Mid-session IV Report August 23, 2022

Mid-session IV Report August 23, 2022

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.

Option IV increases: NCR FAZE CRM TWTR BIIB FDX ACN

Popular stocks with increasing volume: PANW TWTR INTC M

Option IV into quarter results

Nordstrom (JWN) August weekly call option implied volatility is at 180, September is at 87; compared to its 52-week range of 46 to 109 into the expected release of quarter results today after the bell. Call put ratio 1 call to 1.8 puts.

Salesforce (CRM) August weekly call option implied volatility is at 107, September is at 51; compared to its 52-week range of 22 to 62 into expected release of quarter results on August 24. Call put ratio 2.2 calls to 1 put.

Snowflake (SNOW) August weekly call option implied volatility is at 166, September is at 85; compared to its 52-week range of 36 to 113 into the expected release of quarter results after the bell on August 24.

NVIDIA (NVDA) August weekly call option implied volatility is at 86, September is at 56; compared to its 52-week range of 31 to 82 into the expected release of quarter results after the bell on August 24.

Salesforce (CRM) August weekly call option implied volatility is at 106, September is at 52; compared to its 52-week range of 22 to 62 into expected release of quarter results on August 24. Call put ratio 2 calls to 1 put.

Box (BOX) September call option implied volatility is at 45, October is at 40; compared to its 52-week range of 31 to 88 into the expected release of quarter results on August 24.

Williams Sonoma (WSM) September call option implied volatility is at 63, October is at 55; compared to its 52-week range of 33 to 94 into the expected release of quarter results after the bell on August 24. Call put ratio 1 call to 3.9 puts with focus on November 135 puts.

Brinker (EAT) September call option implied volatility is at 80, October is at 70; compared to its 52-week range of 45 to 118 into the expected release of quarter results before the bell on August 24.

Splunk (SPLK) August weekly call option implied volatility is at 123, September is at 64; compared to its 52-week range of 32 to 85 into the expected release of quarter results on August 24.

Peloton (PTON) August weekly call option implied volatility is at 290, September is at 140; compared to its 52-week range of 50 to 151 into the expected release of quarter results before the bell on August 25. Call put ratio 1 call to 1 put.

Option IV for interest rate products as rates trend higher

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 39; compared to its 52-week range of 25 to 54.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 20; compared to its 52-week range of 12 to 27. Call put ratio 1 call to 7 puts.

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 14; compared to its 52-week range of 5 to 21. Call put ratio 1 call to 18 puts.

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 15; compared to its 52-week range of 5 to 23. Call put ratio 1 call to 6 puts.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 12; compared to its 52-week range of 6 to 16.

United States Natural Gas (UNG) 30-day option implied volatility is at 88; compared to its 52-week range of 35 to 148 into OPEC meeting on September 5. Call put ratio 3.2 calls to 1 put as shares rally 1.2%.

Freeport-McMoran (FCX) 30-day option implied volatility is at 53; compared to its 52-week range of 41 to 66 as shares rally 6%.

Options with decreasing option implied volatility: PANW M DKS ZM GETY BLUE M FL TGT CSCO
Increasing unusual option volume: FST BBD ICLN SGFY XP DLO NKLA PRTY AVYA
Increasing unusual call option volume: FST GO DLO AVYA M APRN PRTY
Increasing unusual put option volume: ICLN NKLA DLO AVYA PANW TLT APRN
Active options: NKLA AAPL TSLA M AMZN ZM OXY NVDA AMD BBBY XOM BABA NIO META TWTR INTC PANW GOOGL