Mid-session IV Report December 29, 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: U TDOC WHR LUV INTC IBM ADM MA REM COUP KMB CL ONEM
Popular stocks with increasing volume: AMC LUV NIO F RIVN COIN DIS BABA
Option IV into CES 2023 Keynotes
Advanced Micro Devices (AMD) 30-day option implied volatility is at 53; compared to its 52-week range of 44 to 73 into Dr. Lisa Su Chair and CEO, AMD giving CES 2023 keynote address on January 4.
Deere & Co. (DE) 30-day option implied volatility is at 28; compared to its 52-week range of 24 to 47 into John May Chairman and CEO, John Deere giving CES 2023 keynote address on January 5, 2023.
Stellantis (STLA) 30-day option implied volatility is at 32; compared to its 52-week range of 27 to 91 into Carlos Tevaras CEO, Stellantis giving CES 2023 keynote address on January 5, 2023. Call put ratio 2 calls to 1 put.
Large tech movers
Tesla (TSLA) December weekly call option implied volatility is at 114, January is at 88; compared to its 52-week range of 43 to 96. Call put ratio 1.2 calls to 1 put as shares rally 8%.
Apple (AAPL) December weekly call option implied volatility is at 43, January is at 38; compared to its 52-week range of 23 to 45 as shares rally 2.3%.
Amazon (AMZN) 30-day option implied volatility is at 45; compared to its 52-week range of 27 to 61. Call put ratio 2.4 calls to 1 put as shares rally 2.3%.
Meta Platforms (META) December weekly (30) call option implied volatility is at 47, January is at 46; compared to its 52-week range of 34 to 79. Call put ratio 2 calls to 1 put as shares rally 3.3%.
Microsoft (MSFT) 30-day option implied volatility is at 35; compared to its 52-week range of 22 to 47 as shares rally 1.8%.
Alphabet (GOOGL) 30-day option implied volatility is at 36; compared to its 52-week range of 22 to 49. Call put ratio 1.2 calls to 1 put as shares rally 2%.
Netflix (NFLX) 30-day option implied volatility is at 66; compared to its 52-week range of 36 to 86 as shares rally 4.7%.
Nvidia (NVDA) 30-day option implied volatility is at 55; compared to its 52-week range of 45 to 82 as shares rally 3.4%.
JD.com (JD) 30-day option implied volatility is at 55; compared to its 52-week range of 46 to 96 into China borders set to reopen on January 8.
Alibaba (BABA) 30-day option implied volatility is at 54; compared to its 52-week range of 49 to 99 as shares rally 2.2%.
Vera Therapeutics (VERA) 30-day option implied volatility is at 105; compared to its 52-week range of 77 to 331 into topline data from VERA’s Phase 2b ORIGIN clinical trial of APRIL/BLyS inhibitor atacicept in IgAN in “early January.” Call put ratio 5 calls to 1 put.
Options with decreasing option implied volatility: TGTX VERU MPW KMX SPXS
Increasing unusual option volume: WB GOTU AMRS CALM EDU GFL TGTX GOTU EDU TAL
Increasing unusual call volume: WB CALM AMRS FOUR TGTX
Increasing unusual put option volume: GOTU AMRS EDU BKKT TGTX LUV TAL CALM BAX
Active options: TSLA AAPL NVDA AMZN META NFLX AMD NCLH AMRS MSFT AMC LUV GOOGL NIO F RIVN COIN GOOG DIS BABA
