Mid-session IV Report September 14, 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: ULCC ACI ICE V IOVA SAVE WE LEVI VTRS RITM SGEN DPZ NYCB NDAQ
Popular stocks with increasing volume: MTCH IC PVH CBRL CVNA
Movers
Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 25; compared to its 52-week range of 24 to 49 into ARM indicated to open at $57, IPO priced at $51 per share.
Netflix (NFLX) 30-day option implied volatility is at 34; compared to its 52-week range of 30 to 83. Call put ratio 1 call to 1.4 puts as share price down 1.8%.
Carvana (CVNA) 30-day option implied volatility is at 96; compared to its 52-week range of 89 to 267. Call put ratio 2.8 calls to 1 put as share price up 4.2%.
Option IV into quarter results
Adobe (ADBE) September call option implied volatility is at 112, October is at 34; compared to its 52-week range of 26 to 50 into the expected release of quarter results today after the bell.
Lennar (LEN) September call option implied volatility is at 99, October is at 38; compared to its 52-week range of 22 to 50 into the expected release of quarter results today.
TSLA, GM, F STLA option IV steady amid union contract headlines
Tesla (TSLA) 30-day option implied volatility is at 50; compared to its 52-week range of 42 to 96 amid United Auto Workers contract negotiations.
General Motors (GM) September call option implied volatility is at 67, October is at 33; compared to its 52-week range of 27 to 60 into their current union contracts ending tonight.
Ford (F) September call option implied volatility is at 67, October is at 32; compared to its 52-week range of 27 to 588 into their current union contracts ending tonight.
Stellantis (STLA) September call option implied volatility is at 78, October is at 34; compared to its 52-week range of 23 to 423 into their current union contracts ending tonight.
Options with decreasing option implied volatility: DOCU EBIX KVUE ORCL KR
Increasing unusual option volume: ULCC SMTC ARLP BNS GENI BCS MTCH
Increasing unusual call option volume: ARLP BCS GENI AVXL NANOS AMPX
Increasing unusual put option volume: PCT IOVA ACB CGC
Active options: TSLA AAPL NVDA AMZN MSFT
