Mid-session IV Report September 26, 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: SNAP SRPT TDOC ENPH MPW WOLF SLG ALGN QS SPOT CMG META TMV HOG TAN WDC INTC TBT UPS CHTR NOW GOOG WHR IBM MSFT GE DIA
Popular stocks with increasing volume: RIVN DKNG PLTR BAC TSM LCID AFRM PDD
Option IV as interest rates tick higher as stocks mover lower
SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 16; compared to its 52-week range of 11 to 31. Call put ratio 1 call to 1.5 puts.
PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 22; compared to its 52-week range of 16 to 38.
Apple (AAPL) 30-day option implied volatility is at 24; compared to its 52-week range of 17 to 45 as share price down 1.5%.
Option IV into quarter results
Costco (COST) September weekly call option implied volatility is at 44, October is at 25; compared to its 52-week range of 14 to 35 into the expected release of quarter results today after the bell.
Paychex (PAYX) October call option implied volatility is at 27, November is at 26; compared to its 52-week range of 17 to 76 into the expected release of quarter results before the bell on September 27. Call put ratio 3.6 calls to 1 put.
Micron (MU) September weekly call option implied volatility is at 82, October is at 45; compared to its 52-week range of 33 to 58 into the expected release of quarter results after the bell on September 27. Call put ratio 2.5 calls to 1 put.
Nike (NKE) September weekly call option implied volatility is at 84, October is at 39; compared to its 52-week range of 21 to 52 into the expected release of quarter results after the bell on September 28.
Accenture (ACN) September weekly call option implied volatility is at 63, October is at 31; compared to its 52-week range of 19 to 36 into the expected release of quarter results before the bell on September 28.
Jabil (JBL) October call option implied volatility is at 39, November is at 35; compared to its 52-week range of 22 to 82 into the expected release of quarter results before the bell on September 28.
CarMax (KMX) September weekly call option implied volatility is at 127, October is at 49; compared to its 52-week range of 30 to 241 into the expected release of quarter results before the bell on September 28.
BlackBerry (BB) September weekly call option implied volatility is at 134, October is at 81; compared to its 52-week range of 41 to 92 into the expected release of quarter results after the bell on September 28.
Vail Resorts (MTN) October call option implied volatility is at 32, November is at 30; compared to its 52-week range of 18 to 81 into the expected release of quarter results after the bell on September 28.
Carnival Corp (CCL) September weekly call option implied volatility is at 125, October is at 66; compared to its 52-week range of 47 to 99 into the expected release of quarter results before the bell on September 29.
Workday (WDAY) September weekly call option implied volatility is at 44, October is at 32; compared to its 52-week range of 25 to 56 into hosting a annual analyst day on Wednesday, September 27.
Marriott International (MAR) September weekly call option implied volatility is at 43, October is at 31; compared to its 52-week range of 21 to 48 ahead of the company Investor Day on September 27th.
Dell Technologies (DELL) September weekly call option implied volatility is at 39, October is at 33; compared to its 52-week range of 24 to 235 into Securities Analyst Meeting on October 5. Call put ratio 1.8 calls to 1 put.
Medical Properties Trust (MPW) 30-day option implied volatility is at 76; compared to its 52-week range of 41 to 92 as share price down 2.4%. Call put ratio 1 call to 15 puts with focus on November 4 puts.
Options with decreasing option implied volatility: SPLK IMVT ATVI SGEN FDX GIS
Increasing unusual option volume: ICPT HUYA ROIV IMVT ARR UNFI GES BXMT THO HE FRO NAT FSR SSYS URA NANOS CTAS NEP
Increasing unusual call option volume: IMVT ICPT BXMT NAT THO COCO
Increasing unusual put option volume: URA ARR IMVT FRO SSYS THO GES CC IYR NEP MPW
Active options: TSLA AAPL NVDA AMZN AMD META MSFT RIVN NIO GOOGL AMC DKNG PLTR BAC IMVT ROIV TSM LCID AFRM PDD
