Mid-session IV Report August 17, 2023
The following report is a snapshot of noteworthy changes in stock and option volumes, as well as changes in option implied volatilities. By this often over looked information.
Options with increasing option implied volatility: ORCL DFS HE AMPX CVS CAH NANOS
Popular stocks with increasing volume: CSCO WMT PLTR PYPL BAC CVS
Option IV into quarter results
Deere (DE) August option implied volatility is at 96, September is at 33; compared to its 52-week range of 21 to 41 into the expected release of quarter results before the bell on August 18.
Estee Lauder (EL) August option implied volatility is at 155, September is at 43; compared to its 52-week range of 24 to 78 into the expected release of quarter results before the bell on August 18. Call put ratio 1 call to 1.6 puts.
Vipshop (VIPS) August option implied volatility is at 180, September is at 58; compared to its 52-week range of 67 to 127 into the expected release of quarter results before the bell on August 18. Call put ratio 1 call to 4.9 puts.
Palo Alto Networks (PANW) August option implied volatility is at 101, September is at 48; compared to its 52-week range of 26 to 55 into the expected release of quarter results after the bell on August 18. Call put ratio 1 calls to 1.3 puts.
NVIDIA (NVDA) August call option implied volatility is at 56, September is at 67; compared to its 52-week range of 39 to 68 into expected release of quarter results on August 23.
Movers
CVS Health (CVS) August option implied volatility is at 53, September is at 29; compared to its 52-week range of 19 to 37 after Blue Shield of CA drops CVS’ Caremark PBM. Call put ratio 1 call to 1 put as shares sell off 10%.
Walgreens Boots Alliance (WBA) August option implied volatility is at 35, September is at 27; compared to its 52-week range of 21 to 48 as share price near 10-year low.
Intel (INTC) 30-day option implied volatility is at 35; compared to its 52-week range of 28 to 59 as shares price down 2.8%.
AMD (AMD) 30-day option implied volatility is at 45; compared to its 52-week range of 40 to 69.
Apple (AAPL) 30-day option implied volatility is at 22; compared to its 52-week range of 17 to 45 as share price down 11% from recent high.
Meta Platforms (META) 30-day option implied volatility is at 34; compared to its 52-week range of 29 to 74.
ARK Innovation ETF (ARKK) 30-day option implied volatility is at 40; compared to its 52-week range of 35 to 72 as shares price down 12 of the last 13-days.
Kenvue (KVUE) August call option implied volatility is at 56, September is at 44; compared to its 52-week range of 16 to 53 amid Johnson & Johnson (JNJ) plans to distribute $40B of JNJ stock to Kenvue shareholders.
Johnson & Johnson (JNJ) August call option implied volatility is at 24, September is at 21; compared to its 52-week range of 11 to 24 amid plans to distribute $40B of JNJ stock to Kenvue (KVUE) shareholders.
Options with decreasing option implied volatility: SE ONON CAVA WOLF COHR ZIM YPF TGT CSCO TJX HD
Increasing unusual option volume: GSM KVUE TSEM RYAM GRMN MAC
Increasing unusual call option volume: KVUE TSEM GRMN TPR BTG DAC LITE
Increasing unusual put option volume: DDD ACHR RYAM KVUE WOLF TUP ABC TSEM CCJ NAT PATH
Active options: TSLA NVDA AAPL AMC CSCO AMD AMZN META WMT MSFT GOOGL PLTR NFLX BABA PYPL GOOG NIO BAC RYAM CVS
