Mid-session IV Report August 30, 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: RUM BB KMX ATVI LULU CRWD CRM ASO AVGO FIVE
Popular stocks with increasing volume: PLTR COIN PDD BABA KVUE VALE T
Airliner option IV into Hurricane season
American Airlines (AAL) 30-day option implied volatility is at 31; compared to its 52-week range of 31 to 74 into Hurricane Idalia.
Delta Air Lines (DAL) 30-day option implied volatility is at 26; compared to its 52-week range of 27 to 61.
Southwest Airlines (LUV) 30-day option implied volatility is at 27; compared to its 52-week range of 26 to 52. Call put ratio 2.5 calls to 1 put.
United Airlines (UAL) 30-day option implied volatility is at 32; compared to its 52-week range of 32 to 70.
JetBlue Airways (JBLU) 30-day option implied volatility is at 40; compared to its 52-week range of 35 to 79 into Hurricane Idalia. Call put ratio 6.5 calls to 1 put as shares price down 1%.
Option IV into quarter results
Salesforce (CRM) September weekly option implied volatility is at 106, September is at 48; compared to its 52-week range of 25 to 54 into the expected release of quarter results on today after the bell and Dreamforce 2023 beginning on September 14.
CrowdStrike (CRWD) September weekly option implied volatility is at 135, September is at 61; compared to its 52-week range of 36 to 71 into the expected release of quarter results today after the bell.
Okta (OKTA) September weekly option implied volatility is at 195, September is at 85; compared to its 52-week range of 37 to 94 into the expected release of quarter results after the bell.
Pure Storage (PSTG) September option implied volatility is at 71, October is at 52; compared to its 52-week range of 29 to 90 into the expected release of quarter results today after the bell.
Five Below (FIVE) September weekly option implied volatility is at 115, September is at 51; compared to its 52-week range of 26 to 62 into the expected release of quarter results today after the bell.
lululemon athletica (LULU) September weekly option implied volatility is at 132, September is at 58; compared to its 52-week range of 22 to 55 into the expected release of quarter results after the bell on August 31.
Ollie’s Bargain (OLLI) September option implied volatility is at 60, October is at 45; compared to its 52-week range of 32 to 96 into the expected release of quarter results before the bell on August 31. Call put ratio 2.9 calls to 1 put.
SentinelOne (S) September weekly option implied volatility is at 207, September is at 95; compared to its 52-week range of 53 to 122 into the expected release of quarter results after the bell on August 31.
Academy Sports (ASO) September weekly option implied volatility is at 157, September is at 70; compared to its 52-week range of 33 to 62 into the expected release of quarter results before the bell on August 31. Call put ratio 4.7 calls to 1 put.
Broadcom (AVGO) September weekly option implied volatility is at 82, September is at 52; compared to its 52-week range of 23 to 57 into the expected release of quarter results after the bell on August 31.
Signet (SIG) September weekly option implied volatility is at 137, September is at 64; compared to its 52-week range of 38 to 72 into the expected release of quarter results before the bell on August 31.
PagerDuty (PD) September option implied volatility is at 82, October is at 62; compared to its 52-week range of 37 to 112 into the expected release of quarter results after the bell on August 31.
Dell Technologies (DELL) September weekly option implied volatility is at 107, September is at 47; compared to its 52-week range of 24 to 236 into the expected release of quarter results after the bell on August 31.
Dollar General (DG) September weekly option implied volatility is at 126, September is at 52; compared to its 52-week range of 18 to 44 into the expected release of quarter results before the bell on August 31. Call put ratio 1 call to 3.3 puts.
Campbell Soup (CPB) September weekly option implied volatility is at 65, September is at 30; compared to its 52-week range of 14 to 28 into the expected release of quarter results before the bell on August 31.
Hormel (HRL) September weekly option implied volatility is at 66, September is at 29; compared to its 52-week range of 14 to 26 into the expected release of quarter results before the bell on August 31.
Ciena (CIEN) September option implied volatility is at 55, October is at 41; compared to its 52-week range of 22 to 82 into the expected release of quarter results before the bell on August 31.
Options with decreasing option implied volatility: NVCR BURL GPS JWN SNOW PAGS AFRM NVDA SPLK DLTR MRVL OPRA ULTA PDD HZNP ADSK BBY WDAY NTAP
Increasing unusual option volume: PVH CNC HPQ PODD BOX AMBA IGV
Increasing unusual call option volume: AXON VST HPQ LWLG DRIP GSAT AMBA
Increasing unusual put option volume: HPQ AMBA BOX CNC HPQ IGV KVUE NTR PSEC UBS FREY
Active options: TSLA NVDA AAPL NIO AMD GOOGL AMZN META MARA PLTR COIN GOOG MSFT AMC PDD BABA KVUE VALE RIOT T
