Mid-session IV Report October 1, 2021

Mid-session IV Report October 1, 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: BNTX MRNA PFE NVAX

Popular stocks with increasing volume: MRK MRNA ZM AAL CCL F PLTR BA PFE NVAX BNTX

Option IV for Covid stocks after positive results from Merck (MRK) Phase 3 MOVe-OUT trial

Merck (MRK) 30-day option implied volatility is at 31; compared to its 52-week range of 16 to 35 after positive results from Phase 3 MOVe-OUT trial. Call put ratio 4.9 calls to 1 put as shares rally 9%.

Moderna (MRNA) 30-day option implied volatility is at 79; compared to its 52-week range of 51 to 132. Call put ratio 1 call to 1.6 puts with as shares sell off 14%.

BioNTech SE (BNTX) 30-day option implied volatility is at 80; compared to its 52-week range of 53 to 140. Call put ratio 1 call to 1.3 puts as shares sell off 13%.

Pfizer (PFE) 30-day option implied volatility is at 27; compared to its 52-week range of 17 to 61. Call put ratio 1.7 calls to 1 put as shares sell off 2.4%

Novavax (NVAX) 30-day option implied volatility is at 99; compared to its 52-week range of 64 to 163. Call put ratio 1.5 calls to 1 put as shares sell off 21%.

Option IV into events

General Motors (GM) October weekly call option implied volatility is at 42, October is at 39; compared to its 52-week range of 29 to 66 into investor day on October 6 and 7. Call put ratio 7 calls to 1 put after GM reports Q3 U.S. sales of 446,997 vehicles, down 218,195 units from last year.

Marvell (MRVL) 30-day option implied volatility is at 35; compared to its 52-week range of 29 to 68 into hosting an investor day on October 6.

Tesla (TSLA) 30-day option implied volatility is at 53; compared to its 52-week range of 37 to 106 into shareholder meeting on October 7.

MGM Resorts (MGM) 30-day option implied volatility is at 43; compared to its 52-week range of 35 to 76 into Golden Week.

Las Vegas Sands (LVS) 30-day option implied volatility is at 50; compared to its 52-week range of 34 to 61 into Golden Week. Call put ratio 2.8 calls to 1 put.

Wynn Resorts (WYNN) 30-day option implied volatility is at 49; compared to its 52-week range of 34 to 75 into Golden Week. Call put ratio 3 calls to 1 put.

Option IV into OPEC

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 334; compared to its 52-week range of 26 to 58 into OPEC meeting next week. Call put ratio 3.8 calls to 1 put.

Exxon Mobil (XOM) 30-day option implied volatility is at 32; compared to its 52-week range of 25 to 53 into OPEC meeting next week. Call put ratio 3 calls to 1 put.

Chevron (CVX) 30-day option implied volatility is at 28; compared to its 52-week range of 23 to 51. Call put ratio 3.2 calls to 1 put.

VIZIO Holding Corp. (VZIO) 30-day option implied volatility is at 64; compared to its 52-week range of 54 to 112. Call put ratio 2 calls to 1 put.

Increasing unusual option volume: IRNT PROG AEZS AVIR NEO OPAD
Increasing unusual call option volume: IRNT PROG AEZS AVIR MRK TMCIRNT
Increasing unusual put option volume: PROG DVAX SPIR NCR FIVN
Options with decreasing option implied: ALT BBBY PSTH INO NLY IPOF VOD MUDS
Active options: AAPL TSLA AMC MRK MRNA PROG NIO AMD NVDA FB ZM AMZN AAL CCL F PLTR BA PFE RIDE IRNT