Mid-session IV Report October 4, 2021

Mid-session IV Report October 4, 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: AMPY KOLD PSTH TEVA BOIL KDMN APRN HYZN VTNR MUDS APT

Popular stocks with increasing volume: OXY NFLX MRNA F AMC

Moderna (MRNA) October weekly call option implied volatility is at 98, October is a 77; compared to its 52-week range of 51 to 131 as shares sell off 6%. Call put ratio 1.1 calls to 1 put.

Facebook (FB) October weekly call option implied volatility is at 41, October is a 34; compared to its 52-week range of 21 to 55. Call put ratio 1.1 calls to 1 put after 60 Minutes report.

Coinbase (COIN) 30-day option implied volatility is at 50; compared to its 52-week range of 45 to 81 as shares sell off 2% amid Bitcoin down 3%.

Option IV into events

Devon Energy (DVN) 30-day option implied volatility is at 58; compared to its 52-week range of 43 to 101 into virtual OPEC meeting. Call put ratio 3.9 calls to 1 put as shares rally 5%.

PepsiCo (PEP) October weekly call option implied volatility is at 30, October is a 23; compared to its 52-week range of 14 to 30 into the expected release of quarter results before the bell on October 5, Call put ratio 2 calls to 1 put.

Constellation Brands (STZ) October call option implied volatility is at 52, October is at 37; compared to its 52-week range of 18 to 41 into the expected release of quarter results before the bell on October 6. Call put ratio 1 call to 3 puts.

Levi Strauss (LEVI) October call option implied volatility is at 62, November is at 44; compared to its 52-week range of 33 to 72 into the expected release of quarter results on October 6.

Amgen (AMGN) 30-day option implied volatility is at 26; compared to its 52-week range of 17 to 43 into hosting an investor meeting today.

IBM (IBM) 30-day option implied volatility is at 28; compared to its 52-week range of 16 to 36 into hosting an investor meeting today. Call put ration 2.8 calls to 1 put.

GAN Limited (GAN) 30-day option implied volatility is at 74; compared to its 52-week range of 58 to 110 into host investor day today. Call put ratio 22 calls to 1 put.

Booz Allen (BAH) 30-day option implied volatility is at 26; compared to its 52-week range of 17 to 42 into hosting an investor day on October 5. Call put ratio 22 calls to 1 put.

Itron (ITRI) 30-day option implied volatility is at 50; compared to its 52-week range of 30 to 62 into hosting an investor day on October 5.

Marvell (MRVL) 30-day option implied volatility is at 34; compared to its 52-week range of 29 to 68 into hosting an investor day on October 6. Call put ratio 3.4 calls to 1 put.

General Motors (GM) October weekly call option implied volatility is at 58, October is at 43; compared to its 52-week range of 29 to 66 into investor day on October 6 and 7. Call put ratio 4.5 calls to 1 put as shares rally 2%.

VMware (VMW) 30-day option implied volatility is at 30; compared to its 52-week range of 20 to 54 into hosting an analyst meeting on October 6. Call put ratio 5.3 calls to 1 put.

Tesla (TSLA) 30-day option implied volatility is at 51; compared to its 52-week range of 37 to 106 into shareholder meeting on October 7 and delivers 241,300 cars in record quarter.

Amplify Energy Corp (AMPY) 30-day option implied volatility is at 238; compared to its 52-week range of 51 to 274 as shares sell off 44%. Call put ratio 2.8 calls to 1 put after Southern California oil spill.

Increasing unusual option volume: PROG RRD OPAD ADVM IRNT MRK AMPY
Increasing unusual call option volume: RRD PROG ADVM IRNT DCRC PII MRK AMPY
Increasing unusual put option volume: OPAD PROG IRNT BG AMPY
Options with decreasing option implied: ALT MRIN EDIT VXRT BTWN
Active options: TSLA F AAPL FB MRK AMC PLTR NVDA NIO BAC BABA GM MRNA AMD WISH AMZN PROG NFLX OXY MSFT