Mid-session IV Report June 22, 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: SPCE FGEN BITO ATVI ALLY IBM SGEN UBS ROOT TRUP SHC
Popular stocks increasing volume: PLTR BA NIO BABA TSM PYPL INTC SOFI RIVN
“The Magnificent Seven.” option implied volatility into FOMC
Apple (AAPL) 30-day option implied volatility is at 19; compared to its 52-week range of 18 to 45.
Microsoft (MSFT) 30-day option implied volatility is at 23; compared to its 52-week range of 19 to 43.
Alphabet (GOOGL) 30-day option implied volatility is at 26; compared to its 52-week range of 23 to 47.
Meta Platforms (META) 30-day option implied volatility is at 34; compared to its 52-week range of 29 to 74.
NVIDIA (NVDA) 30-day option implied volatility is at 42; compared to its 52-week range of 39 to 68.
Tesla (TSLA) 30-day option implied volatility is at 65; compared to its 52-week range of 44 to 96.
Amazon (AMZN) 30-day option implied volatility is at 31; compared to its 52-week range of 26 to 61 into Prime Day 2023 from July 11.
SPDR S&P Regional Banking ETF (KRE) 30-day option implied volatility is at 36; compared to its 52-week range of 21 to 81 as share price pulls back.
Arb stocks option IV
Activision Blizzard (ATVI) 30-day option implied volatility is at 40; compared to its 52-week range of 15 to 46. Call put ratio 3.3 calls to 1 put.
iRobot Corp. (IRBT) 30-day option implied volatility is at 65; compared to its 52-week range of 9 to 121.
Horizon Therapeutics (HZNP) 30-day option implied volatility is at 15; compared to its 52-week range of 4 to 82. Call put ratio 11.2 calls to 1 put.
Option IV
Chegg (CHGG) 30-day option implied volatility is at 47; compared to its 52-week range of 36 to 131 as shares near multi-year low.
Option IV into quarter results
CarMax (KMX) June weekly call option implied volatility is at 202, July is at 55; compared to its 52-week range of 34 to 241 into the expected release of quarter results before the bell on June 23.
Options with decreasing option implied volatility: GME SOFI AUPH ADBE SBSW FDX KR VLY ETRN SH LEN RITM ARCC ACN HUM JEPI
Increasing unusual option volume: ASTL LOGI HUN SSYS RVLV PHG ITA
Increasing unusual call option volume: TRIP LOGI DG GFI
Increasing unusual put option volume: RVLV CRK SNPS SRG ICLN
Active options: TSLA AMZN NVDA AMD AAPL AMC PLTR META BA MARA GOOGL MSFT NIO BABA TSM PYPL INTC SOFI GOOG RIVN
