Mid-session IV Report May 17, 2023

Mid-session IV Report May 17, 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: ORCL KR SGEN ISEE DE FL CSCO WMT

Popular stocks increasing options volume: TGT BAC MU PACW WAL TSM NFLX BA PYPL RBLX

Option IV into quarter results

Alibaba (BABA) May call option implied volatility is at 100, June is at 51; compared to its 52-week range of 42 to 85 into the expected release of quarter results. Call put ratio 4.6 calls to 1 put.

Cisco Systems (CSCO) May call option implied volatility is at 80, June is at 37; compared to its 52-week range of 18 to 42 into the expected release of quarter results today after the bell.

Take-Two Interactive Software (TTWO) May call option implied volatility is at 111, June is at 40; compared to its 52-week range of 29 to 59 into the expected release of quarter results today after the bell.

Ross Stores (ROST) May call option implied volatility is at 108, June is at 35; compared to its 52-week range of 23 to 57 into the expected release of quarter results on May 18.

Walmart (WMT) May call option implied volatility is at 63, June is at 21; compared to its 52-week range of 16 to 34 into the expected release of quarter results before the bell on May 18.

Applied Material (AMAT) May call option implied volatility is at 65, June is at 37; compared to its 52-week range of 36 to 59 into the expected release of quarter results after the bell on May 18.

Canadian Solar (CSIQ) May call option implied volatility is at 126, June is at 56; compared to its 52-week range of 48 to 77 into the expected release of quarter results before the bell on May 18.

Canada Goose (GOOS) May call option implied volatility is at 205, June is at 69; compared to its 52-week range of 45 to 93 into the expected release of quarter results before the bell on May 18.

Farfetch (FTCH) May call option implied volatility is at 250, June is at 100; compared to its 52-week range of 68 to 158 into the expected release of quarter results after the bell on May 18.

Deere (DE) May call option implied volatility is at 73, June is at 33; compared to its 52-week range of 23 to 47 into the expected release of quarter results before the bell on May 19.

Foot Locker (FL) May call option implied volatility is at 155, June is at 53; compared to its 52-week range of 36 to 88 into the expected release of quarter results before the bell on May 19.

Movers

Freeport-McMoran (FCX) 30-day option implied volatility is at 40; compared to its 52-week range of 37 to 66 as copper near 5-month low. Call put ratio 4.8 calls to 1 put with focus on June calls.

C3 AI (AI) 30-day option implied volatility is at 112; compared to its 52-week range of 54 to 181 on more calls than puts.
Horizon Therapeutics (HZNP) 30-day option implied volatility is at 22; compared to its 52-week range of 5 to 82 after FTC will sue to block Horizon Therapeutics takeover by Amgen (AMGN).

Sarepta Therapeutics (SRPT) 30-day option implied volatility is at 74; compared to its 52-week range of 39 to 143 into PDUFA on May 29. Call put ratio 9.7 calls to 1 put.

Options with decreasing option implied volatility: VLY BYND U TTD XP DWAC YETI SE KEY OZK HOOD SONO TME MCB WAL SRPT IEP
Increasing unusual option volume: TGI RYAM GRAB MAXN WIX KD DOCS HZNP AI XELA
Increasing unusual call volume: TGI WIX KEYS KD MAXN TJX DOCS
Increasing unusual put volume: GRAB MAXN ICPT DOCS CNK PACW EVGO MTTR
Active options: TSLA AMZN AMD NVDA AAPL GOOGL MSFT TGT META BAC MU PACW WAL TSM NFLX GOOG ONON BA PYPL RBLX