Mid-session IV Report July 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.
Options with increasing option implied volatility: DWAC HOOT LYFT ANET MELI PENN UBER SHAK EXPE FTNT SBUX EA CVS CLX
Popular stocks increasing volume: LEVI NDAQ GT PZZA NCR
Chip stocks option IV
NVIDIA (NVDA) 30-day option implied volatility is at 42; compared to its 52-week range of 39 to 68.
Advanced Micro Devices, Inc. (AMD) 30-day option implied volatility is at 51; compared to its 52-week range of 40 to 69.
Intel (INTC) 30-day option implied volatility is at 44; compared to its 52-week range of 26 to 59.
Qualcomm (QCOM) 30-day option implied volatility is at 36; compared to its 52-week range of 28 to 58.
Broadcom (AVGO) 30-day option implied volatility is at 28; compared to its 52-week range of 24 to 58.
Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 27; compared to its 52-week range of 25 to 49.
Meta Platforms (META) 30-day option implied volatility is at 52; compared to its 52-week range of 29 to 74 as shares near 52-week high as Thread goes live.
Interest rate – bond option IV as rates tick higher
Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 32; compared to its 52-week range of 31 to 60. Call put ratio 2.6 calls to 1 put.
iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 16; compared to its 52-week range of 14 to 30.
SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 8; compared to its 52-week range of 7 to 20. Call put ratio 1 call to 19 puts.
iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 8; compared to its 52-week range of 8 to 20. Call put ratio 1 call to 22 puts with focus on July puts.
Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 9; compared to its 52-week range of 8 to 19. Call put ratio 4.6 calls to 1 put.
Option IV into quarter results
Levi Strauss (LEVI) July call option implied volatility is at 58, August is at 43; compared to its 52-week range of 28 to 99 into the expected release of quarter results today after the bell.
Large retailers IV
Walmart (WMT) 30-day option implied volatility is at 13; compared to its 52-week range of 12 to 32.
Amazon (AMZN) 30-day option implied volatility is at 40; compared to its 52-week range of 26 to 61 into Prime Day 2023 from July 11. Call put ratio 2.4 calls to 1 put.
Target (TGT) 30-day option implied volatility is at 26; compared to its 52-week range of 26 to 52 into Target Circle Week, July 9-15.
Activision Blizzard (ATVI) 30-day option implied volatility is at 48; compared to its 52-week range of 15 to 46 amid M&A approval events.
Options with decreasing option implied volatility: NKE BB MU AZN STZ
Increasing unusual option volume: ACVA BTAI ATUS VOO OPRA BALL MQ MP CMRE WULF MJ APLD UPST AFRM PZZA SG PCAR COTY
Increasing unusual call option volume: NDAQ SYF BCS EDR NANOS WCC TMC BTAI COTY OPRA VNQ MP CMRE INFY WULF BILL MJ
Increasing unusual put option volume: CARR PACB JETS JMIA DD JOBY CCJ BBIO RIVN LCID CCL NIO MARA HOOD RIOT SOFI
Active options: TSLA AAPL AMZN META AMD NVDA NFLX
