Mid-session IV Report October 5, 2021

Mid-session IV Report October 5, 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: APRN VTNR STNE TEVA W IP VXRT SAVA OPAD DISH

Popular stocks with increasing volume: DKNG MRNA NKE SNAP

Movers

Facebook (FB) October weekly call option implied volatility is at 41, October is a 35; compared to its 52-week range of 21 to 55. Call put ratio 1.2 calls to 1 put as shares rally 1.4%.

Moderna (MRNA) October weekly call option implied volatility is at 83, October is a 71; compared to its 52-week range of 51 to 131 as shares rally 1.7%. Call put ratio 1.9 calls to 1 put.

Merck (MRK) 30-day option implied volatility is at 27; compared to its 52-week range of 16 to 35. Call put ratio 2.1 calls to 1 put as shares sell off 2.9%.

Netflix (NFLX) October weekly call option implied volatility is at 39, October is a 34; compared to its 52-week range of 19 to 62 as shares rally 3.7%. Call put ratio 3.1 calls to 1 put.

Roblox (RBLX) 30-day option implied volatility is at 53; compared to its 52-week range of 46 to 131. Call put ratio 4.7 calls to 1 put as shares sell off 3.8%.

Option IV into events

Constellation Brands (STZ) October call option implied volatility is at 57, October is at 38; 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 1.2 calls to 1 put.

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 as shares rally 2.4%.

General Motors (GM) October weekly call option implied volatility is at 61, October is at 46; compared to its 52-week range of 29 to 66 into investor day on October 6 and 7. Call put ratio 3.8 calls to 1 put as shares rally 0.9%.

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 20 calls to 1 put with focus on November 60 calls.

Tesla (TSLA) 30-day option implied volatility is at 50; compared to its 52-week range of 37 to 106 into shareholder meeting on October 7. Call put ratio 1.5 calls to 1 put.

Tilray, Inc. (TLRY) October weekly call option implied volatility is at 100, October is at 87; compared to its 52-week range of 69 to 360 into the expected release of quarter results on October 7. Call put ratio 3.5 calls to 1 put.

Option implied volatility for freight haulers

ArcBest (ARCB) 30-day option implied volatility is at 67; compared to its 52-week range of 41 to 79.

J.B. Hunt (JBHT) 30-day option implied volatility is at 34; compared to its 52-week range of 22 to 41.

Knight-Swift (KNX) 30-day option implied volatility is at 31; compared to its 52-week range of 24 to 47.

Old Dominion (ODFL) 30-day option implied volatility is at 30; compared to its 52-week range of 21 to 42.

FedEx (FDX) 30-day option implied volatility is at 28; compared to its 52-week range of 22 to 52.

Werner (WERN) 30-day option implied volatility is at 27; compared to its 52-week range of 22 to 71.

Schneider National (SNDR) 30-day option implied volatility is at 31; compared to its 52-week range of 24 to 75.

UPS (UPS) 30-day option implied volatility is at 32; compared to its 52-week range of 18 to 52. Call put ratio 2.6 calls to 1 put.

XPO Logistics (XPO) 30-day option implied volatility is at 42; compared to its 52-week range of 30 to 62. Call put ratio 141 calls to 1 put as shares rally 2%.

Amazon (AMZN) 30-day option implied volatility is at 33; compared to its 52-week range of 19 to 55. Call put ratio 2.6 calls to 1 put as shares rally 1.5%.

Joby (JOBY) 30-day option implied volatility is at 99; compared to its 52-week range of 11 to 141. Call put ratio 30 calls to 1 put with focus on October 10 and 12.50 calls.

Increasing unusual option volume: ADTX AXTA UPH PROG IRNT GTE ABEV LGHL
Increasing unusual call option volume: ADTX AXTA PROG IRNT OPAD ABEV GTE
Increasing unusual put option volume: PROG IRNT KOLD RDW DAC AVYA
Options with decreasing option implied: VOD PEP EDIT GOGO IPOF BBBY MU
Active options: AAPL TSLA FB NVDA PLTR NFLX BAC AMD DKNG NIO AMZN F MSFT MRNA BABA AMC NKE OCGN SNAP PROG