Mid-session IV Report March 27, 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: OSH VKTX PRVB AUPH META MAT ATVI
Popular stocks with increasing volume: BAC FRC CCL GOOG JPM COIN SQ IBM GME ROKU AMC
Option IV into end of month and quarter
SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 20; compared to its 52-week range of 15 to 31.
PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 24; compared to its 52-week range of 22 to 40.
iShares Russell 2000 ETF (IWM) 30-day option implied volatility is at 26; compared to its 52-week range of 20 to 37.
ARK Innovation ETF (ARKK) 30-day option implied volatility is at 52; compared to its 52-week range of 48 to 91.
Activision Blizzard (ATVI) 30-day option implied volatility is at 25; compared to its 52-week range of 10 to 46. Call put ratio 1 call to 3.7 puts with focus on January put spreaders.
Option IV into quarter results
PVH Corp (PVH) April call option implied volatility is at 57, May is at 51; compared to its 52-week range of 37 to 106 into the expected release of quarter results today after the bell.
lululemon athletica (LULU) March weekly call option implied volatility is at 98, April is at 52; compared to its 52-week range of 32 to 70 into the expected release of quarter results after the bell on March 28.
Walgreens Boots (WBA) March weekly call option implied volatility is at 68, April is at 38; compared to its 52-week range of 22 to 48 into the expected release of quarter results before the bell on March 28.
Micron (MU) March weekly call option implied volatility is at 79, April is at 51; compared to its 52-week range of into 36 to 62 the expected release of quarter results after the bell on March 28.
McCormick (MKC) April call option implied volatility is at 28, May is at 25; compared to its 52-week range of 17 to 81 into the expected release of quarter results before the bell on March 28.
RH (RH) March weekly call option implied volatility is at 107, April is at 64; compared to its 52-week range of 41 to 84 into the expected release of quarter results after the bell on March 29. Call put ratio 1.3 calls to 1 put as shares sell off 1.2%.
Paychex (PAYX) April call option implied volatility is at 31, May is at 29; compared to its 52-week range of 20 to 76 into the expected release of quarter results before the bell on March 29.
Cintas (CTAS) April call option implied volatility is at 30, May is at 27; compared to its 52-week range of 21 to 72 into the expected release of quarter results before the bell on March 29.
Black Berry (BB) March weekly call option implied volatility is at 110, April is at 74; compared to its 52-week range of 52 to 89 into the expected release of quarter results after the bell on March 30. Call put ratio 5 calls to 1 put.
Options with decreasing option implied volatility: NYCB NKE TME REGN GIS
Increasing unusual option volume: FRC DPST MAT VORB PHG ABEV MQ DB KEY HPE TMF ABB ZION TIP
Increasing unusual call volume: DPST VORB MAT KEY KBE TIP ELF KRE ABB TMF
Increasing unusual put option volume: MQ MAT HPE DB PHG ONON
Active options: TSLA AAPL NVDA BAC FRC AMZN GOOGL MSFT CCL META AMD NFLX GOOG JPM COIN SQ IBM GME ROKU AMC
