Mid-session IV Report September 23, 2021

Mid-session IV Report September 23, 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: QS KDMN MRIN LCID SNAP NFLX CMG QS IBM EAR MIC KOLD GOEV NEO DRE

Popular stocks with increasing volume: SNAP PLUG BAC AAL MRNA QS

Salesforce (CRM) September weekly call option implied volatility is at 42, October is at 27; compared to its 52-week range of 23 to 52 into hosting an investor day on September 24. Call put ratio 3.8 calls to 1 put as shares rally 5% amid Dream Force headlines.

Micron (MU) September weekly call option implied volatility is at 38, October is at 40; compared to its 52-week range of 30 to 59 into the expected release of quarter results after the bell on September 28.

Bed Bath & Beyond (BBBY) September weekly call option implied volatility is at 85, October is at 91; compared to its 52-week range of 57 to 303 into the expected release of quarter results before the bell on September 30. Call put ratio 2 calls to 1 put.

Tesla (TSLA) 30-day option implied volatility is at 39; compared to its 52-week range of 37 to 105.

GameStop (GME) 30-day option implied volatility is at 86; compared to its 52-week range of 86 to 553.

AMC Entertainment (AMC) 30-day option implied volatility is at 117; compared to its 52-week range of 98 to 726. Call put ratio 3 calls to 1 put.

Robinhood (HOOD) 30-day option implied volatility is at 72; compared to its 52-week range of 57 to 225. Call put ratio 2.7 calls to 1 put.

QuantumScape (QS) September weekly call option implied volatility is at 111, October is at 85; compared to its 52-week range of 68 to 231. Call put ratio 6.4 calls to 1 put as shares rally 10.5%.

Annaly Capital Management (NLY) 30-day option implied volatility is at 28; compared to its 52-week range of 13 to 200. Call put ratio 10 calls to 1 put with focus on October 9 and 10 calls.

Leading makers of Covid-19 vaccine stocks option implied volatility

Pfizer (PFE) 30-day option implied volatility is at 24; compared to its 52-week range of 17 to 61 amid COVID-19 vaccine booster headlines. Call put ratio 5.5 calls to 1 put as shares rally 1%.

BioNTech SE (BNTX) 30-day option implied volatility is at 62; compared to its 52-week range of 53 to 140 as shares rally 4% amid COVID-19 vaccine booster headlines.

Johnson & Johnson (JNJ) 30-day option implied volatility is at 17; compared to its 52-week range of 14 to 35 amid COVID-19 vaccine booster headlines.

Moderna (MRNA) 30-day option implied volatility is at 58; compared to its 52-week range of 51 to 132 amid COVID-19 vaccine booster headlines. Call put ratio 2.8 calls to 1 put as shares rally 3%.

Option IV into events

Nike (NKE) September weekly call option implied volatility is at 117, October is at 35; compared to its 52-week range of 20 to 41 into the expected release of quarter results today after the bell. Call put ratio 2.5 calls to 1 put as shares rally 1%.

Costco (COST) September weekly call option implied volatility is at 57, October is at 22; compared to its 52-week range of 15 to 33 into the expected release of quarter results today after the bell.

Increasing unusual option volume: IRNT VG ATER IGT RSX TMC TROX SPIR ML
Increasing unusual call option volume: ATER TMC RSX IGT TROX
Increasing unusual put option volume: ATER IGT RAD NRG TMC ML BBIG
Options with decreasing option implied: BKSY BB VALE FDX XHB
Active options: AAPL TSLA PLTR BB SOFI F AMC TLRY FB ROKU LCID NVID ATER AMD SNAP PLUG BAC AAL MRNA NIO