Mid-session IV Report November 15, 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: SIRI VKTX ORCL X GRPN APPS YETI U ACHR
Popular stocks with increasing volume: TGT CHGG CELH JD TJX MAT
Option IV into quarter results
Cisco (CSCO) November call option implied volatility is at 75, December is at 25; compared to its 52-week range of 14 to 35 into the expected release of quarter results today after the bell.
Palo Alto Networks (PANW) November call option implied volatility is at 132, December is at 48; compared to its 52-week range of 25 to 54 into the expected release of quarter results today after the bell. Call put ratio 1 call to 2.9 puts.
Walmart (WMT) November call option implied volatility is at 58, December is at 19; compared to its 52-week range of 11 to 32 into expected release of quarter results on November 16. Call put ratio 2.9 calls to 1 put.
Macy’s (M) November call option implied volatility is at 197, December is at 73; compared to its 52-week range of 35 to 77 into expected release of quarter results on November 16.
Alibaba (BABA) November call option implied volatility is at 84, December is at 41; compared to its 52-week range of 33 to 71 into the expected release of quarter results before the bell on November 16. Call put ratio 3.5 calls to 1 put.
Applied Materials (AMAT) November call option implied volatility is at 68, December is at 37; compared to its 52-week range of 29 to 50 into the expected release of quarter results after the bell on November 16.
Ross Stores (ROST) November call option implied volatility is at 81, December is at 28; compared to its 52-week range of 15 to 48 into the expected release of quarter results after the bell on November 16. Call put ratio 1 call to 6.2 puts.
Williams-Sonoma (WSM) November call option implied volatility is at 111, December is at 41; compared to its 52-week range of into the expected release of quarter results on November 16.
Bath & Body Works (BBWI) November call option implied volatility is at 150, December is at 52; compared to its 52-week range of 31 to 72 into the expected release of quarter results before the bell on November 16. Call put ratio 18 calls to 1 put as share price up 5%.
Gap Stores (GPS) November call option implied volatility is at 155, December is at 55; compared to its 52-week range of 37 to 90 into the expected release of quarter results after the bell on November 16. Call put ratio 2.2 calls to 1 put.
Beazer Homes (BZH) November call option implied volatility is at 154, December is at 59; compared to its 52-week range of 36 to 99 into the expected release of quarter results after the bell on November 16. Call put ratio 7 calls to 1 put.
BJ’s Wholesale (BJ) November call option implied volatility is at 115, December is at 38; compared to its 52-week range of 19 to 79 into the expected release of quarter results before the bell on November 17.
Buckle (BKE) November call option implied volatility is at 88, December is at 36; compared to its 52-week range of 23 to 550 into the expected release of quarter results before the bell on November 17.
Foot Locker (FL) November call option implied volatility is at 77, December is at 81; compared to its 52-week range of 34 to 82 into the expected release of quarter results before the bell on November 17.
Option implied volatility for Las Vegas into F1
Caesars (CZR) 30-day option implied volatility is at 40; compared to its 52-week range of 35 to 66.
MGM Resorts (MGM) 30-day option implied volatility is at 31; compared to its 52-week range of 27 to 47.
Las Vegas Sands (LVS) 30-day option implied volatility is at 28; compared to its 52-week range of 27 to 52.
Wynn Resorts (WYNN) 30-day option implied volatility is at 31; compared to its 52-week range of 29 to 58. Call put ratio 4.5 calls to 1 put with focus on November calls.
Liberty Media Acquisition Corp. (FWONK) 30-day option implied volatility is at 26.
Sphere Las Vegas (SPHR) 30-day option implied volatility is at 56; compared to its 52-week range of 38 to 111. Call put ratio 4.6 calls to 1 put with focus on November calls.
Options with decreasing option implied volatility: APPS APP SE AMC TWLO AFRM GRPN
Increasing unusual option volume: CRMD DRRX IBRX XP PH
Increasing unusual call option volume: CRMD IBRX XP TME BKKT KD GLBE
Increasing unusual put option volume: NU SDS SG ICLN MAXN PCT LSCC
Active options: TSLA NVDA MFST
