Mid-session IV Report October 11, 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: UPST PACW RBLX BROS CELH YETI SILK DVA
Popular stocks with increasing volume: XOM SQ BAC AAL SOFI NVO
Option IV into quarter results into CPI report
Delta (DAL) October weekly call option implied volatility is at 74, October is at 49; compared to its 52-week range of 25 to 61 into the expected release of quarter results before the bell on October 12. Call put ratio 1.2 calls to 1 put.
Walgreens Boots (WBA) October weekly call option implied volatility is at 111, October is at 63; compared to its 52-week range of 21 to 48 into the expected release of quarter results before the bell on October 12.
Infosys Limited (INFY) October call option implied volatility is at 44, November is at 33; compared to its 52-week range of 16 to 77.
Fastenal (FAST) October call option implied volatility is at 39, November is at 25; compared to its 52-week range of 16 to 73.
Domino’s Pizza (DPZ) October weekly call option implied volatility is at 95, October is at 51; compared to its 52-week range of 20 to 50 into the expected release of quarter results before the bell on October 12.
Commercial Metal (CMC) October call option implied volatility is at 53, November is at 36; compared to its 52-week range of 24 to 79 into the expected release of quarter results before the bell on October 12.
UnitedHealth (UNH) October weekly call option implied volatility is at 55, October is at 32; compared to its 52-week range of 17 to 34 into the expected release of quarter results before the bell on October 13.
JPMorgan (JPM) October weekly call option implied volatility is at 55, October is at 33; compared to its 52-week range of 16 to 44 into the expected release of quarter results before the bell on October 13. Call put ratio 2.6 calls to 1 put.
Citigroup (C) October weekly call option implied volatility is at 66, October is at 39; compared to its 52-week range of 21 to 51 into the expected release of quarter results before the bell on October 13.
Wells Fargo (WFC) October weekly call option implied volatility is at 66, October is at 41; compared to its 52-week range of 22 to 51 into the expected release of quarter results before the bell on October 13. Call put ratio 1 call to 2.2 puts.
BlackRock (BLK) October weekly call option implied volatility is at 59, October is at 35; compared to its 52-week range of 18 to 47 into the expected release of quarter results before the bell on October 13.
PNC Financial (PNC) October weekly call option implied volatility is at 66, October is at 40; compared to its 52-week range of 22 to 55 into the expected release of quarter results before the bell on October 13.
Progressive Corp (PGR) October call option implied volatility is at 37, November is at 28; compared to its 52-week range of 19 to 73 into the expected release of quarter results before the bell on October 13.
Mover
Pinduoduo (PDD) October weekly call option implied volatility is at 48, October is at 42; compared to its 52-week range of 40 to 102. Call put ratio 2.6 calls to 1 put as share price up 1.4%
Energy deal option IV as WTI Crude Oil trades $84.50
Pioneer Natural Resources (PXD) October weekly call option implied volatility is at 32, October is at 28; compared to its 52-week range of 19 to 51 after Exxon Mobil (XOM) announced the acquisition of Pioneer for $253 per share. Call put ratio 1 call to 1.2 puts.
Exxon Mobil (XOM) October weekly call option implied volatility is at 32, October is at 27; compared to its 52-week range of 19 to 43 after announcing its acquiring Pioneer Natural (PXD) for $59.5B. Call put ratio 1.8 calls to 1 put.
Chevron (CVX) 30-day option implied volatility is at 25; compared to its 52-week range of 17 to 41.
BP plc (BP) 30-day option implied volatility is at 28; compared to its 52-week range of 18 to 45.
Phillips 66 (PSX) 30-day option implied volatility is at 30; compared to its 52-week range of 22 to 49.
Halliburton (HAL) 30-day option implied volatility is at 38; compared to its 52-week range of 27 to 60. Call put ratio 3.7 calls to 1 put.
Schlumberger (SLB) 30-day option implied volatility is at 35; compared to its 52-week range of 27 to 56.
Options with decreasing option implied volatility: AEHR VMW DELL CAG STZ ATVI
Increasing unusual option volume: PTEN BXMT BAX VTRS HYLN RYAM DVA TRMD ARKF
Increasing unusual call option volume: VTRS BXMT DVA RYAM TUP SPHR ARKF
Increasing unusual put option volume: BXMT BAX JBL PXD
Active options: TSLA NVDA AMZN AAPL PLTR META XOM AMD PLUG MSFT BA SQ NFLX GOOGL BAC GOOG PTEN NIO AAL SOFI
