Mid-session IV Report August 27, 2024

Mid-session IV Report August 27, 2024

The following report is a snapshot of noteworthy changes in stock and option volumes, as well as changes in option implied volatilities. By monitoring this market data, traders can create strategies that capitalize on this often over looked information

Options with increasing option implied volatility: HA DNA IEP MU ACI NKE CAN COST K GOGO ERO

Popular stocks with increasing volume: SMCI PDD INTC CAVA PLTR COIN JD AVGO SOFI MSTR

Active options: NVDA TSLA AAPL AMD AMZN SMCI ATUS PDD META INTC CAVA MARA PLTR LUMN MSFT COIN JD AVGO SOFI MSTR

Eli Lilly & Co. (LLY) 30-day option implied volatility is at 27; compared to its 52-week range of 19 to 56 after launches single-dose vials of Zepbound. Call put ratio 2.9 calls to 1 put with focus on August 30 weekly 1000 calls.

Novo Nordisk (NVO) 30-day option implied volatility is at 33; compared to its 52-week range of 22 to 47 after Eli Lilly & Co. (LLY) launches single-dose vials of Zepbound. Call put ratio 1 call to 3.6 puts.

Viking Therapeutics (VKTX) 30-day option implied volatility is at 87; compared to its 52-week range of 51 to 234 after Eli Lilly & Co. (LLY) launches single-dose vials of Zepbound. Call put ratio 10.4 calls to 1 put with focus on October 95 calls.

Option IV into quarter results

NVIDIA (NVDA) August weekly call option implied volatility is at 140, September is at 74; compared to its 52-week range of 33 to 89 into the expected release of quarter results after the bell on August 28. Call put ratio 1.3 calls to 1 put.

Salesforce (CRM) August weekly call option implied volatility is at 106, September is at 48; compared to its 52-week range of 20 to 52 into the expected release of quarter results after the bell on August 28. Call put ratio 1 call to 1.9 puts with focus on August 230 puts.

CrowdStrike (CRWD) August weekly call option implied volatility is at 131, September is at 62; compared to its 52-week range of 29 to 74 into the expected release of quarter results after the bell on August 28. Call put ratio 1.5 calls to 1 put.

HP Inc (HPQ) August weekly call option implied volatility is at 105, September is at 45; compared to its 52-week range of the expected release of quarter results after the bell on August 28. Call put ratio 1.9 calls to 1 put.

NetApp (NTAP) August weekly call option implied volatility is at 99, September is at 43; compared to its 52-week range of 16 to 49 into the expected release of quarter results after the bell on August 28. Call put ratio 2.1 calls to 1 put.

Li Auto (LI) August weekly call option implied volatility is at 124, September is at 67; compared to its 52-week range of 45 to 72 into the expected release of quarter results after the bell on August 28. Call put ratio 2.2 calls to 1 put.

Pure Storage (PSTG) September call option implied volatility is at 67, October is at 55; compared to its 52-week range of 27 to 104 into the expected release of quarter results after the bell on August 28. Call put ratio 18 calls to 1 put with focus on September 70 and 90 calls.

Okta (OKTA) August weekly call option implied volatility is at 157, September is at 67; compared to its 52-week range of 28 to 78 into the expected release of quarter results after the bell on August 28.

J.M. Smucker (SJM) September call option implied volatility is at 30, October is at 26; compared to its 52-week range of 15 to 68 into the expected release of quarter results before the bell on August 28.

Chewy (CHWY) August weekly call option implied volatility is at 199, September is at 93; compared to its 52-week range of 38 to 127 into the expected release of quarter results before the bell on August 28.

Affirm (AFRM) August weekly call option implied volatility is at 207, September is at 95; compared to its 52-week range of 60 to 118 into the expected release of quarter results after the bell on August 28. Call put ratio 2 calls to 1 put with focus on August 30 weekly calls.

Abercrombie & Fitch (ANF) August weekly call option implied volatility is at 177, September is at 78; compared to its 52-week range of 33 to 91 into the expected release of quarter results before the bell on August 28.

Bath & Body Works (BBWI) August weekly call option implied volatility is at 165, September is at 67; compared to its 52-week range of 29 to 70 into the expected release of quarter results before the bell on August 28. Call put ratio 2.6 calls to 1 put with focus on September 35 calls.

Five Below (FIVE) September call option implied volatility is at 71, October is at 60; compared to its 52-week range of 25 to 97 into the expected release of quarter results after the bell on August 28. Call put ratio 16.5 calls to 1 put with focus on September 85 and 90 calls.

Foot Locker (FL) August weekly call option implied volatility is at 214, September is at 87; compared to its 52-week range of 38 to 89 into the expected release of quarter results before the bell on August 28. Call put ratio 1 call to 2.6 puts with focus on August 30 weekly 25, 26 and 28 puts.

Kohl’s (KSS) August weekly call option implied volatility is at 190, September is at 86; compared to its 52-week range of 38 to 80 into the expected release of quarter results before the bell on August 28. Call put ratio 1 call to 2.3 puts with focus on October 20 puts.

Victorias Secret (VSCO) September call option implied volatility is at 64, October is at 58; compared to its 52-week range of 42 to 115 into the expected release of quarter results after the bell on August 28. Call put ratio 1 call to 5 puts with focus on January 15 puts.

Dell Technologies (DELL) August weekly call option implied volatility is at 162, September is at 73; compared to its 52-week range of 23 to 80 into the expected release of quarter results after the bell on August 29.

Movers

CAVA Group (CAVA) August 23 weekly call option implied volatility is at 66, September is at 55; compared to its 52-week range of 47 to 88 after 6M share Spot Secondary priced at $117.

Hims & Hers Health, Inc. (HIMS) 30-day option implied volatility is at 65; compared to its 52-week range of 39 to 137 as share price down 5.2%. Call put ratio 2.6 calls to 1 put after Eli Lilly & Co. (LLY) launches single-dose vials of Zepbound.

Super Micro Computer (SMCI) 30-day option implied volatility is at 74; compared to its 52-week range of 54 to 118. Call put ratio 1 call to 1.1 puts amid wide price movement.

Options with decreasing option implied volatility: AAP WOLF BILL SNOW TGT ZM M WDAY WSM CAVA ROST TJX PARA TOL INTU
Increasing unusual option volume: EIX FUN GOGO DRN BMO TCOM TRGP LUMN BNS MSOS BMRN
Increasing unusual call option volume: FUN GOGO DRN JBHT TRGP TCOM BOOT LUMN COTY MSOS BNS
Increasing unusual put option volume: BMO BMRN LUMN CRH TCOM RKT MSOS CAVA RKLB WOOF K