Mid-session IV Report March 2, 2023

Mid-session IV Report March 2, 2023

The following report is a snapshot of noteworthy changes in stock and option volumes, as well as changes in option

Options with increasing option implied volatility: COST DELL AI JWN PRVB AUY SBSW OSH SI AEHR AMC MP DIA

Popular stocks with increasing volume: PBR COIN PLUG SI SNOW CRM

Option IV into final trading day of month

Tesla (TSLA) March weekly call option implied volatility is at 82, March is at 65; compared to its 52-week range of 49 to 96 after Investor Day. Call put ratio 1.5 calls to 1 put.

Salesforce (CRM) 30-day option implied volatility is at 35; compared to its 52-week range of 30 to 62 as shares rally 12%.

Activision Blizzard (ATVI) 30-day option implied volatility is at 24; compared to its 52-week range of 9 to 46. Call put ratio 5.6 calls to 1 put with focus on March 77.5 calls.

Option IV into quarter results

Costco (COST) March weekly call option implied volatility is at 77, March is at 32; compared to its 52-week range of 21 to 51 into the expected release of quarter results today after the bell.

Marvell Tech (MRVL) March weekly call option implied volatility is at 157, March is at 66; compared to its 52-week range of 42 to 81 into the expected release of quarter results today after the bell.

Broadcom (AVGO) March weekly call option implied volatility is at 77, March is at 37; compared to its 52-week range of 27 to 48 into the expected release of quarter results today after the bell.

Dell Technology (DELL) March weekly call option implied volatility is at 135, March is at 48; compared to its 52-week range of 26 to 236 into the expected release of quarter results today after the bell. Call put ratio 1 call to 1.2 puts.

Hewlett Packard (HPE) March call option implied volatility is at 43, April is at 30; compared to its 52-week range of 24 to 82 into the expected release of quarter results today after the bell. Call put ratio 11 calls to 1 put.

Zscaler (ZS) March weekly call option implied volatility is at 237, March is at 88; compared to its 52-week range of 48 to 107 into the expected release of quarter results today after the bell.

Nordstrom (JWN) March weekly call option implied volatility is at 207, March is at 75; compared to its 52-week range of 45 to 109 into the expected release of quarter results today after the bell. Call put ratio 1 call to 1.3 puts.

C3.ai, Inc (AI) March weekly call option implied volatility is at 320, March is at 134; compared to its 52-week range of 54 to 181 into the expected release of quarter results today after the bell. Call put ratio 2.7 calls to 1 put.

Movers

MP Materials (MP) 30-day option implied volatility is at 57; compared to its 52-week range of 49 to 89 as shares sell off 14%.

Silvergate Capital (SI) 30-day option implied volatility is at 209; compared to its 52-week range of 74 to 276. Call put ratio 1 call to 2.1 puts as shares sell off 43%.

ZTO Express (ZTO) 30-day option implied volatility is at 54; compared to its 52-week range of 27 to 106. Call put ratio 1 call to 34 puts with focus on March 20, 22 and 24 puts.

Options with decreasing option implied volatility: RETA CVNA BYND DDD ZM VTNR AMBA CPNG DLTR
Increasing unusual option volume: ZTO MQ BOX EQIX AEHR INDI SBNY CARG ARR VERI
Increasing unusual call volume: PCAR AEHR CAH
Increasing unusual put option volume: MQ BOX AEHR BIG SBNY CANO
Active options: TSLA CRM AAPL AMZN NVDA MPW AMD META SNOW SI NIO NFLX AMC COIN GOOGL PLUG BBBY FSLR PBR MSFT