Mid-session IV Report October 7, 2022
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.
Option IV increases: VERU MSOS EVTL MJ TWTR DIA TRQ
Popular stocks with increasing volume: TWTR DKNG OXY XOM CLVT NIO F INTC MU AMC
Option IV after September jobs report
SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 29; compared to its 52-week range of 12 to 55 as shares down 2.2%.
PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 35; compared to its 52-week range of 16 to 40 as shares down 2.7%.
Option IV moving
Twitter (TWTR) October weekly call option implied volatility is at 67, October is at 85; compared to its 52-week range of 21 to 87 amid Elon Musk headlines. Call put ratio 1 call to 1 put as shares sell off 0.9%.
Tesla (TSLA) October weekly call option implied volatility is at 67, October is at 75; compared to its 52-week range of 36 to 84 into the expected release of quarter results on October 19. Call put ratio 1 call to 1 put as shares sell off 3%.
Boeing (BA) October call option implied volatility is at 52, November is at 53; compared to its 52-week range of 31 to 63 into the expected release of quarter results before the bell on October 26 and an investor meeting on November 1.
Apple (AAPL) 30-day option implied volatility is at 42; compared to its 52-week range of 20 to 45. Call put ratio 1 call to 1.2 puts.
Meta Platforms (META) 30-day option implied volatility is at 67; compared to its 52-week range of 21 to 79. Call put ratio 2 calls to 1 put as shares sell off 2.6%.
Alphabet (GOOG) 30-day option implied volatility is at 44; compared to its 52-week range of 20 to 49 into expected release of quarter results on October 24. Call put ratio 2.6 calls to 1 put as shares sell off 2%.
Microsoft (MSFT) 30-day option implied volatility is at 40; compared to its 52-week range of 18 to 47. Call put ratio 1.2 calls to 1 put as shares sell off 4.6%.
Amazon (AMZN) 30-day option implied volatility is at 53; compared to its 52-week range of 21 to 56. Call put ratio 1.1 calls to 1 put as shares sell off 3.7%.
Delta Air Lines (DAL) October weekly call option implied volatility is at 67, October is at 60; compared to its 52-week range of 32 to 71 into the expected release of quarter results before the bell on October 11. Call put ratio 1 call to 1 put as shares sell off 3%.
BlackRock (BLK) October weekly call option implied volatility is at 50, October is at 45; compared to its 52-week range of 20 to 43 into the expected release of quarter results before the bell on October 11.
PepsiCo (PEP) October weekly call option implied volatility is at 30, October is at 28; compared to its 52-week range of 13 to 29 into the expected release of quarter results before the bell on October 12. Call put ratio 3 calls to 1 put.
REITS option IV
Boston Properties (BXP) 30-day option implied volatility is at 37; compared to its 52-week range of 21 to 80 as shares sell off 2%.
SL Green Realty (SLG) 30-day option implied volatility is at 55; compared to its 52-week range of 24 to 94 as shares sell off 2.5%.
Vornado Realty Trust (VNO) 30-day option implied volatility is at 52; compared to its 52-week range of 26 to 52. Call put ratio 2.1 calls to 1 put as shares sell off 3.2%.
Simon Property Group (SPG) 30-day option implied volatility is at 43; compared to its 52-week range of 26 to 270.
Options with decreasing option implied volatility: AEO TWTR
Increasing unusual option volume: GRWG PRVB LEVI JNK MAPS ATCO CANO BKD
Increasing unusual call option volume: GRWG MAPS ATCO AEHR NFE DRIP BKD
Increasing unusual put option volume: LEVI YANG CANO CS TLRY TCDA ACB JNK REAL SNDL
Active options: TSLA AMD AAPL TLRY AMZN NVDA TWTR MSFT DKNG META OXY NFLX XOM CLVT GOOGL NIO F INTC MU AMC
