Mid-session IV Report September 24, 2020

Mid-session IV Report September 24, 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: NKLA TCO SNAP SKX NFLX CMG HYG FMCI TEVA EXAS

Popular stocks with increasing unusual volume: ET ROKU SQ AAL

Tesla (TSLA) September weekly call option implied volatility is at 121, October is at 94; compared to its 52-week range of 34 to 154. Call put ratio 1.1 calls to 1 put.

Exact Sciences (EXAS) September weekly call option implied volatility is at 122, October is at 66; compared to its 52-week range of 37 to 132. Call put ratio 10 calls to 1 put with focus on October 85 calls as shares rally 27%.

Tech IV

Zoom Video (ZM) September weekly call option implied volatility is at 95, October is at 77; compared to its 52-week range of 36 to 137. Call put ratio 1 call to 1 put as shares sell off 5%.

Fastly, Inc. (FSLY) September weekly call option implied volatility is at 118, October is at 92; compared to its 52-week range of 53 to 144. Call put ratio 3.2 calls to 1 put.

Alibaba (BABA) September weekly call option implied volatility is at 42, October is at 39; compared to its 52-week range of 22 to 63. Call put ratio 2.4 calls to 1 with focus on September weekly 275 calls.

Snowflake (SNOW) October call option implied volatility is at 93, November is at 84; amid its 2nd day of option trading. Call put ratio 1 call to 1.1 put with focus on October puts.

Unity Software (U) October call option implied volatility is at 95, November is at 90 amid its first day of option trading. Call put ratio 2.6 calls to 1 put.

JFrog (FROG) 30-day option implied volatility is at 97. Call put ratio 4.1 calls to 1 put with focus on October calls.

Zoom Video (ZM) September weekly call option implied volatility is at 95, October is at 77; compared to its 52-week range of 36 to 137. Call put ratio 1 call to 1 put as shares sell off 5%.

IV for stocks releasing quarter results and outlook

Costco (COST) September weekly call option implied volatility is at 94; October is at 34; compared to its 52-week range of 14 to 76 into the expected release of quarter results today after the bell. Call put ratio 3.2 calls to 1 put with focus on September weekly 345 calls.

Vail Resorts (MTN) October call option implied volatility is at 42, November is at 39; compared to its 52-week range of 21 to 125 into the expected release of quarter results today after the bell the bell. Call put ratio 1.3 calls to 1 put.

Special Purpose Acquisition Companies or SPACs

Nikola (NKLA) September weekly call option implied volatility is at 433, October is at 233; compared to its 52-week range of 66 to 304. Call put ratio 1 call to 3.4 puts.

Workhorse Group (WKHS) September weekly call option implied volatility is at 199, October is at 166; compared to its 52-week range of 103 to 287. Call put ratio 1.9 calls to 1 put.

Virgin Galactic (SPCE) September weekly call option implied volatility is at 90, October is at 82; compared to its 52-week range of 39 to 238. Call put ratio 1 call to 1 put.

DraftKings (DKNG) 30-day option implied volatility is at 90; compared to its 52-week range of 53 to 143. Call put ratio 1.9 calls to 1 put with focus on September weekly 49 and 50 calls.

Forum Merger II (FMCI) 30-day option implied volatility is at 187; compared to its 5-week range of 100 to 205. Call put ratio 1.7 calls to 1 put.

Tortoise Acquisition (SHLL) 30-day option implied volatility is at 210; compared to its 3-week range of 102 to 216. Call put ratio 2 calls to 1 put.

DiamondPeak Holdings (DPHC) 30-day option implied volatility is at 198; compared to its 3-week range of 165 to 175. Call put ratio 4.7 calls to 1 put.

Communications Services Select Spdr Fd (XLC) 30-day option implied volatility is at 29; compared to its 52-week range of 13 to 68.

Consumer Disc Sel Spdr Fd (XLY) 30-day option implied volatility is at 29; compared to its 52-week range of 11 to 64.

Consumers Staples Sel Sect Spdr (XLP) 30-day option implied volatility is at 20; compared to its 52-week range of 9 to 66.

Revlon (REV) 30-day option implied volatility is at 154; compared to its 52-week range of 52 to 177 as shares are down 72% for the year.

Increasing unusual option volume: EXAS GLNG OMI MPLX KMX JBL TCO JNK
Increasing unusual call option volume: EXAS TCO OMI GLNG EMB SKX JBL
Increasing unusual put option volume: MPLX ITB KMX TME ASHR EMB JNK HES ACN
Options with decreasing option implied volatility: KODK ACN BB PLAY SFIX TSLA NLY
Active options: AAPL TSLA NKLA ZM BAC AMD MSFT AMZN NIO BA C FB TWTR NVDA AAL SQ NKE ROKU GE ET