Active options: AAPL TSLA AMD NVDA LCID MRNA FB RBLX F BABA AAL PFE AMC RIOT TWTR NIO T BAC PYPL TLRY