Mid-session IV Report September 5, 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: FFIE MSOS SSYS STZ TSE MNSO BLDR ACMR HA EXTR TSLA PLAY DHT FAS FRO FRSH PHM VZ
Popular stocks with increasing volume: CCL ABNB META PBR AMC TLRY XOM NIO OXY DIS
Movers
NextGen Healthcare (NXGN) 30-day option implied volatility is at 39; compared to its 52-week range of 19 to 48. Call put ratio 6.7 calls to 1 put as shares rally 6.5% amid Bloomberg M&A report.
Manchester United plc (MANU) 30-day option implied volatility is at 72; compared to its 52-week range of 32 to 140. Call put ratio 1.3 calls to 1 put as share price pulls back amid M&A headlines.
Warner Bros. Discovery (WBD) 30-day option implied volatility is at 46; compared to its 52-week range of 37 to 75 amid outlook.
ASML Holdings (ASML) 30-day option implied volatility is at 29; compared to its 52-week range of 27 to 62.
NXP Semiconductors (NXPI) 30-day option implied volatility is at 28; compared to its 52-week range of 26 to 56. Call put ratio 1 call to 20 puts with focus on October 110 puts.
GM, F STLA amid contract headlines
General Motors (GM) 30-day option implied volatility is at 31; compared to its 52-week range of 27 to 60 into their current union contracts end on September 14. Call put ratio 3.7 calls to 1 put.
Ford (F) 30-day option implied volatility is at 29; compared to its 52-week range of 27 to 588 into their current union contracts end on September 14.
Stellantis (STLA) 30-day option implied volatility is at 28; compared to its 52-week range of 23 to 423 into their current union contracts end on September 14. Call put ratio 1 call to 11 puts with focus on September and October.
Option IV into quarter results
Zscaler (ZS) September weekly call option implied volatility is at 129, September is at 77; compared to its 52-week range of 40 81 into the expected release of quarter results after the bell on September 5.
Asana (ASAN) September weekly call option implied volatility is at 180, September is at 111; compared to its 52-week range of 55 to 126 into the expected release of quarter results after the bell on September 5. Call put ratio 2.5 calls to 1 put.
Gamestop (GME) September weekly call option implied volatility is at 190, September is at 130; compared to its 52-week range of 53 to 133 into the expected release of quarter results after the bell on September 6.
C3.ai (AI) September weekly call option implied volatility is at 191, September is at 122; compared to its 52-week range of 54 to 223 into the expected release of quarter results after the bell on September 6.
American Eagle (AEO) September call option implied volatility is at 100, September is at 63; compared to its 52-week range of 35 to 524 into the expected release of quarter results after the bell on September 6.
Options with decreasing option implied volatility: IOT BIG MDB CHWY OKTA HCP PSTG NTNX LULU VKTX ASO S VEEV DG CRWD PDD HZNP
Increasing unusual option volume: EDR FEZ FRSH ACMR NXE TEX VRAR NE OLN CDE FMC ICE FOXA NJ
Increasing unusual call option volume: FRSH EDR CDE TSEM GTLB BXMT ACMR NXE
Increasing unusual put option volume: FEZ FOXA HRL MSOS JETS WM DWAC DELL PSEC TM HA GLW EXTR
Active options: TSLA AAPL NVDA AMD AMZN MSFT INTC NFLX PLTR CCL ABNB META PBR AMC GOOGL TLRY XOM NIO OXY DIS
