Mid-session IV Report September 27, 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 DWAC ENPH ALGN WOLF SPOT HTZ SLG GEO HOG PACW IMVT NEP
Popular stocks with increasing volume: COST COIN RIVN CGC AMC BA XOM
iShares Russell 2000 ETF (IWM) 30-day option implied volatility is at 21; compared to its 52-week range of 16 to 36 as share price near low end of range.
Las Vegas Sands (LVS) 30-day option implied volatility is at 39; compared to its 52-week range of 27 to 67 after Las Vegas strip Culinary Workers Union announced a citywide strike authorization.
Wynn Resorts Ltd (WYNN) 30-day option implied volatility is at 36; compared to its 52-week range of 29 to 75 after Las Vegas strip Culinary Workers Union announced a citywide strike authorization.
Caesars Entertainment (CZR) 30-day option implied volatility is at 46; compared to its 52-week range of 36 to 85 after Las Vegas strip Culinary Workers Union announced a citywide strike authorization. Call put ratio 1 call to 3 puts as share price up 2%.
MGM Resorts (MGM) 30-day option implied volatility is at 37; compared to its 52-week range of 26 to 62 after Las Vegas strip Culinary Workers Union announced a citywide strike authorization. Call put ratio 1 call to 5 puts with focus on October weekly (6) puts.
Option IV into quarter results
Micron (MU) September weekly call option implied volatility is at 92, October is at 45; compared to its 52-week range of 33 to 58 into the expected release of quarter results today after the bell. Call put ratio 1 call to 1 put.
Nike (NKE) September weekly call option implied volatility is at 97, October is at 40; 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 73, October is at 32; compared to its 52-week range of 19 to 36 into the expected release of quarter results before the bell on September 28. Call put ratio 2 calls to 1 put.
Jabil (JBL) October call option implied volatility is at 40, November is at 36; compared to its 52-week range of 22 to 82 into the expected release of quarter results before the bell on September 28. Call put ratio 1 call to 2.2 puts.
CarMax (KMX) September weekly call option implied volatility is at 150, October is at 60; compared to its 52-week range of 30 to 241 into the expected release of quarter results before the bell on September 28. Call put ratio 1 call to 4.4 puts with focus on September weekly puts.
BlackBerry (BB) September weekly call option implied volatility is at 150, 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 29; compared to its 52-week range of 18 to 81 into the expected release of quarter results after the bell on September 28. Call put ratio 1 call to 3.8 puts.
Carnival Corp (CCL) September weekly call option implied volatility is at 148, October is at 68; compared to its 52-week range of 47 to 99 into the expected release of quarter results before the bell on September 29. Call put ratio 3.6 calls to 1 put.
Cannabis option IV as Senate banking panel advances Marijuana banking bill
Canopy Growth (CGC) 30-day option implied volatility is at 184; compared to its 52-week range of 72 to 248. Call put ratio 7.4 calls to 1 put on 32K contracts as Senate banking panel advances Marijuana banking bill.
Tilray Brands (TLRY) 30-day option implied volatility is at 115; compared to its 52-week range of 67 to 162. Call put ratio 10 calls to 1 put on K29 contracts.
Cronos Group (CRON) 30-day option implied volatility is at 71; compared to its 52-week range of 37 to 118. Call put ratio to 28 calls to 1 put.
Alternative Harvest ETF (MJ) 30-day option implied volatility is at 75; compared to its 52-week range of 35 to 124. Call put ratio 20 calls to 1 put as share price up 2%.
Aurora Cannabis (ACB) 30-day option implied volatility is at 183; compared to its 52-week range of 20 to 214. Call put ratio 48 calls to 1 put on 3K contracts.
AdvisorShares Pure US Cannabis ETF (MSOS) 30-day option implied volatility is at 111; compared to its 52-week range of 53 to 163. Call put ratio 3.8 calls to 1 put on 15K contracts as share price up 3%.
Movers
Nutanix (NTNX) October call option implied volatility is at 40, November is at 38; compared to its 52-week range of 25 to 95. Call put ratio 390 calls to 1 put with focus on October 35 and 37.50 calls active as share price up 4.3%.
Pros Holdings (PRO) 30-day option implied volatility is at 44; compared to its 52-week range of 34 to 75. Call put ratio 20 calls to 1 put with focus on October 35 calls.
Options with decreasing option implied volatility: SPLK IMVT SGEN FDX
Increasing unusual option volume: PBI ICPT AKRO GEO NEP MT SRCL TGT PRO NTNX
Increasing unusual call option volume: GEO ICPT MT ARLP
Increasing unusual put option volume: DNA NEP IMVT CHPT GEHC WEAT
Active options: TSLA AAPL NVDA AMZN PLTR AMD META COST MSFT GOOGL COIN RIVN GOOG LCID CGC AMC NFLX BA SE XOM
