Mid-session IV Report May 26, 2022

Mid-session IV Report May 26, 2022

The following report is a snapshot of noteworthy changes in stock and option volumes, as well as changes in option implied volatilities. By monitoring this market data, traders can create strategies that capitalize on this often over looked information.

Options with increasing option implied volatility: KHC NCR RBAC WEN

Popular stocks with increasing volume: GME BABA TWTR SNOW NIO F CVX NKLA

Movers

GameStop (GME) 30-day option implied volatility is at 151; compared to its 52-week range of 69 to 216. Call put ratio 2 calls to 1 put as shares rally 11.5%.

AMC Entertainment (AMC) 30-day option implied volatility is at 150; compared to its 52-week range of 95 to 437. Call put ratio 3.3 calls to 1 put as shares rally 2.5%.

Energy stocks option IV amid prices tick higher

United States Oil Fund (USO) 30-day option implied volatility is at 41; compared to its 52-week range of 28 to 81. Call put ratio 2.1 calls to 1 put as shares rally 2.4%.

Market Vectors Oil Services Etf (OIH) 30-day option implied volatility is at 48; compared to its 52-week range of 38 to 67. Call put ratio 4 calls to 1 put as shares rally 3.7%.

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 35; compared to its 52-week range of 25 to 47. Call put ratio 1 call to 2.5 puts as shares rally 1.5%.

United States Natural Gas (UNG) 30-day option implied volatility is at 90; compared to its 52-week range of 32 to 199 as shares price up 2%.

Option IV into quarter release

Costco (COST) May weekly call option implied volatility is at 145, June is at 46; compared to its 52-week range of 15 to 50 into the expected release of quarter results today after the bell. Call put ratio 1 call to 1 put.

Dell Technologies (DELL) June call option implied volatility is at 54, July is at 45; compared to its 52-week range of 22 to 91 into the expected release of quarter results today after the bell. Call put ratio 1 call to 3 puts.

Ulta Beauty (ULTA) May weekly call option implied volatility is at 177, June is at 60; compared to its 52-week range of 27 to 61 into the expected release of quarter results today after the bell.

Workday (WDAY) May weekly call option implied volatility is at 245, June is at 75; compared to its 52-week range of 25 to 69 into the expected release of quarter results today after the bell.

Gap, Inc. (GPS) May weekly call option implied volatility is at 340, June is at 105; compared to its 52-week range of 40 to 92 into the expected release of quarter results today after the bell.

American Eagle (AEO) May weekly call option implied volatility is at 317, June is at 101; compared to its 52-week range of into the expected release of 45 to 85 quarter results today after the bell. Call put ratio 1 call to 1.8 puts.

M&A Movers

VMware (VMW) May weekly call option implied volatility is at 38, June is at 34; compared to its 52-week range of 20 to 52 after Broadcom (AVGO) purchases VMware for about $61B in cash and stock or $138.23 per share.

Broadcom (AVGO) May weekly call option implied volatility is at 48, June is at 39; compared to its 52-week range of 20 to 48 after purchases VMware (VMW) for about $61B in cash and stock or $138.23 per share. Call put ratio 1 call to 1.1 puts.

Options with decreasing option implied volatility: VMW ZM BBAI FL JWN SCO SNOW BBY M BROS PANW DLTR VMW
Increasing unusual option volume: BKSY NTNX VMW WEN
Increasing unusual call option volume: BKSY NTNX WEN VMW RENT GES
Increasing unusual put option volume: AMRS VTI VMW NTNX UA WSM MDT
Active options: NVDA AAPL TSLA AMD AMC GME BABA TWTR FB AMZN SNAP SNOW M BAC MSFT NIO F CVX BBIG NKLA