Mid-session IV Report September 1, 2021

Mid-session IV Report September 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: BBIG ATER ALT SDC AGC ROOT

Popular stocks with increasing volume: AMC NIO BABA CRWD ZM WFC UBER PFE PLTR BB PYPL

Apple (AAPL) September weekly call option implied volatility is at 21, September is at 23; compared to its 52-week range of 19 to 62 into invitation or “save the date” type announcement. Call put ratio 3 calls to 1 put.

Wells Fargo (WFC) September weekly call option implied volatility is at 41, September is at 31; compared to its 52-week range of 26 to 59, Call put ratio 1.3 calls to 1 put as shares pull back for second day in a row.

Option IV into quarter results and outlook

C3.ai Inc (AI) September call option implied volatility is at 93, October is at 80; compared to its 52-week range of 60 to 133 into the expected release of quarter results today after the bell. Call put ratio 4.6 calls to 1 put.

Chewy (CHWY) September weekly call option implied volatility is at 120, September is at 61; compared to its 52-week range of 44 to 116 into the expected release of quarter results today after the bell.

Five Below (FIVE) September weekly call option implied volatility is at 110, September is at 50; compared to its 52-week range of 30 to 64 into the expected release of quarter results today after the bell.

DocuSign (DOCU) September weekly call option implied volatility is at 130, September is at 60; compared to its 52-week range of 35 to 128 into the expected release of quarter results after the bell on September 2.

American Eagle (AEO) September weekly call option implied volatility is at 140, September is at 64; compared to its 52-week range of 40 to 116 into the expected release of quarter results on September 2. Call put ratio 3.4 calls to 1 put.

Broadcom (AVGO) September weekly call option implied volatility is at 55, September is at 27; compared to its 52-week range of 21 to 52 into the expected release of quarter results after the bell on September 2.

Ciena (CIEN) September weekly call option implied volatility is at 138, September is at 49; compared to its 52-week range of 24 to 63 into the expected release of quarter results before the bell on September 2. Call put ratio 3.3 calls to 1 put.

Duluth Holdings (DLTH) September call option implied volatility is at 100, October is at 71; compared to its 52-week range of 48 to 111 into the expected release of quarter results before the bell on September 2.

Hewlett Packard (HPE) September weekly call option implied volatility is at 77, September is at 41; compared to its 52-week range of 25 to 218 into the expected release of quarter results after the bell on September 2.

Hormel (HRL) September weekly call option implied volatility is at 60, September is at 26; compared to its 52-week range of 17 to 40 into the expected release of quarter results before the bell on September 2.

Lands End (LE) September call option implied volatility is at 101, October is at 91; compared to its 52-week range of 60 to 125 into the expected release of quarter results on September 2. Call put ratio 1 call to 4.6 puts.

PagerDuty (PD) September weekly call option implied volatility is at 75, September is at 59; compared to its 52-week range of 45 to 135 into the expected release of quarter results after the bell on September 2.

Signet (SIG) September weekly call option implied volatility is at 210, September is at 95; compared to its 52-week range of 52 to 132 into the expected release of quarter results on September 2.

Option movers

Forte Biosciences (FBRX) September call option implied volatility is at 500, October is at 342; compared to its 52-week range of 87 to 400 into the expected release of FB-401 Phase 2 data in Atopic Dermatitis. Call put ratio 1 call to 11.3 puts.

Cassava Sciences (SAVA) 30-day option implied volatility is at 225; compared to its 52-week range of 100 to 289. Call put ratio 1.8 calls to 1 put as shares sell off 4%.

Root (ROOT) 30-day option implied volatility is at 150; compared to its 52-week range of 82 to 193. Call put ratio 1.4 calls to 1 put.

Corsair Gaming (CRSR) 30-day option implied volatility is at 65; compared to its 52-week range of 41 to 166. Call put ratio 8.5 calls to 1 put.

Increasing unusual option volume: AMBA ACI MPLN GSM PLAN PVH
Increasing unusual call option volume: GSM ACI AMBA PLAN YNDX SLQT
Increasing unusual put option volume: AMBA TPGY PLAN APTV BBIG SPRT PBR
Options with decreasing option implied: INO GDS CODX COTY CLOV ANF PLAN
Active options: AAPL LCID SKLZ AMZN TSLA AMC NIO BABA BBIG AMD CRWD ZM WFC UBER FB PFE NVDA PLTR BB PYPL