Mid-session IV Report November 3, 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: CPRI SAVE SPLK AVDX
Popular stocks with increasing volume: SQ DKNG SOFI ROKU AMC COIN SBUX BKNG
Stock option IV (SPY, QQQ, RUT, IWM) below interest rate product option IV (TLT)
SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 14; compared to its 52-week range of 11 to 29.
PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 18; compared to its 52-week range of 16 to 31.
Russel 2000 Index (RUT) 30-day option implied volatility is at 19; compared to its 52-week range of 16 to 30.
iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 20; compared to its 52-week range of 13 to 26.
ARK Innovation ETF (ARKK) 30-day option implied volatility is at 36; compared to its 52-week range of 33 to 63. Call put ratio 4 calls to 1 put.
Apple (AAPL) November weekly (10) call option implied volatility is at 21, November is at 20; compared to its 52-week range of 17 to 43 into the expected release of quarter results today after the bell.
WMT, TGT & M option IV into quarter results and holiday outlook
Walmart (WMT) 30-day option implied volatility is at 20; compared to its 52-week range of 11 to 32 into expected release of quarter results on November 16.
Target (TGT) 30-day option implied volatility is at 43; compared to its 52-week range of 21 to 52. Call put ratio 3 calls to 1 put into expected release of quarter results on November 15.
Macy’s (M) 30-day option implied volatility is at 68; compared to its 52-week range of 35 to 77 into expected release of quarter results on November 16.
Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 15; compared to its 52-week range of 12 to 37.
Options with decreasing option implied volatility: SRPT HLT IGT XPO SQ CVNA PINS ROKU W
Increasing unusual option volume: REI MAC BMBL BOOT SIX BILL
Increasing unusual call option volume: MTB IEF SKIN BILL CFLT
Increasing unusual put option volume: BALL BMBL TEAM DBX XLRE QSR
Active options: TSLA AAPL NVDA PLTR SQ BAC AMZN AMD CHPT F MSFT META DKNG ROKU GOOGL COIN AMC SOFI C BABA
