Mid-session IV Report June 28, 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: UBS SNAP OSTK TDOC META ALGN SPOT CMG AMZN BAX DPZ HZNP ADP MCD
Popular stocks increasing volume: COIN CCL SNOW UPST PINS LCID INTC PLTR UBER
Chip stocks option IV amid Biden administration mulls new curbs on AI chip exports to China and wide price movement
NVIDIA (NVDA) 30-day option implied volatility is at 41; compared to its 52-week range of 39 to 68.
Advanced Micro Devices, Inc. (AMD) 30-day option implied volatility is at 43; compared to its 52-week range of 40 to 69.
Banks option implied volatility into Fed’s stress test results
Bank of America (BAC) 30-day option implied volatility is at 27; compared to its 52-week range of 22 to 51 into Fed’s stress test results.
JPMorgan (JPM) 30-day option implied volatility is at 22; compared to its 52-week range of 18 to 44 into Fed’s stress test results.
Citigroup (C) 30-day option implied volatility is at 26; compared to its 52-week range of 23 to 51 into Fed’s stress test results.
Wells Fargo (WFC) 30-day option implied volatility is at 28; compared to its 52-week range of 22 to 51 into Fed’s stress test results.
U.S. Bancorp (USB) 30-day option implied volatility is at 40; compared to its 52-week range of 20 to 86 into Fed’s stress test results.
Goldman Sachs (GS) 30-day option implied volatility is at 25; compared to its 52-week range of 20 to 44 into Fed’s stress test results.
Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 15; compared to its 52-week range of 15 to 37 into Fed’s stress test results.
SPDR S&P Regional Banking ETF (KRE) 30-day option implied volatility is at 38; compared to its 52-week range of 21 to 81 into Fed’s stress test results to be published today after the bell.
Tech Finance option implied volatility
PayPal (PYPL) 30-day option implied volatility is at 32; compared to its 52-week range of 31 to 76. Call put ratio 3.4 calls to 1 put.
Block (SQ) 30-day option implied volatility is at 44; compared to its 52-week range of 44 to 94. Call put ratio 3.4 calls to 1 put.
Upstart Holdings (UPST) 30-day option implied volatility is at 96; compared to its 52-week range of 86 to 163. Call put ratio 4.6 calls to 1 put with focus on June weekly calls.
Affirm Holdings (AFRM) 30-day option implied volatility is at 80; compared to its 52-week range of 79 to 146. Call put ratio 3 calls to 1 put.
SoFi Technologies (SOFI) 30-day option implied volatility is at 64; compared to its 52-week range of 52 to 106. Call put ratio 3 calls to 1 put with focus on June weekly calls.
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 52; 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 24; compared to its 52-week range of 4 to 82.
Endeavor Group Holdings Inc. (EDR) 30-day option implied volatility is at 26; compared to its 52-week range of 26 to 79.
World Wrestling Entertainment (WWE) 30-day option implied volatility is at 30; compared to its 52-week range of 27 to 249.
ARK Innovation ETF (ARKK) 30-day option implied volatility is at 36; compared to its 52-week range of 36 to 72 as shares rally 1.6%.
Option IV into quarter results
BlackBerry (BB) June weekly call option implied volatility is at 206, July is at 79; compared to its 52-week range of 48 to 87 into the expected release of quarter results today after the bell.
Micron (MU) June weekly call option implied volatility is at 108, July is at 56; compared to its 52-week range of 34 to 58 into the expected release of quarter results today after the bell.
Nike (NKE) June weekly call option implied volatility is at 107, July is at 42; compared to its 52-week range of 23 to 52 into the expected release of quarter results after the bell on June 29.
Rite Aid (RAD) June weekly call option implied volatility is at 360, July is at 293; compared to its 52-week range of 75 to 139 into the expected release of quarter results before the bell on June 29. Call put ratio 8.5 calls to 1 put.
Paychex (PAYX) July call option implied volatility is at 27, August is at 22; compared to its 52-week range of 19 to 76 into the expected release of quarter results before the bell on June 29.
McCormick & Company (MKC) July call option implied volatility is at 29, August is at 23; compared to its 52-week range of 15 to 81 into the expected release of quarter results before the bell on June 29.
Constellation Brands (STZ) June weekly call option implied volatility is at 61, July is at 25; compared to its 52-week range of 17 to 31 into the expected release of quarter results before the bell on June 30.
Amazon (AMZN) 30-day option implied volatility is at 39; compared to its 52-week range of 26 to 61 into Prime Day 2023 from July 11.
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.
Options with decreasing option implied volatility: KMX SRPT CCL KBH DRI
Increasing unusual option volume: AVAV AMKR CIFR OPK WY GIS
Increasing unusual call option volume: EXTR WY JOBY OPK GIS
Increasing unusual put option volume: TPR ODFL GFI
Active options: TSLA NVDA AMZN AMD AAPL NFLX COIN CCL META SNOW UPST MSFT MARA GOOGL PINS LCID INTC PLTR UBER MU
