Mid-session IV Report July 10, 2024

Mid-session IV Report July 10, 2024

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Mid-session IV Report July 10, 2024

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: RILY GRPN UPST RBLX ARM PLTR APP CPRI U TRIP ELF LYFT BMBL TOST EXEL TTD TWLO DDOG UAA JMIA WBD URA JNK

Popular stocks with increasing volume: INTC MU SIRI SOFI NKE SMCI RIVN BAC DELL MARA

Active options: NVDA TSLA INTC AMD AAPL PLTR AMZN META MU SIRI SOFI GOOGL NKE SMCI RIVN MSFT GOOG BAC DELL MARA

International ETF’s option IV as share price near upper end of range

Ishares Msci Japan Etf (EWJ) 30-day option implied volatility is at 14; compared to its 52-week range of 12 to 65. Call put ratio 14.5 calls to 1 put as share price near upper end of range.

Ishares Msci Emerging Markets Etf (EEM) 30-day option implied volatility is at 13; compared to its 52-week range of 12 to 20. Call put ratio 1.2 calls to 1 put as share price near upper end of range.

Ishares Msci India Etf (INDA) 30-day option implied volatility is at 12; compared to its 52-week range of 8 to 46. Call put ratio 2.8 calls to 1 put as share price near upper end of range.

Option IV into quarter results

Pepsico (PEP) July 12 weekly call option implied volatility is at 40, July is at 26; compared to its 52-week range of 13 to 26; into the expected release of quarter results before the bell on July 11.

Progressive Corp (PGR) July call option implied volatility is at 40, August is at 29; compared to its 52-week range of 30 to 68; into the expected release of quarter results on July 11. Call put ratio 3.8 calls to 1 put.

Cintas (CTAS) July call option implied volatility is at 35, August is at 22; compared to its 52-week range of 13 to 46; into the expected release of quarter results on July 11.

Delta Airlines (DAL) July 12 weekly call option implied volatility is at 80, July is at 54; compared to its 52-week range of 25 to 42; into the expected release of quarter results before the bell on July 11. Call put ratio 2.6 calls to 1 put with focus on July 12 weekly calls.

ConAgra (CAG) July 12 weekly call option implied volatility is at 60, July is at 36; compared to its 52-week range of 24 to 31; into the expected release of quarter results before the bell on July 11. Call put ratio 1 call to 3 puts with focus on July 12 weekly puts.

Mattress stocks option IV as share price pulls back on Wedbush comments

Tempur Sealy (TPX) 30-day option implied volatility is at 38; compared to its 52-week range of 26 to 68. Call put ratio 1 call to 15 puts with focus on July 47.50 puts as share price down 2%.

Sleep Number Corporation (SNBR) 30-day option implied volatility is at 101; compared to its 52-week range of 57 to 132. Call put ratio 5.5 calls to 1 put with focus on December 7.5 calls as share price down 8.8%.

Purple Innovation (PRPL) 30-day option implied volatility is at 47; compared to its 52-week range of 20 to 163 as share price down 5.4%.

Options with decreasing option implied volatility: CHWY PARA STZ
Increasing unusual option volume: HELE GPRE BKR SGH GLW PBI PTEN
Increasing unusual call option volume: GPRE GLW CMG PBI SIRI TMC CAMT
Increasing unusual put option volume: BKR PTEN NWL TPX GLW CMG FITB ILMN SMR CC

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