Mid-session IV Report November 16, 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: VRTX SAVE SNDX ABR SIRI GME NVAX ZM DOCU JWN CHWY MSOS NKLA
Popular stocks with increasing volume: WMT CSCO PLTR INTC PANW M SOFI NIO JD
Option IV into quarter results
Applied Materials (AMAT) 30-day option implied volatility is at 33; compared to its 52-week range of 29 to 50 as share price near 52-week high. Call put ratio 1 call to 1.5 puts into expected release of quarter results today after the bell.
Gap Stores (GPS) November call option implied volatility is at 200, December is at 55; compared to its 52-week range of 37 to 90 into the expected release of quarter results today after the bell. Call put ratio 1.7 calls to 1 put.
Beazer Homes (BZH) November call option implied volatility is at 200, December is at 56; compared to its 52-week range of 36 to 99 into the expected release of quarter results after the bell.
BJ’s Wholesale (BJ) November call option implied volatility is at 168, December is at 40; compared to its 52-week range of 19 to 79 into the expected release of quarter results before the bell on November 17. Call put ratio 3.4 calls to 1 put.
Buckle (BKE) November call option implied volatility is at 118, 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.
Option IV for stocks near 52-week highs
Microsoft (MSFT) 30-day option implied volatility is at 20; compared to its 52-week range of 19 to 38 as share price near 52-week high.
General Electric (GE) 30-day option implied volatility is at 22; compared to its 52-week range of 21 to 252 as share price near 52-week high.
SAP SE (SAP) 30-day option implied volatility is at 18; compared to its 52-week range of 18 to 83 as share price near 52-week high.
Intel (INTC) 30-day option implied volatility is at 31; compared to its 52-week range of 27 to 48 as share price near 52-week high. Call put ratio 2.2 calls to 1 put.
Williams-Sonoma (WSM) 30-day option implied volatility is at 30; compared to its 52-week range of 26 to 65 as share price near 52-week high.
Seagate Technology (STX) 30-day option implied volatility is at 27; compared to its 52-week range of 27 to 50 as share price near 52-week high.
Applied Materials (AMAT) 30-day option implied volatility is at 33; compared to its 52-week range of 29 to 50 as share price near 52-week high. Call put ratio 1 call to 1.5 puts into expected release of quarter results today after the bell.
Expedia Group Inc. (EXPE) 30-day option implied volatility is at 31; compared to its 52-week range of 27 to 55 as share price near 52-week high.
Costco Wholesale Co. (COST) 30-day option implied volatility is at 21; compared to its 52-week range of 14 to 33 as share price near 52-week high.
Wingstop Inc. (WING) 30-day option implied volatility is at 29; compared to its 52-week range of 29 to 94 as share price near 52-week high.
Arcellx Inc. (ACLX) 30-day option implied volatility is at 72; compared to its 52-week range of 54 to 112 as share price near 52-week high.
Option volume movers
Ball Corporation (BALL) 30-day option implied volatility is at 26; compared to its 52-week range of 21 to 83. Call put ratio 25 calls to 1 put with focus on May 62.50 calls.
Synchrony Financial (SYF) 30-day option implied volatility is at 30; compared to its 52-week range of as 24 to 83.
Asana, Inc. (ASAN) 30-day option implied volatility is at 73; compared to its 52-week range of 46 to 120. Call put ratio 1 call to 6.1 puts as share price down 3.5%.
Celsius Holdings Inc. (CELH) November call option implied volatility is at 70, December is at 54; compared to its 52-week range of 37 to 112. Call put ratio 7.1 calls to 1 put as share price down 2%.
Options with decreasing option implied volatility: SE GRPN AAOI TTD AAP U M IMLN TGT HE TSN STNE ONON PANW TSEM BBWI CSIQ XP WSM
Increasing unusual option volume: VNET ICLN PLCE SONO CALM GT MAXN BBWI GFI
Increasing unusual call option volume: CALM ICLN GT SONO VNET EBIX OIH SNDX IFF BBWI
Increasing unusual put option volume: MAXN GFI TIGR NICE AU CSCO GPN PANW EBIX GOOS
Active options: TSLA AAPL AMZN BABA NVDA MSFT AMD WMT CSCO PLTR INTC PANW M META MARA SOFI GOOG NIO JD
