Mid-session IV Report June 26, 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: SHOP AMZN INTC PHM MSFT GOOGL GOOG GE F SPOT QS DPZ FSLR AMZN UBS SNAP ENPH META SPOT ATVI AMZN CMG ABBV IBM KMB MCD
Popular stocks increasing volume: CCL SOFI LCID COIN PLTR PFE SNAP MARA BABA AMC
Defense stocks option IV amid Russian headlines
General Dynamics Corporation (GD) 30-day option implied volatility is at 17; compared to its 52-week range of 13 to 32.
L3Harris Technologies (LHX) 30-day option implied volatility is at 19; compared to its 52-week range of 17 to 80. Call put ratio 1 call to 3.6 puts with focus on January 100 puts.
Lockheed Martin (LMT) 30-day option implied volatility is at 19; compared to its 52-week range of 15 to 35 as shares sell off 2%.
Northrop Grumman (NOC) 30-day option implied volatility is at 19; compared to its 52-week range of 16 to 38. Call put ratio 7.5 calls to 1 put with focus on August calls as shares sell off 2%.
Raytheon Technologies (RTX) 30-day option implied volatility is at 19; compared to its 52-week range of 16 to 36.
Palantir (PLTR) 30-day option implied volatility is at 63; compared to its 52-week range of 48 to 84. Call put ratio 2.8 calls to 1 put as shares rally 2.2%.
Palo Alto Networks (PANW) 30-day option implied volatility is at 35; compared to its 52-week range of 26 to 55. Call put ratio 2.3 calls to 1 put as shares rally 2%.
Pfizer (PFE) 30-day option implied volatility is at 19; compared to its 52-week range of 18 to 36 as shares sell off 4.8%.
Airline option IV
Delta Air Lines (DAL) 30-day option implied volatility is at 31; compared to its 52-week range of 28 to 61 into investor meeting on June 27.
American Airlines (AAL) 30-day option implied volatility is at 36; compared to its 52-week range of 32 to 75. Call put ratio 2.6 calls to 1 put.
Southwest Airlines (LUV) 30-day option implied volatility is at 30; compared to its 52-week range of 27 to 52.
United Airlines (UAL) 30-day option implied volatility is at 37; compared to its 52-week range of 32 to 73.
Option IV into quarter results
Walgreens Boots (WBA) June weekly call option implied volatility is at 73, July is at 37; compared to its 52-week range of 21 to 48 into the expected release of quarter results before the bell on June 27.
General Mills (GIS) June weekly call option implied volatility is at 27, July is at 20; compared to its 52-week range of 14 to 64 into the expected release of quarter results before the bell on June 28. Call put ratio 2.1 calls to 1 put.
BlackBerry (BB) June weekly call option implied volatility is at 140, July is at 110; compared to its 52-week range of 48 to 87 into the expected release of quarter results after the bell on June 28.
Micron (MU) June weekly call option implied volatility is at 79, July is at 55; compared to its 52-week range of 34 to 58 into the expected release of quarter results after the bell on June 28.
H.B. Fuller (FUL) 30-day option implied volatility at 28; compared to its 52-week range of 25 to 42 into the expected release of quarter results after the bell on June 28.
Arb stocks option IV
Activision Blizzard (ATVI) 30-day option implied volatility is at 41; compared to its 52-week range of 15 to 46. Events July 18 — when the initial Microsoft (MSFT) acquisition agreement expires (which can be extended if both companies agree) — and August 2, when an evidentiary hearing will be held in the Federal Trade Commission’s lawsuit to nix the Microsoft-Activision merger.
iRobot Corp. (IRBT) 30-day option implied volatility is at 58; compared to its 52-week range of 9 to 121 into EU antitrust regulators will decide by July 6 whether to clear Amazon.com (AMZN) $1.7B acquisition of the maker of robot vacuum cleaner, according to a European Commission filing.
Horizon Therapeutics (HZNP) 30-day option implied volatility is at 23; compared to its 52-week range of 4 to 82. Call put ratio 392 calls to 1 put with focus on August calls.
Agra option IV amid Russian Headlines
Teucrium Wheat Fund (WEAT) 30-day option implied volatility is at 38; compared to its 52-week range of 25 to 53. Call put ratio 28 calls to 1 put as shares rally 2.7%.
Teucrium Corn Fund (CORN) 30-day option implied volatility is at 40; compared to its 52-week range of 14 to 86.
Teucrium Soybean Fund (SOYB) 30-day option implied volatility is at 26; compared to its 52-week range of 14 to 75. Call put ratio 40 calls to 1 put with focus on July calls.
Options with decreasing option implied volatility: ARCC NYCB SH CFG ETRN MBLY NRG AUPH COHR CTLT HPE BXMT CVE
Increasing unusual option volume: FGEN DQ CP BKKT SAM BMEA VRAR XXII OPCH WU NEXT BCS SWBI HCP NEGG VLY
Increasing unusual call option volume: DQ FGEN WU BKKT RVLV HCP VRAR NEXT LCID
Increasing unusual put option volume: CP FGEN BMEA BCS VLY BB ET
Active options: TSLA AMZN CCL AAPL AMD NVDA SOFI LCID FGEN COIN PLTR PFE GOOGL SNAP MARA META GOOG MSFT BABA AMC
