Mid-session IV Report September 22, 2020

Mid-session IV Report September 22, 2020

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: GME SNAP ILMN INTC CLDR KCAC APT CAL CVNA ABT

Popular stocks with increasing unusual volume: PTON MLCO VALE

Microsoft (MSFT) 30-day option implied volatility is at 38; compared to its 52-week range of 15 to 90 into two new Xbox models rollout on November 10.

Revlon (REV) 30-day option implied volatility is at 150; compared to its 52-week range of 52 to 177. Call put ratio 1 call to 240 puts with focus on May puts

Carvana Co. (CVNA) September call option implied volatility is at 115, October is at 81; compared to its 52-week range of 43 to 212 after announcing performance. Call put ratio 1.5 calls to 1 put as shares rally 25%.

Lithium Americas Corp (LAC) September call option implied volatility is at 177, October is at 155; compared to its 52-week range of 81 to 205. Call put ratio 5.3 calls to 1 put as shares sell off 8%.

IMAX Corp. (IMAX) October call option implied volatility is at 58, November is at 66; compared to its 52-week range of 25 to 343 as shares rally 2.2%. Call put ratio 1,310 calls to 1 put with focus on October 14 and 15 calls.

GameStop (GME) September weekly call option implied volatility is at 190, October is at 122; compared to its 52-week range of 52 to 227. Call put ratio 5.4 calls to 1 put.

Workhorse Group (WKHS) September weekly call option implied volatility is at 185, October is at 173; compared to its 52-week range of 102 to 287 as shares sell off 7.5%.

Beyond Meat (BYND) September weekly call option implied volatility is at 85, October is at 74; compared to its 52-week range of 47 to 129. Call put ratio 4.6 calls to 1 put with focus on October calls.

IV into quarter results

Aurora Cannabis (ACB) September weekly call option implied volatility is at 234, October is at 113; compared to its 52-week range of 63 to 308 into the expected release of quarter results today. Call put ratio 4.3 calls to 1 put.

KB Home (KBH) October call option implied volatility is at 60, September is at 55; compared to its 52-week range of 28 to 176 into the expected release of quarter results today after the bell. Call put ratio 4 calls to 1 put.

Nike (NKE) September weekly call option implied volatility is at 77, October is at 42; compared to its 52-week range of 16 to 112 into the expected release of quarter results today after the bell. Call put ratio 1.8 calls to 1 put.

Steelcase (SCS) call option implied volatility is at 90, November is at 61; compared to its 52-week range of into the expected release of quarter results today after the bell. Call put ratio 4 calls to 1 put with focus on October 12.50 and 15 calls.

Stich Fix (SFIX) September weekly call option implied volatility is at 215, October is at 99; compared to its 52-week range of 46 to 133 into the expected release of quarter results today after the bell. Call put ratio 4.3 calls to 1 put.

Cintas (CTAS) 30-day option implied volatility is at 34, compared to its 52-week range of 16 to 116 into the expected release of quarter results before the bell on September 23.

General Mills (GIS) October call option implied volatility is at 29, November is at 27; compared to its 52-week range of into the expected release of quarter results before the bell on September 23. Call put ratio 4.6 calls to 1 put.

H.B. Fuller (FUL) October call option implied volatility is at 33, November is at 29; compared to its 52-week range of into the expected release of quarter results after the bell on September 23. Call put ratio 43 calls to 1 put.

JinkoSolar (JKS) October call option implied volatility is at 75, November is at 70; compared to its 52-week range of into the expected release of quarter results on September 23. Call put ratio 7.5 calls to 1 put.

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 11; compared to its 52-week range of 5 to 53. Call put ratio 2 calls to 1 put with focus on October weekly calls.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 8; compared to its 52-week range of 5 to 75. Call put ratio 1 call to 5.5 puts.

Ishares Msci Germany Etf (EWG) 30-day option implied volatility is at 30; compared to its 52-week range of 12 to 84.

Vanguard Ftse Europe Etf (VGK) 30-day option implied volatility is at 25; compared to its 52-week range of 10 to 78. Call put ratio 3 calls to 1 put.

Ishares Msci Hong Kong Etf (EWH) 30-day option implied volatility is at 23; compared to its 52-week range of 15 to 66.

Increasing unusual option volume: REV IMAX MUR IAC EOLS WPRT
Increasing unusual call option volume: IMAX MUR ATUS SAN EOLS MLCO GME SBSW
Increasing unusual put option volume: SBSW CLVS TIF GES LOGI CPRI KBE MOS PTON
Options with decreasing option implied volatility: XERS CRON RST FDX IMMU NLY TIF
Active options: AAPL TSLA ROKU AMD AMZN FB BYND MSFT BAC NKLA ZM BA IMAX GE VALE TWTR GME PTON AAL NIO