Mid-session IV Report April 4, 2023

Mid-session IV Report April 4, 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: AI APLS CLX GETY

Popular stocks with increasing volume: ROKU BAC COIN INTC NIO NFLX

Large Cap industrials option IV

Boeing (BA) 30-day option implied volatility is at 35; compared to its 52-week range of 30 to 63.

Caterpillar (CAT) 30-day option implied volatility is at 33; compared to its 52-week range of 24 to 45. Call put ratio 1 call to 1.1 puts as shares sell off 3.7%.

Deere & Co. (DE) 30-day option implied volatility is at 25; compared to its 52-week range of 23 to 47. Call put ratio 1 call to 2.4 puts as shares sell off 2.1%.

Danaher (DHR) 30-day option implied volatility is at 27; compared to its 52-week range of 23 to 41. Call put ratio 1 call to 2.5 puts.

Honeywell (HON) 30-day option implied volatility is at 23; compared to its 52-week range of 18 to 35.

Option IV into quarter results

ConAgra (CAG) April weekly call option implied volatility is at 65, April is at 30, compared to its 52-week range of 18 to 31 into the expected release of quarter results before the bell on April 5.

Constellation Brands (STZ) April weekly call option implied volatility is at 65, April is at 29, compared to its 52-week range of 19 to 33 into the expected release of quarter results before the bell on April 6.

Lamb Weston (LW) April call option implied volatility is at 38, May is at 29, compared to its 52-week range of 20 to 82 into the expected release of quarter results before the bell on April 6.

Levi Strauss (LEVI) April call option implied volatility is at 49, May is at 40, compared to its 52-week range of 32 to 99 into the expected release of quarter results after the bell on April 6.

Option IV into events

Walmart (WMT) 30-day option implied volatility at 18; compared to its 52-week range of 16 to 34 into company’s 2023 Investment Community Meeting on April 5, 2023.

Waste Management (WM) 30-day option implied volatility at 20; compared to its 52-week range of 16 to 31 into investor day on April 5.

FedEx (FDX) 30-day option implied volatility at 28; compared to its 52-week range of 26 to 56 into investor meeting on April 5.

Apple (AAPL) 30-day option implied volatility is at 28; compared to its 52-week range of 23 to 45 into World Wide Developer Conference (WWDC) 2023 conference on June 5.

C3 AI (AI) April weekly call option implied volatility is at 195, April is at 136; compared to its 52-week range of 54 to 180.

Marvell Technology (MRVL) 30-day option implied volatility is at 49; compared to its 52-week range of 42 to 80.

Lucid Group (LCID) 30-day option implied volatility is at 84; compared to its 52-week range of 70 to 172.

Charter Communications (CHTR) 30-day option implied volatility is at 39; compared to its 52-week range of 28 to 54.

Microstrategy, Inc. (MSTR) 30-day option implied volatility is at 91; compared to its 52-week range of 70 to 221.

Options with decreasing option implied volatility: DB AEHR LULU GME ALLY BCS RH STWD WWE
Increasing unusual option volume: FRC BFLY BTG ZION ERIC ZION SNV VHC
Increasing unusual call volume: FRC BFLY ZION BTG AGI DPST SMG NGL PACW ONON HEAR UBS
Increasing unusual put option volume: ZIM CANO LW
Active options: TSLA AAPL NVDA GOOG SNOW AMZN META AI BABA ZIM GOOG AMD ROKU MSFT BAC COIN INTC NIO NFLX