Mid-session IV Report June 14, 2023

Mid-session IV Report June 14, 2023

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Mid-session IV Report June 14, 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: BYND FGEN AMC ATVI UNH SH COHR UNH LOGI HUM CVS SH

Popular stocks increasing volume: SOFI PLTR CCL NKLA PYPL AFRM NKE SHOP

Option IV into Fed policy decision

SPDR S&P 500 ETF Trust (SPY) June call option implied volatility is at 19, July is at 12; compared to its 52-week range of 11 to 31 into FOMC policy decision.

PowerShares QQQ Trust (QQQ) June call option implied volatility is at 27, July is at 19; compared to its 52-week range of 17 to 39 into FOMC policy decision.

United States Oil Fund (USO) June call option implied volatility is at 44, July is at 35; compared to its 52-week range of 30 to 52 as WTI crude trades $70.

Option implied volatility for Managed Care Organization stocks

UnitedHealth Group (UNH) June call option implied volatility is at 45, July is at 25; compared to its 52-week range of 18 to 34 after Chief Financial Officer warned that a recent increase in elective surgeries by older adults may lift costs.

Elevance Health (ELV) 30-day option implied volatility is at 31; compared to its 52-week range of 19 to 35 as shares sell off 5.7%.

Humana (HUM) 30-day option implied volatility is at 26; compared to its 52-week range of 17 to 38 as shares sell off 11%.

Centene (CNC) 30-day option implied volatility is at 23; compared to its 52-week range of 23 to 42 as shares sell off 6.7%.

Cigna Corp. (CI) 30-day option implied volatility is at 21; compared to its 52-week range of 21 to 35 as shares sell off 2.8%.

Movers

Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 26; compared to its 52-week range of 25 to 49. Call put ratio 1 call to 3.3 puts.

Logitech (LOGI) June call option implied volatility is at 61, July is at 30; compared to its 52-week range of 23 to 85. Call put ratio 2.5 calls to 1 put.

Bank option IV into FOMC policy decision

JPMorgan (JPM) 30-day option implied volatility is at 20; compared to its 52-week range of 18 to 44.

Wells Fargo (WFC) 30-day option implied volatility is at 30; compared to its 52-week range of 22 to 51.

Bank of America (BAC) 30-day option implied volatility is at 24; compared to its 52-week range of 22 to 51. Call put ratio 3 calls to 1 put.

Citigroup (C) 30-day option implied volatility is at 24; compared to its 52-week range of 23 to 51.

Goldman Sachs (GS) 30-day option implied volatility is at 20; compared to its 52-week range of 20 to 44.

Morgan Stanley (MS) 30-day option implied volatility is at 22; compared to its 52-week range of 21 to 46.

U.S. Bancorp (USB) 30-day option implied volatility is at 37; compared to its 52-week range of 20 to 86.

PNC Financial (PNC) 30-day option implied volatility is at 29; compared to its 52-week range of 21 to 55.

Charles Schwab (SCHW) 30-day option implied volatility is at 33; compared to its 52-week range of 26 to 104.

Option IV into quarter results

Lennar (LEN) June option implied volatility is at 77, July is at 31; compared to its 52-week range of 26 to 57 into the expected release of quarter results today after the bell.

Adobe (ADBE) June option implied volatility is at 120, July is at 43; compared to its 52-week range of 26 to 58 into the expected release of quarter results after the bell on June 15.

Kroger (KR) June option implied volatility is at 96, July is at 32; compared to its 52-week range of 19 to 52 into the expected release of quarter results before the bell on June 15.

Options with decreasing option implied volatility: GME APRN TCOM ORCL UBS DOCU APRN
Increasing unusual option volume: ACHR QURE NEXT IDEX CYH THC LOGI
Increasing unusual call option volume: NKLA MTTR ACHR COHR NEXT LOGI HPE QURE
Increasing unusual put option volume: PLAY MVIS
Active options: TSLA SOFI NVDA AMD AAPL PLTR NIO AMZN GOOGL CCL NKLA PYPL GOOG F PLUG META AFRM NKE SHOP MSFT

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