Mid-session IV Report June 11, 2024

Mid-session IV Report June 11, 2024

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Mid-session IV Report June 11, 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: MBLY OPRA EDR TH ORCL AVGO DXC URA PWSC HYG

Popular stocks with increasing volume: BAC AFRM SHOP COIN JPM

Active options: AAPL NVDA TSLA GME MARA AMD BAC AMZN AFRM SHOP COIN JPM GOOGL RIOT AMC FSLR CLSK SNOW HOOD META

Option IV into quarter results

Oracle (ORCL) June weekly (14) call option implied volatility is at 105, June is at 61; compared to its 52-week range of 19 to 47 into the expected release of quarter results today after the bell.

Broadcom (AVGO) June weekly (14) call option implied volatility is at 80, June is at 54; compared to its 52-week range of 25 to 59 into the expected release of quarter results after the bell on June 12.

Dave & Busters (PLAY) June call option implied volatility is at 108, July is at 61; compared to its 52-week range of 33 to 109 into the expected release of quarter results after the bell on June 12.

Children’s Palace (PLCE) June weekly (14) call option implied volatility is at 220, June is at 174; compared to its 52-week range of 45 to 196 into the expected release of quarter results on June 12.

Adobe (ADBE) June weekly (14) call option implied volatility is at 96, June is at 59; compared to its 52-week range of 24 to 48 into the expected release of quarter results after the bell on June 13.

Interest rate – bond option IV ahead FOMC policy decision

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 29; compared to its 52-week range of 21 to 49. Call put ratio 1 call to 3.3 puts.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 15; compared to its 52-week range of 11 to 25.

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 5; compared to its 52-week range of 4 to 11 into FOMC policy meeting.

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 5; compared to its 52-week range of 4 to 11. Call put ratio 1 call to 1.8 puts.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 9; compared to its 52-week range of 6 to 13. Call put ratio 3.8 calls to 1 put.

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 12; compared to its 52-week range of 10 to 19. Call put ratio 1 call to 1 put.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 15; compared to its 52-week range of 14 to 24.

iShares Russell 2000 ETF (IWM) 30-day option implied volatility is at 19; compared to its 52-week range of 16 to 24. Call put ratio 1 call to 1.5 puts into FOMC policy meeting.

Options with decreasing option implied volatility: GERN PCT IOT SMTC VSCO CRWD LULU HPE FIVE DLTR DOCU UWMC ASO SDOW MNST INDA ADSK CPB EMB
Increasing unusual option volume: CXW INCY FFIE TK ASO NANOS OMEX QURE HPE RBRK SAN SHLS
Increasing unusual call option volume: ASO FFIE MBLY HPE SHLS RBRK KKR GOGO QURE ASC
Increasing unusual put option volume: EH ASO GEO BJ BSX TELL DB NAT BYD FCEL HIVE

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