Mid-session IV Report September 29, 2021

Mid-session IV Report September 29, 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: BBBY INO HYZN PTRA KDMN IPOF TWTR TEVA SKX AMZN

Popular stocks with increasing volume: LCID SOFI PLTR AFRM DKNG MRNA

Movers

Lucid Group (LCID) October weekly call option implied volatility is at 123, October is at 112; compared to its 52-week range of 69 to 289. Call put ratio 6.3 calls to 1 put as shares rally 13%.

IronNet (IRNT) 30-day option implied volatility is at 208; compared to its 52-week range of 7 to 283 as shares sell off 7.5%.

Upstart Holdings (UPST) 30-day option implied volatility is at 73; compared to its 52-week range of 68 to 178 as shares rally 4%.

Affirm Holdings (AFRM) 30-day option implied volatility is at 84; compared to its 52-week range of 60 to 127 after hosting an investor meeting. Call put ratio 3.6 calls to 1 put as shares rally 3%.

Asana, Inc. (ASAN) 30-day option implied volatility is at 69; compared to its 52-week range of 49 to 138 as shares rally 4.5%.

InMode Ltd. (INMD) 30-day option implied volatility is at 72; compared to its 52-week range of 43 to 72 as shares rally 5.5%.

Toast (TOST) 30-day option implied volatility is at 82; compared to its 52-week range of 82 to 83. Call put ratio 4 calls to 1 put as shares rally 2.7%.

Lightspeed Commerce (LSPD) 30-day option implied volatility is at 59; compared to its 52-week range of 40 to 103. Call put ratio 1 call to 1.4 put as shares sell off 5%.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 14; compared to its 52-week range of 12 to 23 as investors monitor the 10-year and 20-year yield. Call put ratio 1 call to 5.4 puts.

Option IV into events

Bed Bath & Beyond (BBBY) October weekly call option implied volatility is at 201, October is at 120; 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 1.3 calls to 1 put.

Generac Holdings (GNRC) October call option implied volatility is at 45, November is at 46; compared to its 52-week range of 33 to 58 amid the company’s Investor Day as shares sell off 3.5%.

Intuit (INTU) October weekly call option implied volatility is at 42, October is at 30; compared to its 52-week range of 20 to 45 ahead of the company’s Investor Day presentations on September 30.

General Motors (GM) October weekly call option implied volatility is at 42, October is at 38; compared to its 52-week range of 29 to 66 into investor day on October 6 and 7. Call put ratio 2.5 calls to 1 put.

Ishares Silver Trust (SLV) 30-day option implied volatility is at 30; compared to its 52-week range of 23 to 74. Call put ratio 1.6 calls to 1 put as shares sell off 3.8%.

Lucid Group (LCID) 30-day option implied volatility is at 49; compared to its 52-week range of 69 to 289 as shares rally 13%. Call put ratio 5.2 calls to 1 put with focus on October weekly 30 and 31 calls.

Increasing unusual option volume: IRNT ML MAG DLTR SEEL GOGO
Increasing unusual call option volume: IRNT ML MAG DLTR SEEL
Increasing unusual put option volume: IRNT GOGO ATER UNFI LSPD
Options with decreasing option implied: MU ZNGA ALT MRIN SRTY SPIR RAD BB DRI NKE XHB
Active options: AAPL LCID MU BA TSLA NVDA SOFI AMD PLTR AMC F BAC AFRM MSFT NFLX FB DLTR BABA DKNG MRNA