Mid-session IV Report November 17, 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: IMGN ABR PBR SAVE MOR AAP
Popular stocks with increasing volume: WMT PANW CSCO PYPL CVNA SOFI BAC
SPDR S&P Retail ETF (XRT) 30-day option implied volatility is at 23; compared to its 52-week range of 20 to 37. Call put ratio 1.2 calls to 1 put into Black Friday and Cyber Monday.
Option IV into quarter results
Agilent Technologies (A) December call option implied volatility is at 50, January is at 34; compared to its 52-week range of 20 to 80 into the expected release of quarter results after the bell on November 20. Call put ratio 4.7 calls to 1 put with focus on December 125 calls.
Zoom Video (ZM) November weekly call option implied volatility is at 88, December is at 57; compared to its 52-week range of 34 to 82 into the expected release of quarter results after the bell on November 20. Call put ratio 1 call to 14 puts with focus on November-January 80 put spread.
Urban Outfitters (URBN) November weekly call option implied volatility is at 85, December is at 51; compared to its 52-week range of 28 to 63 into the expected release of quarter results on November 20. Call put ratio 4.8 calls to 1 put with focus on November weekly calls.
Option IV after recent IPO’s
Kenvue (KVUE) 30-day option implied volatility is at 27; compared to its 52-week range of 16 to 53. Call put ratio 59 calls to 1 put with focus on February and May calls.
Nextracker (NXT) 30-day option implied volatility is at 53; compared to its 52-week range of 22 to 97.
Klaviyo (KVYO) 30-day option implied volatility is at 52; compared to its 52-week range of 49 to 82.
ODDITY Tech (ODD) 30-day option implied volatility is at 70; compared to its 52-week range of 50 to 98. Call put ratio 5 calls to 1 put with focus on November calls.
Acelyrin (SLRN) 30-day option implied volatility is at 92; compared to its 52-week range of 56 to 248.
Birkenstock (BIRK) 30-day option implied volatility is at 55; compared to its 52-week range of 55 to 76.
Instacart (CART) 30-day option implied volatility is at 48; compared to its 52-week range of 21 to 72. Call put ratio 1 call to 6.8 puts with focus on November and December puts.
Arm Holdings (ARM) 30-day option implied volatility is at 35; compared to its 52-week range of 35 to 59. Call put ratio 2.6 calls to 1 put.
Options with decreasing option implied volatility: HE M SE AAP STNE ONON TGT PANW TSN BBWI CSIQ TSEM XP ROST WSM GT VOD CSCO TJX
Increasing unusual option volume: AVTR PTEN GPS INDA VNET IQV ROST OTLY BKLN
Increasing unusual call option volume: VNET INDA GPS ROST EMB OTLY FAST THC AM CRSP BJ VNO
Increasing unusual put option volume: CAL GPS NVCR FVRR ERIC AMAT AUPH ZTO IMGN
Active options: TSLA NVDA AAPL MSFT BABA AMZN AMD PLTR AMAT META WMT CHPT PANW CSCO PYPL NFLX CVNA SOFI BAC
