Mid-session IV Report August 24, 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: NVAX SPR CLS JWN ULTA AFRM GPS
Popular stocks with increasing volume: PLTR SNOW MSFT BA TSM DIS SNAP BABA
Movers
NVIDIA (NVDA) August call option implied volatility is at 69, September is at 47; compared to its 52-week range of 39 to 68 after quarter results and outlook. Call put ratio 1.4 calls to 1 put as share price up 1%.
Walt Disney (DIS) 30-day option implied volatility is at 26; compared to its 52-week range of 22 to 49 as shares trade below $84.
Spirit AeroSystems (SPR) 30-day option implied volatility is at 59; compared to its 52-week range of 42 to 109 as shares price near multi-year low.
Option IV into quarter results
Gap (GPS) August weekly option implied volatility is at 297, September is at 88; compared to its 52-week range of 43 to 90 the expected release of quarter results today after the bell. Call put ratio 1 call to 1 put with focus on August weekly options.
Nordstrom (JWN) August weekly option implied volatility is at 256, September is at 77; compared to its 52-week range of 40 to 94 into the expected release of quarter results today after the bell. Call put ratio 1 call to 1.7 puts.
Ulta Beauty (ULTA) August weekly option implied volatility is at 146, September is at 45; compared to its 52-week range of 20 to 43 into the expected release of quarter results today after the bell.
Affirm Holdings (AFRM) August weekly option implied volatility is at 312, September is at 99; compared to its 52-week range of 76 to 146 into the expected release of quarter results today after the bell.
Option IV for GM, F, STLA amid union talk headlines
General Motors (GM) 30-day option implied volatility is at 34; compared to its 52-week range of 27 to 60 into their current union contracts end on September 14. Call put ratio 1.8 calls to 1 put.
Ford (F) 30-day option implied volatility is at 29; compared to its 52-week range of 27 to 588 into their current union contracts end on September 14.
Stellantis (STLA) 30-day option implied volatility is at 30; compared to its 52-week range of 23 to 423 into their current union contracts end on September 14. Call put ratio 1 call to 2 puts with focus on October 17 puts.
Option IV into FOMC policy leaders gathering in Jackson Hole
iShares iBoxx $ High Yield Corporate bond ETF (HYG) 30-day option implied volatility is at 8; compared to its 52-week range of 6 to 20 into FOMC policy leaders gathering in Jackson Hole. Call put ratio 1 call to 5.1 puts.
SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 7; compared to its 52-week range of 6 to 20.
Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 10; compared to its 52-week range of 7 to 19.
Options with decreasing option implied volatility: EBIX BILL AAP NVCR BBIO PTON ZM ANF SNOW NVDA PANW KSS
Increasing unusual option volume: GES BBW KVUE TTOO WOOF LC FL GRPN ATUS VRAR SPLK SPR
Increasing unusual call option volume: GES KVUE TSEM FL ATUS WOOF GRPN VRAR SPLK
Increasing unusual put option volume: WOOF KVUE DLTR GRPN DQ SPLK CNC BURL SAVE
Active options: NVDA TSLA AMD AAPL AMC PLTR AMZN SNOW GOOGL NKLA MSFT BA NFLX META INTC TSM DIS SNAP BABA GOOG
