Mid-session IV Report November 9, 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: CHWY GTLB DOCU DG PBR BILL MSTR
Popular stocks with increasing volume: WBD LCID HOOD PLTR AAL AFRM UBER
MSFT and NVDA option IV as share price trends higher
Microsoft (MSFT) 30-day option implied volatility is at 20; compared to its 52-week range of 18 to 37 as share price near record high.
NVIDIA (NVDA) 30-day option implied volatility is at 51; compared to its 52-week range of 37 to 68 as share price up 2.5%.
Option IV into quarter results
Target (TGT) 30-day option implied volatility is at 45; compared to its 52-week range of 21 to 52. Call put ratio 2 calls to 1 put into expected release of quarter results on November 15.
Walmart (WMT) 30-day option implied volatility is at 21; compared to its 52-week range of 11 to 32 into expected release of quarter results on November 16.
Macy’s (M) 30-day option implied volatility is at 72; compared to its 52-week range of 35 to 77 into expected release of quarter results on November 16. Call put ratio 2.9 calls to 1 put.
Volume movers
Chewy (CHWY) 30-day option implied volatility is at 77; compared to its 52-week range of 38 to 91. Call put ratio 18.8 calls to 1 put with spreaders focus on November weekly (10) and November weekly calls.
Illumina (ILMN) 30-day option implied volatility is at 63; compared to its 52-week range of 31 to 69. Call put ratio 4.8 calls to 1 put.
Spirit Airlines (SAVE) November weekly call option implied volatility is at 116, December is at 140; compared to its 52-week range of 24 to 142 amid SAVE and JetBlue (JBLU) trial versus the DOJ. Call put ratio 1.2 call to put.
JetBlue (JBLU) November weekly call option implied volatility is at 103, November is at 81, December is at 76; compared to its 52-week range of 35 to 74 amid JBLU and Spirit Airlines’ (SAVE) trial versus the DOJ. Call put ratio 13 calls to 1 put with focus on November 4.5 calls.
Stocks with option IV near low end of range
Sarepta Therapeutics (SRPT) 30-day option implied volatility is at 42; compared to its 52-week range of 38 to 238 as share price down 4%.
VMware (VMW) 30-day option implied volatility is at 15; compared to its 52-week range of 14 to 261.
Options with decreasing option implied volatility: AYX SAVE IEP DOCN UPST RBLX DIS AFRM
Increasing unusual option volume: AYX SAVE DOCN IEP UPST BILL
Increasing unusual call option volume: CIFR APP EGY PSEC ITB ASRT GNW
Increasing unusual put option volume: DVA PWR KGC PSEC TTWO MODG TZA BDX
Active options: TSLA AAPL NVDA RIVN AMD RBLX UPST AMZN MSFT WBD LCID HOOD PLTR META GOOGL ENVX AAL AFRM AMC UBER
