Mid-session IV Report May 24, 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: BHP MS CSX TMO WMT XSP HYG IEP KMX PLTR FDX NANOS
Popular stocks increasing options volume: PLTR NIO PANW C PFE UPST BABA BAC SHOP DIS
Interest rate – bond option IV amid debt ceiling headlines
Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 37; compared to its 52-week range of 31 to 60. Call put ratio 5.4 calls to 1 put.
iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 18; compared to its 52-week range of 17 to 30.
SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 9; compared to its 52-week range of 7 to 21.
iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 10; compared to its 52-week range of 8 to 23.
Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 10; compared to its 52-week range of 9 to 19. Call put ratio 1 call to 38 puts.
Apple (AAPL) 30-day option implied volatility is at 23; compared to its 52-week range of 19 to 45 into Apple WWDC 2023 on June 5.
Walt Disney (DIS) 30-day option implied volatility is at 28; compared to its 52-week range of 24 to 49 as shares trade near low end of range.
United States Oil Fund (USO) 30-day option implied volatility is at 33; compared to its 52-week range of 30 to 52 into OPEC Fund Development Forum on June 20, 2023 in Vienna.
Sarepta (SRPT) 30-day option implied volatility is at 71; compared to its 52-week range of 39 to 144 amid the FDA informed Sarepta that it requires modest additional time to complete the review for Biologics License Application for SRP-9001, including final label negotiations and post marketing commitment discussions, and that it anticipates that the review will be complete by June 22.
Zoetis (ZTS) 30-day option implied volatility is at 25; compared to its 52-week range of 21 to 76 into a company hosted investor day on May 25. Call put ratio 1 call to 33 puts with focus on October 25 puts.
Option IV into quarter results
NVIDIA (NVDA) May weekly call option implied volatility is at 108, June is at 52; compared to its 52-week range of 40 to 75 into the expected release of quarter results today after the bell.
Snowflake (SNOW) May weekly call option implied volatility is at 155, June is at 66; compared to its 52-week range of 49 to 114 into the expected release of quarter results today after the bell.
Costco (COST) May weekly call option implied volatility is at 50, June is at 26; compared to its 52-week range of 19 to 49 into the expected release of quarter results after the bell on May 25.
Workday (WDAY) May weekly call option implied volatility is at 98, June is at 42; compared to its 52-week range of 30 to 69 into the expected release of quarter results after the bell on May 25. Call put ratio 1 call to 3.2 puts.
Dollar Tree (DLTR) May weekly call option implied volatility is at 100, June is at 40; compared to its 52-week range of 22 to 64 into the expected release of quarter results before the bell on May 25.
Ulta Beauty (ULTA) May weekly call option implied volatility is at 99, June is at 42; compared to its 52-week range of 20 to 61 into the expected release of quarter results after the bell on May 25.
Best Buy (BBY) May weekly call option implied volatility is at 123, June is at 49; compared to its 52-week range of 27 to 88 into the expected release of quarter results before the bell on May 25.
Autodesk (ADSK) May weekly call option implied volatility is at 104, June is at 45; compared to its 52-week range of 29 to 63 into the expected release of quarter results on May 25.
Marvell (MRVL) May weekly call option implied volatility is at 112, June is at 55; compared to its 52-week range of 45 to 75 into the expected release of quarter results after the bell on May 25.
Burlington Resources (BURL) May weekly call option implied volatility is at 147, June is at 58; compared to its 52-week range of 33 to 81 into the expected release of quarter results before the bell on May 25.
Ralph Lauren (RL) May weekly call option implied volatility is at 45, June is at 36; compared to its 52-week range of 30 to 96 into the expected release of quarter results before the bell on May 25. Call put ratio 2.3 calls to 1 put.
Gap (GPS) May weekly call option implied volatility is at 239, June is at 93; compared to its 52-week range of 43 to 102 into the expected release of quarter results after the bell on May 25. Call put ratio 3.4 calls to 1 put.
Medtronic (MDT) May weekly call option implied volatility is at 63, June is at 28; compared to its 52-week range of 19 to 32 into the expected release of quarter results before the bell on May 25.
Booz Allen (BAH) June call option implied volatility is at 28, July is at 30; compared to its 52-week range of 17 to 83 into the expected release of quarter results before the bell on May 26.
Buckle (BKE) June call option implied volatility is at 44, July is at 38; compared to its 52-week range of 31 to 550 into the expected release of quarter results before the bell on May 26.
Options with decreasing option implied volatility: DKS PANW TTWO CSCO DE ZM STNE SQM PACW
Increasing unusual option volume: ADI GLW SMMT RXDX URBN RYAM APTV ANF WOOF SU PLCE ITUB PANW
Increasing unusual call volume: SMMT URBN NNOX ANF SU ITUB GLW DBI WOOF PANW KSS ADI
Increasing unusual put volume: BMO KNX AUPH MQ SIMO KSS CSX IEP TRUP ADI ZTS TNP ANF
Active options: TSLA AMZN AAPL NVDA PLTR NIO AMD NFLX PANW GOOGL META MSFT C PFE GOOG UPST BABA BAC SHOP DIS
