Mid-session IV Report January 6, 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.
Option IV increases: AUPH SNAP BILL FUTU ALGN BKLN WWE AVTR EMB SI
Popular stocks with increasing volume: BBBY MSFT AMD COIN BA GM RIVN
CAT option IV flat as shares near record high
Caterpillar (CAT) 30-day option implied volatility is at 34; compared to its 52-week range of 25 to 45. Call put ratio 1 call to 2 puts as shares near record high.
Index option IV ticks lower after December Jobs report
PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 28; compared to its 52-week range of 18 to 40. Call put ratio 1 call to 1 put as shares rally 1.2%.
SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 21; compared to its 52-week range of 13 to 56. Call put ratio 1 call to 1.1 puts as shares rally 1.4%.
ARK Innovation ETF (ARKK) 30-day option implied volatility is at 56; compared to its 52-week range of 39 to 91. Call put ratio 1 call to 2 puts.
Bank Option IV into next week quarter results
Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 22; compared to its 52-week range of 20 to 39. Call put ratio 1 call to 3.8 puts.
JPMorgan (JPM) 30-day option implied volatility is at 29; compared to its 52-week range of 23 to 44.
Citigroup (C) 30-day option implied volatility is at 35; compared to its 52-week range of 25 to 51. Call put ratio 1 call to 1.6 puts.
Bank of America (BAC) 30-day option implied volatility is at 33; compared to its 52-week range of 25 to 48. Call put ratio 2.8 calls to 1 put.
Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 35; compared to its 52-week range of 28 to 49 as shares rally 2.4%.
Large tech
Tesla (TSLA) January weekly (13) call option implied volatility is at 83, January is at 76; compared to its 52-week range of 43 to 96 as shares sell off 1.3%.
Apple (AAPL) January weekly (13) call option implied volatility is at 38, January is at 35; compared to its 52-week range of 23 to 45. Call put ratio 1 call to 1 put.
Options with decreasing option implied volatility: IQ PSNY BITO WBA
Increasing unusual option volume: LBTYA RPD WB WWE LAC VOYA HAS SMMT PHM
Increasing unusual call volume: LBTYA MAG RPD WB WWE VOYA SAN LAC
Increasing unusual put option volume: ARRY HAS GERN BSX SVIX CNQ LAZR BBBY DHT
Active options: TSLA AAPL AMZN BBBY MSFT AMD NVDA NIO META NFLX LAZR MULN COIN SI BA GOOGL BABA LAC GM RIVN
