Mid-session IV Report March 22, 2023

Mid-session IV Report March 22, 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: VKTX GME

Popular stocks with increasing volume: NKE BAC AFRM FRC COIN

Option IV into FOMC decision

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 19; compared to its 52-week range of 15 to 31.

SPDR S&P 500 ETF Trust (SPY) March weekly (24) call option implied volatility is at 32, April is at 19; compared to its 52-week range of 15 to 31.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 24; compared to its 52-week range of 22 to 40.

PowerShares QQQ Trust (QQQ) March weekly (24) call option implied volatility is at 37, April is at 24; compared to its 52-week range of 22 to 40.

iShares Russell 2000 ETF (IWM) 30-day option implied volatility is at 28; compared to its 52-week range of 20 to 37. Call put ratio 5 calls to 1 put.

ARK Innovation ETF (ARKK) 30-day option implied volatility is at 51; compared to its 52-week range of 48 to 91.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 28; compared to its 52-week range of 17 to 37.

Option IV, WTI Crude oil trades below $70

United States Oil Fund (USO) 30-day option implied volatility is at 44; compared to its 52-week range of 32 to 70 as WTI Crude oil trades $70. Call put ratio 4.3 calls to 1 put.

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 37; compared to its 52-week range of 31 to 50 as gold trades above $1948. Call put ratio 6.8 calls to 1 put.

United States Natural Gas (UNG) 30-day option implied volatility is at 90; compared to its 52-week range of 52 to 119 as Natural gas trades down 4%. Call put ratio 3.2 calls to 1 put.

Option IV into quarter results

Chewy (CHWY) March weekly call option implied volatility is at 180, April is at 76; compared to its 52-week range of 57 to 119 into the expected release of quarter results after the bell on March 22. Call put ratio 1 call to 1 put.

Accenture (ACN) March weekly call option implied volatility is at 77, April is at 32; compared to its 52-week range of 22 to 43 into the expected release of quarter results before the bell on March 23.

General Mills (GIS) April call option implied volatility is at 23, May is at 20; compared to its 52-week range of 16 to 60 into the expected release of quarter results before the bell on March 23.

Darden (DRI) April call option implied volatility is at 29, May is at 27; compared to its 52-week range of 21 to 79 into the expected release of quarter results before the bell on March 23.

FactSet Research (FDS) April call option implied volatility is at 35, May is at 31; compared to its 52-week range of 19 to 73 into the expected release of quarter results before the bell on March 23.

Movers

Activision Blizzard (ATVI) 30-day option implied volatility is at 24; compared to its 52-week range of 10 to 46. Call put ratio 5.3 calls to 1 put.

Ford Motor (F) 30-day option implied volatility is at 38; compared to its 52-week range of 33 to 587 into hosting a teach in where it will share details of its new segment and financial reporting as well as a Q&A session with their CFO and Controller on March 23. Call put ratio 3.1 calls to 1 put.

Macerich (MAC) 30-day option implied volatility is at 48; compared to its 52-week range of 33 to 104.

Ally Financial (ALLY) 30-day option implied volatility is at 72; compared to its 52-week range of 34 to 112. Call put ratio 5.7 calls to 1 put.

Moderna (MRNA) 30-day option implied volatility is at 52; compared to its 52-week range of 46 to 86.

Options with decreasing option implied volatility: PCT UVIX PATH NYCB BCS RF KRE FL FITB ARRY HBAN AUPH S KEY S NATI TAL LNC ERX PDD ASO SCHW CSIQ BK BXMT CVE APO TROW ADBE WU C ARCC EOG STWD SHEL KKR FISV AXP OKE XLE LIN LYB AFL
Increasing unusual option volume: FRC EWY OLLI PZZA ETNB ONON
Increasing unusual call volume: VORB ONON SPPI DPST CS ETNB UBS SD
Increasing unusual put option volume: ETNB DM VNO CS HLF ARRY ONON LAZR GME TME SLG
Active options: TSLA GME NVDA AAPL LAZR AMC GOOGL AMD NKE AMZN SOFI CHPT META BBBY BAC AFRM GOOG FRC COIN MSFT