Mid-session IV Report September 27, 2021

Mid-session IV Report September 27, 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: INDI GOEV IPOF CRVS GGPI LAUR CRTX

Popular stocks with increasing volume: CCL AAL XOM

Large cap tech share prices are lower

Amazon (AMZN) 30-day option implied volatility is at 26; compared to its 52-week range of 19 to 55 amid shares down 2.3%.

Apple (AAPL) 30-day option implied volatility is at 26; compared to its 52-week range of 19 to 53 amid shares down 1.7%.

NVIDIA (NVDA) 30-day option implied volatility is at 36; compared to its 52-week range of 32 to 58 amid shares down 3%.

Netflix (NFLX) 30-day option implied volatility is at 38; compared to its 52-week range of 21 to 62 amid shares down 1.9%.

Microsoft (MSFT) 30-day option implied volatility is at 24; compared to its 52-week range of 16 to 41 amid shares down 1%.

Option IV into events

Generac Holdings (GNRC) October call option implied volatility is at 42, November is at 43; compared to its 52-week range of 33 to 58 ahead of the company’s Investor Day on September 29. Call put ratio 1 call to 1.9 puts.

Micron (MU) October weekly call option implied volatility is at 63, October is at 41; compared to its 52-week range of 30 to 59 into the expected release of quarter results after the bell on September 28. Call put ratio 3.3 calls to 1 put.

Energy prices higher

United States Natural Gas (UNG) 30-day option implied volatility is at 79; compared to its 52-week range of 30 to 219 as shares rally 5.9%. Call put ratio 2.1 calls to 1 put.

Halliburton (HAL) 30-day option implied volatility is at 44; compared to its 52-week range of 37 to 76 as shares rally 4.9%. Call put ratio 8.4 calls to 1 put.

Schlumberger Ltd. (SLB) 30-day option implied volatility is at 43; compared to its 52-week range of 36 to 66 as shares rally 4.7%. Call put ratio 4.7 calls to 1 put.

Diamondback Energy (FANG) 30-day option implied volatility is at 53; compared to its 52-week range of 47 to 93. Call put ratio 6 calls to 1 put as shares rally 5%

Cheniere Energy (LNG) 30-day option implied volatility is at 31; compared to its 52-week range of 23 to 49. Call put ratio 15 calls to 1 put as shares rally 2%

Cimarex Energy (XEC) 30-day option implied volatility is at 51; compared to its 52-week range of 38 yo 92. Call put ratio 9 calls to 1 put as shares rally 4%

Devon Energy (DVN) 30-day option implied volatility is at 52; compared to its 52-week range of 43 to 101. Call put ratio 2 calls to 1 put as shares rally 3%.

Continental Resources (CLR) 30-day option implied volatility is at 54; compared to its 52-week range of 48 to 134. Call put ratio 6 calls to 1 put as shares rally 4%.

Range Resources (RRC) 30-day option implied volatility is at 73; compared to its 52-week range of 57 to 170. Call put ratio 5 calls to 1 put as shares rally 7%.

Cabot (COG) 30-day option implied volatility is at 50; compared to its 52-week range of 32 to 104. Call put ratio 1 call to 1 put as shares rally 4%.

Chesapeake Energy (CHK) 30-day option implied volatility is at 48; compared to its 52-week range of 34 to 77. Call put ratio 6 calls to 1 put as shares rally 5%

MarketAxess Holdings (MKTX) call put ratio 720 calls to 1 put with focus on November 460 puts after mention on CNBC Options Action.

Increasing unusual option volume: BBIG IRNT MCF SEEL ATER TTE EVLO AEHR VKTX GOEV ML
Increasing unusual call option volume: IRNT MCF PRTY SEEL ATER TTE ML
Increasing unusual put option volume: NAT ATER GOEV
Options with decreasing option implied: UVXY VIXY SDC KDMN SFIX
Active options: TSLA AAPL PLTR BBIG BAC AMC BA AMD F AAL NVDA FB LCID AMZN MSFT GOEV NIO XOM SNAP SOFI