Mid-session IV Report September 9, 2021

Mid-session IV Report September 9, 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: ITUB CCXI KR CLOV VALE GROY GEVO ITUB

Popular stocks with increasing volume: GME AMC LULU T BABA F

Option implied volatility for Airlines near lower end of range

Delta Air Lines (DAL) 30-day option implied volatility is at 37; compared to its 52-week range of 32 to 74 as share rally 3.2%. Call put ratio 2.3 calls to 1 put.

Southwest Airlines (LUV) 30-day option implied volatility is at 32; compared to its 52-week range of 28 to 62 as shares rally 2.6%. Call put ratio 2.7 calls to 1 put.

Hawaiian Holdings (HA) 30-day option implied volatility is at 52; compared to its 52-week range of 45 to 87.

American Airlines (AAL) 30-day option implied volatility is at 45; compared to its 52-week range of 40 to 117. Call put ratio 1.2 calls to 1 put as shares rally 3%.

U.S. Global Jets ETF (JETS) 30-day option implied volatility is at 33; compared to its 52-week range of 25 to 65 as share rally 2%.

Alaska Airlines (ALK) 30-day option implied volatility is at 39; compared to its 52-week range of 34 to 65 as shares rally 2.6%.

United Airlines (UAL) 30-day option implied volatility is at 42; compared to its 52-week range of 37 to 91 as shares rally 2.3%.

Movers

Apple (AAPL) September weekly call option implied volatility is at 22, September is at 27; compared to its 52-week range of 19 to 62 into a special event on September 14. Call put ratio 4.2 calls to 1 put.

Moderna (MRNA) 30-day option implied volatility is at 64; compared to its 52-week range of 51 to 132 as shares rally 6%. Call put ratio 3.1 calls to 1 put with focus on September weekly 450 calls.

Clover (CLOV) 30-day option implied volatility is at 130; compared to its 52-week range of 12 to 305 as shares rally 3.7%. Call put ratio 6.7 calls to 1 put with focus on September 10 weekly calls.

Alcoa (AA) 30-day option implied volatility is at 45; compared to its 52-week range of 50 to 74 as shares near upper end of range on aluminum near decade high.

United States Natural Gas (UNG) 30-day option implied volatility is at 62; compared to its 52-week range of 30 to 219 as shares rally 1%.

IV into quarter results

Dave & Buster’s Entertainment (PLAY) September weekly call option implied volatility is at 188, September is at 90; compared to its 52-week range of into the expected release of quarter results today after the bell. Call put ratio 1 call to 1.4 puts.

Affirm Holdings (AFRM) September weekly call option implied volatility is at 120, September is at 81; compared to its 52-week range of into the expected release of quarter results today after the bell. Call put ratio 3 calls to 1 put.

Zscaler (ZS) September weekly call option implied volatility is at 187, September is at 78; compared to its 52-week range of into the expected release of quarter results today after the bell.

Kroger (KR) September weekly call option implied volatility is at 88, September is at 42; compared to its 52-week range of into the expected release of quarter results before the bell on September 10. Call put ratio 1 call to 1.7 puts.

Oracle (ORCL) September weekly call option implied volatility is at 29, September is at 50; compared to its 52-week range of 20 to 44 into the expected release of quarter results on September 15.

Increasing unusual option volume: MDY WKEY CRDF LULU
Increasing unusual call option volume: WKEY CRDF FUSE
Increasing unusual put option volume: MDY RKLB HGEN BBIG SPRT
Options with decreasing option implied: CRON CLDR AI LULU GME RH
Active options: AAPL TSLA AMC MRNA LULU BBIG MSFT AMD AMZN SPRT NVDA CLOV GME NIO BABA PLTR BA F LCID T