Mid-session IV Report September 20, 202

Mid-session IV Report September 20, 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: TMC BKSY SDC SPIR INO VALE YANG

Popular stocks with increasing volume: BAC X AAL CLF PFE

Option IV into events

Biogen (BIIB) September weekly call option implied volatility is at 50, October is at 42; compared to its 52-week range of 32 to 121 into hosting an investor day to discuss its pipeline on September 21.

Workday (WDAY) September weekly call option implied volatility is at 45, October is at 32; compared to its 52-week range of 26 to 53 ahead of the company’s Financial Analyst Day on September 21.

Boston Scientific (BSX) September weekly call option implied volatility is at 45, October is at 30; compared to its 52-week range of 29 to 56 into hosting an investor day on September 23.

Yum China (YUMC) October and November call option implied volatility is at 29; compared to its 52-week range of 20 to 46 into hosting an investor day on September 23.

Weyerhaeuser (WY) September weekly call option implied volatility is at 35, October is at 30; compared to its 52-week range of 24 to 69 into hosting an investor day on September 23.

Salesforce (CRM) September weekly call option implied volatility is at 41, October is at 31; compared to its 52-week range of 23 to 52 into hosting an investor day on September 24.

Aurora Cannabis (ACB) September weekly call option implied volatility is at 143, October is at 91; compared to its 52-week range of 61 to 257 into the expected release of quarter results. Call put ratio 4.5 calls to 1 put with focus on September 6.5 calls as shares sell off 6%.

Lennar (LEN) September weekly call option implied volatility is at 71, October is at 44; compared to its 52-week range of 28 to 52 into the expected release of quarter results today after the bell.

Adobe (ADBE) September weekly call option implied volatility is at 55, October is at 34; compared to its 52-week range of 21 to 46 into the expected release of quarter results on September 21.

AutoZone (AZO) September weekly call option implied volatility is at 55, October is at 31; compared to its 52-week range of 20 to 39 into the expected release of quarter results before the bell on September 21.

Cracker Barrel (CBRL) October call option implied volatility is at 41, November is at 37; compared to its 52-week range of 29 to 54 into the expected release of quarter results before the bell on September 21.

Stitch Fix (SFIX) September weekly call option implied volatility is at 200, October is at 100; compared to its 52-week range of 51 to 128 into the expected release of quarter results after the bell on September 21. Call put ratio 2.3 calls to 1 put with focus on September weekly 37 and 42 calls.

FedEx (FDX) September weekly call option implied volatility is at 63, October is at 37; compared to its 52-week range of 23 to 52 into the expected release of quarter results after the bell on September 21.

IronNet (IRNT) 30-day option implied volatility is at 224; compared to its 52-week range of 7 to 283.

aTyr Pharma (LIFE) 30-day option implied volatility is at 158; compared to its 52-week range of 78 to 196.

Increasing unusual option volume: SURF BLDP EWH YANG UBS VSTM LIDR
Increasing unusual call option volume: SURF YANG TMC LIDR VSTM HIPO ATER CRNT
Increasing unusual put option volume: BLDP MDY BE HSBC KEY EWH CS CC
Options with decreasing option implied: VIH IPOF NLY GSAH BTWN XLP
Active options: AAPL PLTR TSLA SDC AMC AMD NVDA F BABA NIO FB CLF LCID AAL MSFT AMZN PFE X BAC BBIG