Mid-session IV Report June 23, 2022

Mid-session IV Report June 23, 2022

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.

Option IV increases: FDX NFLX ATVI BB CCL WEBR HTZ

Popular stocks with increasing volume: WBD SQ OXY LI PLTR MO REV BAC

Altria Group (MO) 30-day option implied volatility is at 33; compared to its 52-week range of 17 to 33 into FDA denies authorization to market JUUL products.

Bank option IV into release of Fed stress tests

Citigroup (C) 30-day option implied volatility is at 41; compared to its 52-week range of 22 to 49 into The Federal Reserve Board releasing results from its annual bank stress tests today at 4:30 p.m. EDT.

Bank of America (BAC) 30-day option implied volatility is at 40; compared to its 52-week range of 22 to 48.

Goldman Sachs (GS) 30-day option implied volatility is at 37; compared to its 52-week range of 22 to 42.

JPMorgan (JPM) 30-day option implied volatility is at 36; compared to its 52-week range of 19 to 44.

Morgan Stanley (MS) 30-day option implied volatility is at 39; compared to its 52-week range of 23 to 47. Call put ratio 2.3 calls to 1 put.

Wells Fargo (WFC) 30-day option implied volatility is at 43; compared to its 52-week range of 26 to 51. Call put ratio 1 call to 1.9 puts.

Financial Select Sector SPDR ETF (XLF) Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 30; compared to its 52-week range of 16 to 58 into The Federal Reserve Board releasing results from its annual bank stress tests today at 4:30 p.m. EDT.

Option IV bid into quarter results and outlook

BlackBerry (BB) June weekly call option implied volatility is at 190, July is at 92; compared to its 52-week range of 55 to 120 into the expected release of quarter results today after the bell. Call put ratio 3.7 calls to 1 put.

FedEx (FDX) June weekly call option implied volatility is at 150, July is at 55; compared to its 52-week range of 22 to 54 into the expected release of quarter results today and the company hosting an investor and analyst day today on June 28. Call put ratio 1 call to 1.1 puts.

CarMax (KMX) July call option implied volatility is at 67, August is at 57; compared to its 52-week range of 25 to 85 into the expected release of quarter results before the bell on June 24.

Carnival Corp (CCL) June weekly call option implied volatility is at 217, July is at 103; compared to its 52-week range of 41 to 101 into the expected release of quarter results on June 24.

Kirkland’s (KIRK) 30-day option implied volatility is at 171; compared to its 52-week range of 50 to 161. Call put ratio 73 calls to 1 put as shares rally 6%.

Revlon (REV) July weekly (1) call option implied volatility is at 390, July is at 350; compared to its 52-week range of 55 to 597. Call put ratio 3.1 calls to 1 put as shares sell off 16%.

Radius Health (RDUS) 2,642 options trade on July 22, 2022 compared to 90-day average volume of 51 contracts into Radius to be acquired by Gurnet Point, Patient Square for $10 per share plus CVR.

Options with decreasing option implied volatility: RDUS ACAD IVR KR
Increasing unusual option volume: SIGA KIRK BOXD CODX WEBR
Increasing unusual call option volume: SIGA BOXD WEBR CODX SFT ADN
Increasing unusual put option volume: DLR DVAX HBI AMRS DDD WBD
Active options: TSLA AAPL AMZN META F NIO AMD NVDA WBD BABA SQ OXY AMC LI PLTR MO MSFT REV BAC BBIG