Mid-session IV Report June 6, 2024

Mid-session IV Report June 6, 2024

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: NVAX GME SDOW XP ZIM VNDA

Popular stocks with increasing volume: LULU CRM HOOD PYPL UBER TSM MU

Active options: NVDA TSLA AAPL GME AMD NIO LULU PLTR CRM AMZN HOOD AMC PYPL MSFT META MARA GOOGL UBER TSM MU

Interest rate – bond option IV ahead of Friday’s government employment report.

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 28; compared to its 52-week range of 21 to 49. Call put ratio 1 call to 1.8 puts.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 15; compared to its 52-week range of 11 to 25. Call put ratio 1 call to 1 put.

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 5; compared to its 52-week range of 4 to 11 into May employment report.

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 5; compared to its 52-week range of 4 to 11. Call put ratio 1 call to 2.3 puts.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 8; compared to its 52-week range of 6 to 13. Call put ratio 1 call to 1.5 puts.

Option IV amid reports five cows died from bird flu

McDonald’s (MCD) 30-day option implied volatility is at 16; compared to its 52-week range of 11 to 23 after reports five cows died from bird flu. Call put ratio 13 calls to 1 put with focus on June weekly (14) 262.50 calls.

Wendy’s (WEN) 30-day option implied volatility is at 22; compared to its 52-week range of 16 to 72.

Restaurant Brands (QSR) 30-day option implied volatility is at 20; compared to its 52-week range of 15 to 70.

Hormel Foods (HRL) 30-day option implied volatility is at 18; compared to its 52-week range of 14 to 31.

Tyson Foods (TSN) 30-day option implied volatility is at 18; compared to its 52-week range of 15 to 40. Call put ratio 5.8 calls to 1 put.

Deere & Co. (DE) 30-day option implied volatility is at 19; compared to its 52-week range of 19 to 36.

Caterpillar (CAT) 30-day option implied volatility is at 23; compared to its 52-week range of 21 to 38.

Option IV into quarter results and May employment report

DocuSign (DOCU) June weekly call option implied volatility is at 204, June is at 69; compared to its 52-week range of 30 to 77 into the expected release of quarter results today after the bell. Call put ratio 1.1 call to 1 put.

Vail Resorts (MTN) June call option implied volatility is at 46, July is at 33; compared to its 52-week range of 18 to 238 into the expected release of quarter results today after the bell.

Fin-tech option IV into May employment report

Affirm Holdings (AFRM) 30-day option implied volatility is at 63; compared to its 52-week range of 62 to 118.

Upstart Holdings (UPST) 30-day option implied volatility is at 66; compared to its 52-week range of 63 to 158. Call put ratio 3.4 calls to 1 put as share price down 2.2%.

PayPal (PYPL) 30-day option implied volatility is at 29; compared to its 52-week range of 27 to 57. Call put ratio 5 calls to 1 put as share price up 3.7%.

Block (SQ) 30-day option implied volatility is at 40; compared to its 52-week range of 37 to 80. Call put ratio 4.2 calls to 1 put with focus on June weekly (7) 68 calls.

SoFi Technologies (SOFI) 30-day option implied volatility is at 42; compared to its 52-week range of 40 to 100. Call put ratio 3 calls to 1 put with focus on June 7 calls.

Globe Life Inc. (GL) 30-day option implied volatility is at 38; compared to its 52-week range of 12 to 217. Call put ratio 1 call to 12 puts with focus on June weekly (7) 80 puts.

Options with decreasing option implied volatility: DJT GTLB ASAN S GPS DELL ZS JWN IBRX
Increasing unusual option volume: SMAR CXM FFIE BNED FIVE VNDA
Increasing unusual call option volume: UPWK SMAR CXM VNDA FFIE FIVE MNST NVD CRM LULU WU BIG
Increasing unusual put option volume: FIVE SMTC LULU CNQ GL