Mid-session IV Report May 3, 2022

Mid-session IV Report May 3, 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: VIX ATVI AMD ABNB SBUX LYFT UBER CZR

Popular stocks with increasing volume: PFE BP NIO X DVN BKNG EXPE ABNB HLT RBLX WDC

Twitter Option IV at low end of range, Tesla stays bid

Twitter (TWTR) 30-day option implied volatility is at 26; compared to its 52-week range of 26 to 87.

Telsa (TSLA) May weekly call option implied volatility is at 85, May is at 73; compared to its 52-week range of 36 to 84. Call put ratio 1.3 calls to 1 put into 2022 Annual Shareholder Meeting on August 4 in Austin, TX.

Option IV into quarter results

Advanced Micro Devices (AMD) May weekly call option implied volatility is at 125, May is at 75; compared to its 52-week range of 29 to 73 into the expected release of quarter results. Call put ratio 2.3 calls to 1 put.

Airbnb (ABNB) May weekly call option implied volatility is at 158, May is at 92; compared to its 52-week range of 35 to 76 into the expected release of quarter results today after the bell.

Caesars (CZR) May weekly call option implied volatility is at 119, May is at 78; compared to its 52-week range of 41 to 71 into the expected release of quarter results today after the bell.

Lyft (LYFT) May weekly call option implied volatility is at 186, May is at 97; compared to its 52-week range of 41 to 84 into the expected release of quarter results today after the bell. Call put ratio 3.3 calls to 1 put as shares sell off 4.3%.

Skyworks (SWKS) May weekly call option implied volatility is at 114, May is at 64; compared to its 52-week range of 24 to 55 into the expected release of quarter results today after the bell. Call put ratio 8.2 calls to 1 put.

Starbucks (SBUX) May weekly call option implied volatility is at 84, May is at 52; compared to its 52-week range of 18 to 42 into the expected release of quarter results today after the bell.

CVS Health (CVS) May weekly call option implied volatility is at 64, May is at 42; compared to its 52-week range of 19 to 37 into the expected release of quarter results before the bell on May 4. Call put ratio 1 call to 1.2 puts.

Etsy (ETSY) May weekly call option implied volatility is at 215, May is at 116; compared to its 52-week range of 40 to 100 into the expected release of quarter results after the bell on May 4. Call put ratio 1 call to 1.6 puts.

Fisker (FSR) May weekly call option implied volatility is at 190, May is at 117; compared to its 52-week range of 65 to 113 into the expected release of quarter results after the bell on May 4. Call put ratio 1 call to 2.2 puts.

iRobot (IRBT) May weekly call option implied volatility is at 198, May is at 98; compared to its 52-week range of 40 to 83 into the expected release of quarter results after the bell on May 4. Call put ratio 1 call to 1.4 puts.

Moderna (MRNA) May weekly call option implied volatility is at 164, May is at 98; compared to its 52-week range of 51 to 98 into the expected release of quarter results before the bell on May 4. Call put ratio 1 call to 1.2 puts.

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 15; compared to its 52-week range of 5 to 15 into The Federal Open Market Committee statement on its decision on interest rates slated for release at 2 p.m. EST on Wednesday. Fed chairman Jerome Powell speaks at 2:30 p.m. that afternoon.

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 14; compared to its 52-week range of 5 to 16. Call put ratio 1 call to 4.7 puts amid 10-year Treasury touches 3% on Monday, the 3-year gets almost 3%, which is a competitive piece of paper and presumes four rate hikes of 50 basis points.

Options with decreasing option implied volatility: BBAI DWAC FB ROKU CAR PINS PYPL GOOG GOOGL F INTC
Increasing unusual option volume: XLP AGNC VERU SAN CHGG SESN
Increasing unusual call option volume: AGNC SRG SESN CHGG VERU PLTK
Increasing unusual put option volume: XLP CHGG SOS YANG CLX WDC
Active options: AAPL TSLA AGNC FB AMD PFE NVDA BP BAC AMZN LCID WDC AMC MSFT F NRZ NIO NFLX DVN TWTR