Mid-session IV Report August 22, 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: FULC WAL NVAX SCHW DFS HOLX QDEL RF WEN ZBH
Popular stocks with increasing volume: PLTR KVUE ZM DKS M PYPL NIO NFLX INTC BABA DKS SCHW
Option IV into quarter results
NVIDIA (NVDA) August weekly option implied volatility is at 149, September is at 72; compared to its 52-week range of 39 to 68 into the expected release of quarter results after the bell on August 23. Call put ratio 1.7 calls to 1 put as share price intraday trading range $458 to $481.
Snowflake (SNOW) August weekly option implied volatility is at 147, September is at 71; compared to its 52-week range of 47 to 91 into the expected release of quarter results after the bell on August 23.
Foot Locker (FL) August weekly call option implied volatility is at 160, September is at 68; compared to its 52-week range of 36 to 71 into the expected release of quarter results before the bell on August 23.
Autodesk (ADSK) August weekly option implied volatility is at 86, September is at 42; compared to its 52-week range of 26 to 52 into the expected release of quarter results after the bell on August 23.
Analog Devices (ADI) August weekly option implied volatility is at 68, September is at 37; compared to its 52-week range of 23 to 43 into the expected release of quarter results before the bell on August 23.
Splunk (SPLK) August weekly option implied volatility is at 115, September is at 54; compared to its 52-week range of 34 to 80 into the expected release of quarter results after the bell on August 23.
Bath & Body Works (BBWI) August weekly option implied volatility is at 125, September is at 58; compared to its 52-week range of 34 to 72 into the expected release of quarter results before the bell on August 23.
Williams-Sonoma (WSM) August weekly option implied volatility is at 98, September is at 49; compared to its 52-week range of 30 to 97 into the expected release of quarter results before the bell on August 23.
Advanced Auto Parts (AAP) August weekly option implied volatility is at 197, September is at 81; compared to its 52-week range of 25 to 73 into the expected release of quarter results before the bell on August 23.
Peloton (PTON) August weekly option implied volatility is at 260, September is at 160; compared to its 52-week range of 70 to 137 into the expected release of quarter results before the bell on August 23. Call put ratio 1.8 calls to 1 put.
Abercrombie & Fitch (ANF) August weekly option implied volatility is at 169, September is at 75; compared to its 52-week range of 37 to 93 into the expected release of quarter results before the bell on August 23.
Movers
Charles Schwab (SCHW) 30-day option implied volatility is at 33; compared to its 52-week range of 25 to 105. Call put ratio 1 call to 2.4 puts as share price down 4.2%.
SPDR S&P Regional Banking ETF (KRE) 30-day option implied volatility is at 34; compared to its 52-week range of 21 to 81 as share price down 2.4%.
Zimmer Biomet Holdings (ZBH) September and October option implied volatility is at 23; compared to its 52-week range of 16 to 81. Call put ratio 1 call to 11 puts with focus on September 110 puts as shares share price sells off 3.9% after its President/CEO resigns.
CVS Health (CVS) August weekly option implied volatility is at 23, September is at 22; compared to its 52-week range of 19 to 37. Call put ratio 2.2 calls to 1 put as shares near 30-month low.
Walgreens Boots Alliance (WBA) August option implied volatility is at 30, September is at 28; compared to its 52-week range of 21 to 48.
Academy Sports and Outdoor (ASO) 30-day option implied volatility is at 52; compared to its 52-week range of 33 to 62 after Dick’s Sporting Goods (DKS) sells off 20% on a miss and cut.
Big 5 Sporting Goods (BGFV) 30-day option implied volatility is at 34; compared to its 52-week range of 30 to 96 after Dick’s Sporting Goods (DKS) sells off 20% on a miss and cut.
Options with decreasing option implied volatility: DLO COHR BILL WOLF APLS CAVA ZIM VMW STNE M ZM PANW NU TGT SIMO EL MDT TJX LOW
Increasing unusual option volume: BNS QDEL DKS ACGL FYBR BJ ERJ GNS ASO BGS ZBH KVUE
Increasing unusual call option volume: FYBR DKS KVUE ERJ LOW GNS NVAX KMX URBN INDA BKE
Increasing unusual put option volume: BJ KVUE DKS PR IMVT TAL NUGT ZBH ASO CLSK COTY TOL ZBH
Active options: TSLA NVDA AAPL AMC PLTR KVUE AMD AMZN ZM MSFT DKS M PYPL META GOOGL NIO NFLX GOOG INTC BABA
