Mid-session IV Report March 7, 2023

Mid-session IV Report March 7, 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: SFIX ASAN OSH JD ORCL VXX ZYXI VST VTRS SI RIVN

Popular stocks with increasing volume: SNAP RIVN SE BAC UAL DKS RIVN

Movers

Tesla (TSLA) March weekly (10) call option implied volatility is at 66, March is at 62; compared to its 52-week range of 49 to 96. Call put ratio 1.2 calls to 1 put as shares sell off 2.5%.

Snap (SNAP) 30-day option implied volatility is at 65; compared to its 52-week range of 57 to 128. Call put ratio 2 calls to 1 put as shares rally 5%.

Micron Technology (MU) 30-day option implied volatility is at 45; compared to its 52-week range of 36 to 68. Call put ratio 1.3 calls to 1 put as shares as share sell off 2.2%.

Verizon Communications (VZ) 30-day option implied volatility is at 21; compared to its 52-week range of 16 to 35. Call put ratio 1.1 calls to 1 put as shares as share sell off 1.2%.

Activision Blizzard (ATVI) 30-day option implied volatility is at 26; compared to its 52-week range of 10 to 46. Call put ratio 1 call to 1.8 puts with as shares trade $79.40.

Interest rate stocks option IV as Powell testifies to Senate

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 40; compared to its 52-week range of 33 to 60. Call put ratio 1 call to 9.5 puts as shares sell off 1.4%.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 20; compared to its 52-week range of 16 to 30.

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 11; compared to its 52-week range of 8 to 21.

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 11; compared to its 52-week range of 9 to 23. Call put ratio 1 call to 2.9 puts.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 12; compared to its 52-week range of 10 to 19. Call put ratio 1 call to 38 puts.

Option IV into quarter results

Stitch Fix (SFIX) March weekly call option implied volatility is at 230, March is at 150; compared to its 52-week range of 69 to 142 into the expected release of quarter results today after the bell.

Campbells Soup (CPB) March weekly call option implied volatility is at 53, March is at 34; compared to its 52-week range of 19 to 37 into the expected release of quarter results before the bell on March 8.

Asana (ASAN) March weekly call option implied volatility is at 227, March is at 150; compared to its 52-week range of 75 to 305 into the expected release of quarter results after the bell on March 8. Call put ratio 5.6 calls to 1 put as shares rally 2.5%.

Oracle (ORCL) March weekly call option implied volatility is at 70, March is at 43; compared to its 52-week range of 22 to 52 into the expected release of quarter results after the bell on March 9.

JD.com (JD) March weekly call option implied volatility is at 90, March is at 65; compared to its 52-week range of 44 to 96 into the expected release of quarter results after the bell on March 9. Call put ratio 3.2 calls to 1 put as shares sell off 2.1%.

Options with decreasing option implied volatility: RETA AMC VXX MANU OKTA PSTG NTNX AEO CPNG ZS DDD SE SPLK KSS M BURL
Increasing unusual option volume: FSTX VST WW AMAM DKS KKR DM RIVN CP
Increasing unusual call volume: VST WW AMAM DKS GTLB
Increasing unusual put option volume: GPRO DM NNDM CP MGNI KKR DKS
Active options: TSLA SNAP AAPL META NVDA AMZN RIVN SE AMD AMC BAC NIO GOOGL DKS BBBY COIN BABA MSFT UAL